# EDGAR Filing Document

**Accession Number:** 0000080249
**File Stem:** 0000080249-23-000007
**Filing Date:** 2023-1
**Character Count:** 667828
**Document Hash:** 7bcd71b6427de40928344ae14f9186d5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000080249-23-000007.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0000080249-23-000007

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price New Income Fund, Inc.
- **CENTRAL INDEX KEY:** 0000080249
- **IRS NUMBER:** 520980581
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02396
- **FILM NUMBER:** 23561223

**BUSINESS ADDRESS:**
- **STREET 1:** 100 EAST PRATT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202
- **BUSINESS PHONE:** 410-345-2000

**MAIL ADDRESS:**
- **STREET 1:** 100 EAST PRATT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRICE T ROWE NEW INCOME FUND INC
- **DATE OF NAME CHANGE:** 19940727

## Series and Classes Contracts Data

### T. Rowe Price New Income Fund, Inc. (Series ID: S000002136)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000005529 | T. Rowe Price New Income Fund, Inc.         | PRCIX           |
| C000005530 | T. Rowe Price New Income Fund-Advisor Class | PANIX           |
| C000005531 | T. Rowe Price New Income Fund-R Class       | RRNIX           |
| C000159679 | T. Rowe Price New Income Fund-I Class       | PRXEX           |
| C000219349 | T. Rowe Price New Income Fund-Z Class       | TRVZX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** T. ROWE PRICE NEW INCOME FUND, INC.

- **b. Investment Company Act file number:** 811-02396

- **c. CIK number of Registrant:** 0000080249

- **d. LEI of Registrant:** 549300KL6GYU8HTJ4G78

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

  - **Street Address 1:** 100 East Pratt Street

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21202

  - **Telephone number:** 410-345-2000

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

- **a. Name of Series:** T. Rowe Price New Income Fund, Inc.

- **b. EDGAR series identifier (if any):** S000002136

- **c. LEI of Series:** 5F373D85WF2X2XQOCV26

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**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:** $16488014738.55

**Total Liabilities:** $941750845.14

**Net Assets:** $15546263893.41

**Stand-by Commitments:** $786094240.55

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3315.706854 | **1-Year:** -434998.782082 | **5-Year:** -2409271.207346 | **10-Year:** -2238509.042966 | **30-Year:** -279877.823483

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

- **3-Month:** 0.000000 | **1-Year:** -17716.318117 | **5-Year:** -97005.860343 | **10-Year:** -40698.842674 | **30-Year:** -1583.686036

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000005531 | -4.57%               | -1.68%               | 3.67%                |
| Class ID C000159679 | -4.51%               | -1.62%               | 3.73%                |
| Class ID C000005529 | -4.63%               | -1.50%               | 3.72%                |
| Class ID C000005530 | -4.66%               | -1.53%               | 3.70%                |
| Class ID C000219349 | -4.47%               | -1.59%               | 3.76%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-199814518.03           | $-474094381.87                             |
| Month 2  | $-126551342.61           | $-94902598.86                              |
| Month 3  | $-57050301.68            | $519186285.68                              |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays US Agg Total Return Value Unhedged USD (Returns)

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                             | US ULTRA BOND CBT MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       203 | NC      | $377364.74    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US ULTRA BOND CBT MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      2703 | NC      | $5024713.75   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US ULTRA BOND CBT MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       338 | NC      | $628321.59    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 10YR ULTRA FUT MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      2660 | NC      | $2298043.05   | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 10YR ULTRA FUT MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       805 | NC      | $695460.40    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 10YR NOTE (CBT)MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |     -1413 | NC      | $-470401.83   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 2YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      1127 | NC      | $654741.81    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 2YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       794 | NC      | $461282.16    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | US 2YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      1691 | NC      | $982403.19    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Mexico Government International Bond                                            | ICE_MEXICO CDS 12/20/2027                                                       | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-2122710.71  | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Indonesia Treasury Bond                                                         | ICE_INDONESIA CDS 12/20/2027                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | N/A              | DCR              | CORP              | US        |         1 | NC      | $431246.49    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | BARCLAYS BANK PLC SNR OPCO CDS 06/20/2024                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $29922.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LONG GILT FUTURE MAR23                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | GB        |     -1311 | NC      | $256139.32    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| APPLIED SYSTEMS INC                                                             | APPLIED SYSTEMS INC                                                             | CUSIP: 03827FBB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1525000 | PA      | $1514996.00   | 0.01%             | 2026-09-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| DELTA 2 LUX SARL                                                                | DELTA 2 LUX SARL                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   8755000 | PA      | $8708510.95   | 0.06%             | 2030-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                                                           | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332EAV8<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |    705000 | PA      | $693543.75    | 0.00%             | 2029-10-31      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| PetVet Care Centers LLC                                                         | PETVET CARE CENTERS LLC                                                         | CUSIP: 71681GAB7<br>LEI: 549300V0HK8MSXZNOM91 | Long             | LON              | CORP              | US        |   4987500 | PA      | $4729795.88   | 0.03%             | 2025-02-14      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| CENTRAL PARENT INC                                                              | CENTRAL PARENT INC                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   5570000 | PA      | $5498481.20   | 0.04%             | 2029-06-09      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC                                                          | ATHENAHEALTH GROUP INC                                                          | CUSIP: 04686RAB9<br>LEI: 5493004JZ4RQIZBHP241 | Long             | LON              | CORP              | US        |   9556347 | PA      | $8705831.71   | 0.06%             | 2029-02-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| UKG Inc                                                                         | UKG INC                                                                         | CUSIP: 90385KAK7<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |  17646650 | PA      | $17021605.66  | 0.11%             | 2026-05-04      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| UKG Inc                                                                         | UKG INC                                                                         | CUSIP: 90385K9D5<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |   3930000 | PA      | $3595950.00   | 0.02%             | 2027-05-03      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Ascend Learning LLC                                                             | ASCEND LEARNING LLC                                                             | CUSIP: 04349HAK0<br>LEI: 549300T466HKRLVCD610 | Long             | LON              | CORP              | US        |   7790800 | PA      | $7360124.58   | 0.05%             | 2028-12-11      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                             | MEDLINE BORROWER LP                                                             | CUSIP: 58503UAC7<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |   6443375 | PA      | $6112249.96   | 0.04%             | 2028-10-23      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Charter Next Generation Inc                                                     | CHARTER NEX US INC                                                              | CUSIP: 16125TAJ1<br>LEI: 549300KRNU8RNVGYXG75 | Long             | LON              | CORP              | US        |   8990265 | PA      | $8747258.28   | 0.06%             | 2027-12-01      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR US NEWCO INC                                                        | TK ELEVATOR MIDCO GMBH                                                          | CUSIP: 000000000<br>LEI: 549300C2AFWPAYWS5574 | Long             | LON              | CORP              | US        |   3555636 | PA      | $3404521.56   | 0.02%             | 2027-07-30      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| SUNSHINE LUXEMBOURG VII                                                         | SUNSHINE LUXEMBOURG VII                                                         | CUSIP: 000000000<br>LEI: 254900CHQOBZNYV4DY60 | Long             | LON              | CORP              | LU        |    877330 | PA      | $832094.84    | 0.01%             | 2026-10-01      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Applied Systems Inc                                                             | APPLIED SYSTEMS INC                                                             | CUSIP: 03827FAX9<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |  18175000 | PA      | $18102663.50  | 0.12%             | 2024-09-19      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| RealPage Inc                                                                    | REALPAGE INC                                                                    | CUSIP: 75605VAD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   4262981 | PA      | $4073832.73   | 0.03%             | 2028-04-24      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                     | ASURION LLC                                                                     | CUSIP: 04649VAZ3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |   5985000 | PA      | $4602465.00   | 0.03%             | 2028-01-31      | Floating      | 9.32%                 | No            |                  2 | On Loan: No      |
| UFC Holdings LLC                                                                | UFC HOLDINGS LLC                                                                | CUSIP: 90266UAJ2<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |  13006983 | PA      | $12770386.37  | 0.08%             | 2026-04-29      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                                                           | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332EAU0<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |  17842608 | PA      | $17535536.76  | 0.11%             | 2025-04-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                     | ASURION LLC                                                                     | CUSIP: 04649VAX8<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |   5854311 | PA      | $5112745.08   | 0.03%             | 2026-12-23      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Mileage Plus Holdings LLC                                                       | MILEAGE PLUS HOLDINGS IN                                                        | CUSIP: 59921PAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2672750 | PA      | $2746250.63   | 0.02%             | 2027-06-21      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| Lamar Media Corp                                                                | LAMAR MEDIA CORP                                                                | CUSIP: 513076BB4<br>LEI: 529900Y8WW4MKVPTB543 | Long             | LON              | CORP              | US        |  14435000 | PA      | $13907256.40  | 0.09%             | 2027-02-05      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                              | CLEAR CHANNEL OUTDOOR HO                                                        | CUSIP: 18452RAD7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2589990 | PA      | $2364531.57   | 0.02%             | 2026-08-21      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTIO                                                        | CAESARS RESORT COLLECTIO                                                        | CUSIP: 000000000<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |   5053853 | PA      | $5014483.60   | 0.03%             | 2025-07-21      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                     | ASURION LLC                                                                     | CUSIP: 04649VAW0<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |   8544412 | PA      | $8179480.11   | 0.05%             | 2024-11-03      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                                                     | NETFLIX INC                                                                     | CUSIP: AV1834432<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |   7605000 | PA      | $7903554.25   | 0.05%             | 2029-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Westlake Corp                                                                   | WESTLAKE CORP                                                                   | CUSIP: AZ5984929<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |  11421000 | PA      | $9920747.15   | 0.06%             | 2029-07-17      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Volkswagen Bank GmbH                                                            | VOLKSWAGEN BANK GMBH                                                            | CUSIP: AW8992017<br>LEI: 529900GJD3OQLRZCKW37 | Long             | DBT              | CORP              | DE        |  20000000 | PA      | $19768070.08  | 0.13%             | 2026-07-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Yum  Brands Inc                                                                 | YUM! BRANDS INC                                                                 | CUSIP: 988498AR2<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |   4970000 | PA      | $4597250.00   | 0.03%             | 2032-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc                                                                 | XCEL ENERGY INC                                                                 | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |   6250000 | PA      | $5964587.50   | 0.04%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Worldwide Plaza Trust 2017-WWP                                                  | WORLDWIDE PLAZA TRUST 2017-WWP                                                  | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24455154 | PA      | $21122924.06  | 0.14%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Workday Inc                                                                     | WORKDAY INC                                                                     | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   3910000 | PA      | $3604132.43   | 0.02%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Woodside Finance Ltd                                                            | WOODSIDE FINANCE LTD                                                            | CUSIP: 980236AP8<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |  34813000 | PA      | $31331700.00  | 0.20%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| Woodside Finance Ltd                                                            | WOODSIDE FINANCE LTD                                                            | CUSIP: 980236AN3<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |  41929000 | PA      | $39203615.00  | 0.25%             | 2026-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| Woodside Finance Ltd                                                            | WOODSIDE FINANCE LTD                                                            | CUSIP: 980236AM5<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |  12830000 | PA      | $12315286.06  | 0.08%             | 2025-03-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Williams Cos Inc/The                                                            | WILLIAMS COS INC/THE                                                            | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   7096000 | PA      | $6711758.70   | 0.04%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Williams Cos Inc/The                                                            | WILLIAMS COS INC/THE                                                            | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |  29160000 | PA      | $23945463.00  | 0.15%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2021-RR1 Trust                           | WELLS FARGO MORTGAGE BACKED SECURITIES 2021-RR1 TRUST                           | CUSIP: 95003JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14644282 | PA      | $12010595.70  | 0.08%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2019-JWDR                                 | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR                                 | CUSIP: 95002NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26355000 | PA      | $22840318.28  | 0.15%             | 2031-09-15      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-C41                                  | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C41                                  | CUSIP: 95001ABG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $13446447.00  | 0.09%             | 2050-11-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-C39                                  | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C39                                  | CUSIP: 95000XAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5750000 | PA      | $5117123.38   | 0.03%             | 2050-09-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  31245000 | PA      | $27503536.23  | 0.18%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  15936000 | PA      | $15128459.14  | 0.10%             | 2031-04-04      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  52585000 | PA      | $43829807.84  | 0.28%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  53562000 | PA      | $46227755.34  | 0.30%             | 2030-10-30      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-NXS2                                 | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS2                                 | CUSIP: 94989MAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6215000 | PA      | $5816075.93   | 0.04%             | 2058-07-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2014-LC18                                 | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC18                                 | CUSIP: 94989AAW5<br>LEI: 5493007CD1Q2V06I4172 | Long             | ABS-MBS          | CORP              | US        |   5860000 | PA      | $5529984.14   | 0.04%             | 2047-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  11645000 | PA      | $11219759.54  | 0.07%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                         | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668BT8<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   8145000 | PA      | $7731657.54   | 0.05%             | 2029-06-08      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                         | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668BN1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   6720000 | PA      | $5647884.48   | 0.04%             | 2027-11-24      | Fixed         | 1.62%                 | No            |                  2 | On Loan: —       |
| Volkswagen Group of America Finance LLC                                         | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668BB7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |  15868000 | PA      | $14820585.06  | 0.10%             | 2026-09-26      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                         | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |  21055000 | PA      | $20434172.27  | 0.13%             | 2028-11-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                              | VODAFONE GROUP PLC                                                              | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   3886000 | PA      | $3298436.80   | 0.02%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                              | VODAFONE GROUP PLC                                                              | CUSIP: 92857WBM1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |  11713000 | PA      | $10526953.33  | 0.07%             | 2048-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                              | VODAFONE GROUP PLC                                                              | CUSIP: 92857WBL3<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |  17214000 | PA      | $15873390.89  | 0.10%             | 2038-05-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                              | VODAFONE GROUP PLC                                                              | CUSIP: 92857WBK5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |  27950000 | PA      | $27664239.20  | 0.18%             | 2028-05-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                        | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAL6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |  17905000 | PA      | $17512450.78  | 0.11%             | 2025-05-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                        | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   5145000 | PA      | $4527600.00   | 0.03%             | 2029-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| Vistra Operations Co LLC                                                        | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAD4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |  44076000 | PA      | $42092580.00  | 0.27%             | 2024-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                                                     | VISTRA CORP                                                                     | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |  11320000 | PA      | $10810600.00  | 0.07%             | N/A             | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust 2020-1                                         | VISTA POINT SECURITIZATION TRUST 2020-1                                         | CUSIP: 92838WAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17346000 | PA      | $16638163.51  | 0.11%             | 2065-03-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust 2020-2                                         | VISTA POINT SECURITIZATION TRUST 2020-2                                         | CUSIP: 92838TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2539704 | PA      | $2218663.21   | 0.01%             | 2065-04-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Chesapeake Energy Corp                                                          | CHESAPEAKE ENERGY CORP                                                          | CUSIP: 92735LAA0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |   2050000 | PA      | $2019250.00   | 0.01%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2022-1                                               | VERUS SECURITIZATION TRUST 2022-1                                               | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6026491 | PA      | $5220820.64   | 0.03%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2020-2                                               | VERUS SECURITIZATION TRUST 2020-2                                               | CUSIP: 92537UAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7815000 | PA      | $7298880.99   | 0.05%             | 2060-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2020-INV1                                            | VERUS SECURITIZATION TRUST 2020-INV1                                            | CUSIP: 92537TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1141213 | PA      | $1088581.54   | 0.01%             | 2060-03-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| TK Elevator US Newco Inc                                                        | TK ELEVATOR US NEWCO INC                                                        | CUSIP: 92537RAA7<br>LEI: 549300C2AFWPAYWS5574 | Long             | DBT              | CORP              | US        |   9040000 | PA      | $8203800.00   | 0.05%             | 2027-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2019-INV3                                            | VERUS SECURITIZATION TRUST 2019-INV3                                            | CUSIP: 92537MAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5229306 | PA      | $4914852.79   | 0.03%             | 2059-11-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2019-4                                               | VERUS SECURITIZATION TRUST 2019-4                                               | CUSIP: 92537KAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5200000 | PA      | $4414484.88   | 0.03%             | 2059-11-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2019-4                                               | VERUS SECURITIZATION TRUST 2019-4                                               | CUSIP: 92537KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2423472 | PA      | $2296833.62   | 0.01%             | 2059-11-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2019-INV2                                            | VERUS SECURITIZATION TRUST 2019-INV2                                            | CUSIP: 92537HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4216323 | PA      | $4055020.44   | 0.03%             | 2059-07-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2020-1                                               | VERUS SECURITIZATION TRUST 2020-1                                               | CUSIP: 92536PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2629620 | PA      | $2469475.45   | 0.02%             | 2060-01-25      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                      | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |  28526000 | PA      | $22805338.91  | 0.15%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                      | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |  10940000 | PA      | $9087967.40   | 0.06%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                      | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |  12383000 | PA      | $10810049.43  | 0.07%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                      | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |  37223000 | PA      | $25521168.27  | 0.16%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                               | VENTURE GLOBAL CALCASIEU PASS LLC                                               | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |   8505000 | PA      | $6889050.00   | 0.04%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VNDO Trust 2016-350P                                                            | VNDO TRUST 2016-350P                                                            | CUSIP: 91831UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12524000 | PA      | $10295775.01  | 0.07%             | 2035-01-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7870000 | PA      | $7969604.69   | 0.05%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 285515000 | PA      | $288994714.06 | 1.86%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 215625000 | PA      | $209055175.78 | 1.34%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CEY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 711855000 | PA      | $691277941.41 | 4.45%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 177965000 | PA      | $168288153.13 | 1.08%             | 2025-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CDS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 186135000 | PA      | $174094392.19 | 1.12%             | 2025-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CDN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 223520000 | PA      | $209026125.00 | 1.34%             | 2024-12-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CDB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 180530000 | PA      | $168372432.81 | 1.08%             | 2024-10-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CCC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  61075000 | PA      | $57334156.25  | 0.37%             | 2024-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 232235000 | PA      | $233287314.84 | 1.50%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 159650000 | PA      | $165936218.75 | 1.07%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 437190000 | PA      | $400028850.00 | 2.57%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 344530000 | PA      | $294896146.88 | 1.90%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND - WHEN ISSUED                                  | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 255200000 | PA      | $229081875.00 | 1.47%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 350400000 | PA      | $291215250.00 | 1.87%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United Airlines 2019-2 Class A Pass Through Trust                               | UNITED AIRLINES 2019-2 CLASS A PASS THROUGH TRUST                               | CUSIP: 90932MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7082042 | PA      | $5740689.44   | 0.04%             | 2028-05-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| United Airlines 2019-2 Class AA Pass Through Trust                              | UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4410239 | PA      | $3604527.76   | 0.02%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust 2018-C9                                           | UBS COMMERCIAL MORTGAGE TRUST 2018-C9                                           | CUSIP: 90291JAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7230000 | PA      | $6592520.78   | 0.04%             | 2051-03-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS GROUP AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   4085000 | PA      | $3927911.33   | 0.03%             | 2028-05-12      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS GROUP AG                                                                    | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   7079000 | PA      | $5549298.89   | 0.04%             | 2033-02-11      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS GROUP AG                                                                    | CUSIP: 902613AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  14633000 | PA      | $12735553.52  | 0.08%             | 2027-01-30      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp                                                           | TRUIST FINANCIAL CORP                                                           | CUSIP: 89788MAG7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |  19620000 | PA      | $18712653.48  | 0.12%             | 2028-06-06      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Transurban Finance Co Pty Ltd                                                   | TRANSURBAN FINANCE CO PTY LTD                                                   | CUSIP: 89400PAK9<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |  12184000 | PA      | $9635838.24   | 0.06%             | 2031-03-16      | Fixed         | 2.45%                 | No            |                  2 | On Loan: —       |
| Transurban Finance Co Pty Ltd                                                   | TRANSURBAN FINANCE CO PTY LTD                                                   | CUSIP: 89400PAG8<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |  10230000 | PA      | $9373237.50   | 0.06%             | 2027-03-22      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Co LLC                                           | TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7309000 | PA      | $6411323.24   | 0.04%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Co LLC                                           | TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2806000 | PA      | $2396074.27   | 0.02%             | 2048-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Co LLC                                           | TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | CUSIP: 893574AK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10600000 | PA      | $9998354.60   | 0.06%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2017-2                                                | TOWD POINT MORTGAGE TRUST 2017-2                                                | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600707 | PA      | $591563.01    | 0.00%             | 2057-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2017-1                                                | TOWD POINT MORTGAGE TRUST 2017-1                                                | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1447055 | PA      | $1419690.45   | 0.01%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2017-5                                                | TOWD POINT MORTGAGE TRUST 2017-5                                                | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2723674 | PA      | $2679575.88   | 0.02%             | 2057-02-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                                                       | TORONTO-DOMINION BANK/THE                                                       | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   3105000 | PA      | $2961707.36   | 0.02%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV                                  | TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV                                  | CUSIP: 88167AAN1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1875000 | PA      | $1865625.00   | 0.01%             | 2025-01-31      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp                                                           | TENET HEALTHCARE CORP                                                           | CUSIP: 88033GDP2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |   3370000 | PA      | $3201500.00   | 0.02%             | 2030-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp             | TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP             | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5557000 | PA      | $5306935.00   | 0.03%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp             | TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP             | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6175000 | PA      | $6298500.00   | 0.04%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                    | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                    | CUSIP: 87470LAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1306125.00   | 0.01%             | 2025-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                                                | T-MOBILE USA INC                                                                | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  12155000 | PA      | $10468031.86  | 0.07%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                                                | T-MOBILE USA INC                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  79092000 | PA      | $74821902.01  | 0.48%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TJX Cos Inc/The                                                                 | TJX COS INC/THE                                                                 | CUSIP: 872540AW9<br>LEI: V167QI9I69W364E2DY52 | Long             | DBT              | CORP              | US        |   9297000 | PA      | $7280629.45   | 0.05%             | 2031-05-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXVI Ltd                                                           | SYMPHONY CLO XXVI LTD                                                           | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  14640000 | PA      | $14260512.90  | 0.09%             | 2033-04-20      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXXI Ltd                                                           | SYMPHONY CLO XXXI LTD                                                           | CUSIP: 87168YAE0<br>LEI: 549300OJB1EXT6QKOX87 | Long             | ABS-CBDO         | CORP              | BM        |  14150000 | PA      | $13458109.43  | 0.09%             | 2035-04-22      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2021-4                                      | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-4                                      | CUSIP: 85573PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13423946 | PA      | $10666497.23  | 0.07%             | 2056-08-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2021-3                                      | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-3                                      | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6234113 | PA      | $4987156.63   | 0.03%             | 2056-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                          | STANDARD CHARTERED PLC                                                          | CUSIP: 85325WAA6<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  16707000 | PA      | $15439974.53  | 0.10%             | 2026-01-30      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                          | STANDARD CHARTERED PLC                                                          | CUSIP: 853254CJ7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  10485000 | PA      | $9925509.92   | 0.06%             | 2026-03-30      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                          | STANDARD CHARTERED PLC                                                          | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  17245000 | PA      | $14788329.04  | 0.10%             | 2028-01-12      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                          | STANDARD CHARTERED PLC                                                          | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  10354000 | PA      | $8893288.74   | 0.06%             | 2027-01-14      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                          | STANDARD CHARTERED PLC                                                          | CUSIP: 853254BS8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  36236000 | PA      | $32451403.45  | 0.21%             | 2031-04-01      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp                                                             | SPRINT CAPITAL CORP                                                             | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |   2675000 | PA      | $2835500.00   | 0.02%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp                                                            | ONEMAIN FINANCE CORP                                                            | CUSIP: 85172FAN9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   3450000 | PA      | $3333562.50   | 0.02%             | 2026-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co                                                   | SOUTHERN CALIFORNIA EDISON CO                                                   | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |  12650000 | PA      | $12447954.20  | 0.08%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SLIDE 2018-FUN                                                                  | SLIDE 2018-FUN                                                                  | CUSIP: 831350AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8826826 | PA      | $8657089.51   | 0.06%             | 2031-06-15      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio Inc                                                             | SIRIUS XM RADIO INC                                                             | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   4295000 | PA      | $3758125.00   | 0.02%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Shinhan Bank Co Ltd                                                             | SHINHAN BANK CO LTD                                                             | CUSIP: 82460EAJ9<br>LEI: 5493003P813VL21KG928 | Long             | DBT              | CORP              | KR        |   5830000 | PA      | $5467677.39   | 0.04%             | 2026-03-24      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Sherwin-Williams Co/The                                                         | SHERWIN-WILLIAMS CO/THE                                                         | CUSIP: 824348BJ4<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |   3540000 | PA      | $3125115.54   | 0.02%             | 2029-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH4                                                 | SEQUOIA MORTGAGE TRUST 2018-CH4                                                 | CUSIP: 81747LAB7<br>LEI: 5493003EWUCLH0O45S72 | Long             | ABS-MBS          | CORP              | US        |    404395 | PA      | $399990.88    | 0.00%             | 2048-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH2                                                 | SEQUOIA MORTGAGE TRUST 2018-CH2                                                 | CUSIP: 81747EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3442941 | PA      | $3223746.70   | 0.02%             | 2048-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH1                                                 | SEQUOIA MORTGAGE TRUST 2018-CH1                                                 | CUSIP: 81747DAB5<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |    939895 | PA      | $854447.17    | 0.01%             | 2048-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH3                                                 | SEQUOIA MORTGAGE TRUST 2018-CH3                                                 | CUSIP: 81746WAB4<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |    896588 | PA      | $877461.50    | 0.01%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sensata Technologies BV                                                         | SENSATA TECHNOLOGIES BV                                                         | CUSIP: 81725WAL7<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |   2820000 | PA      | $2679000.00   | 0.02%             | 2030-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| Sempra Energy                                                                   | SEMPRA ENERGY                                                                   | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   5155000 | PA      | $4717732.28   | 0.03%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                                                   | SEMPRA ENERGY                                                                   | CUSIP: 816851BH1<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   8243000 | PA      | $6676434.34   | 0.04%             | 2038-02-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Sealed Air Corp                                                                 | SEALED AIR CORP                                                                 | CUSIP: 81211KBA7<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |   3050000 | PA      | $2836500.00   | 0.02%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Santander Bank NA - SBCLN                                                       | SANTANDER BANK NA - SBCLN                                                       | CUSIP: 80290CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4530332 | PA      | $4347393.40   | 0.03%             | 2031-12-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2021-3                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-3                                   | CUSIP: 80287EAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  29300000 | PA      | $27132986.65  | 0.17%             | 2027-09-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust 2021-A                                        | SANTANDER RETAIL AUTO LEASE TRUST 2021-A                                        | CUSIP: 80286TAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23480000 | PA      | $21796263.29  | 0.14%             | 2027-03-22      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2022-2                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-2                                   | CUSIP: 80286MAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17240000 | PA      | $16227358.60  | 0.10%             | 2029-07-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA Inc                                                      | SANTANDER HOLDINGS USA INC                                                      | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |  12500000 | PA      | $10868075.00  | 0.07%             | 2028-01-06      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings PLC                                                 | SANTANDER UK GROUP HOLDINGS PLC                                                 | CUSIP: 80281LAM7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |  48133000 | PA      | $42234445.25  | 0.27%             | 2026-08-21      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                    | SABINE PASS LIQUEFACTION LLC                                                    | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   4495000 | PA      | $4219681.25   | 0.03%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                    | SABINE PASS LIQUEFACTION LLC                                                    | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |  14711000 | PA      | $14894887.50  | 0.10%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                    | SABINE PASS LIQUEFACTION LLC                                                    | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |  71542000 | PA      | $70111160.00  | 0.45%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                    | SABINE PASS LIQUEFACTION LLC                                                    | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   4227000 | PA      | $4221716.25   | 0.03%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                  | SMRT 2022-MINI                                                                  | CUSIP: 78457JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20450000 | PA      | $19270871.41  | 0.12%             | 2039-01-15      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2018-C                                         | SMB PRIVATE EDUCATION LOAN TRUST 2018-C                                         | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |   7808401 | PA      | $7327304.97   | 0.05%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2018-B                                         | SMB PRIVATE EDUCATION LOAN TRUST 2018-B                                         | CUSIP: 78449LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6956296 | PA      | $6654493.27   | 0.04%             | 2037-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2016-B                                         | SMB PRIVATE EDUCATION LOAN TRUST 2016-B                                         | CUSIP: 78449GAB5<br>LEI: 5493008SQ2WS8HE83M61 | Long             | ABS-O            | CORP              | US        |   2120354 | PA      | $2001789.03   | 0.01%             | 2032-02-17      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2016-A                                         | SMB PRIVATE EDUCATION LOAN TRUST 2016-A                                         | CUSIP: 78449FAB7<br>LEI: 54930039BHEBCRK29U41 | Long             | ABS-O            | CORP              | US        |   2318498 | PA      | $2215723.46   | 0.01%             | 2031-05-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2021-A                                         | SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                         | CUSIP: 78448YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18418916 | PA      | $15464341.28  | 0.10%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SMBC Aviation Capital Finance DAC                                               | SMBC AVIATION CAPITAL FINANCE DAC                                               | CUSIP: 78448TAE2<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |  14765000 | PA      | $14234966.03  | 0.09%             | 2024-04-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust 2022-1                                            | SG RESIDENTIAL MORTGAGE TRUST 2022-1                                            | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17032256 | PA      | $15161910.35  | 0.10%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust 2019-3                                            | SG RESIDENTIAL MORTGAGE TRUST 2019-3                                            | CUSIP: 78432BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    813250 | PA      | $777503.60    | 0.01%             | 2059-09-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17515000 | PA      | $13796895.31  | 0.09%             | 2031-10-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DAV2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  21685000 | PA      | $18170957.89  | 0.12%             | 2027-04-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd                                                     | ROYAL CARIBBEAN CRUISES LTD                                                     | CUSIP: 780153BS0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |   4440000 | PA      | $4467750.00   | 0.03%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| T Rowe Price Institutional Floating Rate Fund                                   | T. Rowe Price Institutional Floating Rate Fund - Class Z                        | CUSIP: 77958B873<br>LEI: 863VOPTBPYYVTH00FU88 | Long             | EC               | RF                | US        |   6170106 | NS      | $56764972.65  | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Ross Stores Inc                                                                 | ROSS STORES INC                                                                 | CUSIP: 778296AG8<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |  20720000 | PA      | $16363847.92  | 0.11%             | 2031-04-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: —       |
| Rogers Communications Inc                                                       | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |   5020000 | PA      | $4086626.38   | 0.03%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc                                                       | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |  10375000 | PA      | $9180381.00   | 0.06%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc                                                       | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109CB5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |   6654000 | PA      | $6220658.25   | 0.04%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                                                           | REYNOLDS AMERICAN INC                                                           | CUSIP: 761713BG0<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |  35794000 | PA      | $35169967.40  | 0.23%             | 2025-06-12      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| T Rowe Price Government Reserve Investment Fund                                 | T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND - Collateral                    | CUSIP: 76105YYY8<br>LEI: 5493007QR86JJLYO6D96 | Long             | STIV             | RF                | US        |  83521049 | NS      | $83521048.80  | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price Government Reserve Investment Fund                                 | T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND                                 | CUSIP: 76105Y109<br>LEI: 5493007QR86JJLYO6D96 | Long             | STIV             | RF                | US        | 863163625 | NS      | $863163624.78 | 5.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Regency Centers LP                                                              | REGENCY CENTERS LP                                                              | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |   9817000 | PA      | $9148030.35   | 0.06%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp                                                              | REALTY INCOME CORP                                                              | CUSIP: 756109BG8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |  10020000 | PA      | $9526084.14   | 0.06%             | 2027-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                                                | PLANET FITNESS MASTER ISSUER LLC                                                | CUSIP: 72703PAD5<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |  21865125 | PA      | $18978053.90  | 0.12%             | 2051-12-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                                                | PLANET FITNESS MASTER ISSUER LLC                                                | CUSIP: 72703PAB9<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |  24763200 | PA      | $23134350.99  | 0.15%             | 2048-09-05      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                                                 | PHILIP MORRIS INTERNATIONAL INC                                                 | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   4640000 | PA      | $4718518.08   | 0.03%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PerkinElmer Inc                                                                 | PERKINELMER INC                                                                 | CUSIP: 714046AN9<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   7580000 | PA      | $5970485.54   | 0.04%             | 2031-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| PerkinElmer Inc                                                                 | PERKINELMER INC                                                                 | CUSIP: 714046AM1<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |  13950000 | PA      | $11494758.15  | 0.07%             | 2028-09-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| PerkinElmer Inc                                                                 | PERKINELMER INC                                                                 | CUSIP: 714046AG4<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   9984000 | PA      | $8709332.74   | 0.06%             | 2029-09-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp                                                            | PARKER-HANNIFIN CORP                                                            | CUSIP: 701094AS3<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |   6555000 | PA      | $6346983.63   | 0.04%             | 2029-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp                                                            | PARKER-HANNIFIN CORP                                                            | CUSIP: 701094AR5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |   6060000 | PA      | $5884187.28   | 0.04%             | 2027-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Clarios Global LP / Clarios US Finance Co                                       | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                       | CUSIP: 69867DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2905000 | PA      | $2868687.50   | 0.02%             | 2026-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO 2022-1 Ltd                                                    | PALMER SQUARE CLO 2022-1 LTD                                                    | CUSIP: 69689QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  40630000 | PA      | $39198586.41  | 0.25%             | 2035-04-20      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  13652000 | PA      | $12492235.30  | 0.08%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  20828000 | PA      | $16346501.72  | 0.11%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  10318000 | PA      | $8769226.93   | 0.06%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  10551000 | PA      | $7376351.81   | 0.05%             | 2047-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: —       |
| PNC Financial Services Group Inc/The                                            | PNC FINANCIAL SERVICES GROUP INC/THE                                            | CUSIP: 693475BE4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   5300000 | PA      | $4920504.10   | 0.03%             | 2033-06-06      | Variable      | 4.63%                 | No            |                  2 | On Loan: —       |
| PNC Financial Services Group Inc/The                                            | PNC FINANCIAL SERVICES GROUP INC/THE                                            | CUSIP: 693475AZ8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   3650000 | PA      | $3102613.15   | 0.02%             | 2030-01-22      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                     | ORACLE CORP                                                                     | CUSIP: 68389XCJ2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   4840000 | PA      | $5089656.88   | 0.03%             | 2032-11-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                     | ORACLE CORP                                                                     | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  12072000 | PA      | $10448086.63  | 0.07%             | 2028-03-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                       | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   6240000 | PA      | $7129200.00   | 0.05%             | 2030-07-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                       | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599DZ5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   8585000 | PA      | $9357650.00   | 0.06%             | 2027-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                       | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   3595000 | PA      | $3469175.00   | 0.02%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP1 Trust                                                             | OBX 2020-EXP1 TRUST                                                             | CUSIP: 67448TAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7419581 | PA      | $6560264.74   | 0.04%             | 2060-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM3 Trust                                                             | OBX 2021-NQM3 TRUST                                                             | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10795663 | PA      | $8100677.18   | 0.05%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM1 Trust                                                             | OBX 2021-NQM1 TRUST                                                             | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9041473 | PA      | $7801422.08   | 0.05%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| OBX 2019-EXP2 Trust                                                             | OBX 2019-EXP2 TRUST                                                             | CUSIP: 67113KAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4462278 | PA      | $4054564.96   | 0.03%             | 2059-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2019-EXP3 Trust                                                             | OBX 2019-EXP3 TRUST                                                             | CUSIP: 67113AAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2712187 | PA      | $2510097.43   | 0.02%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX 2019-INV2 Trust                                                             | OBX 2019-INV2 TRUST                                                             | CUSIP: 67112VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1087898 | PA      | $1020052.78   | 0.01%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2019-INV2 Trust                                                             | OBX 2019-INV2 TRUST                                                             | CUSIP: 67112VAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2944490 | PA      | $2760862.52   | 0.02%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OZLM VII Ltd                                                                    | OZLM VII LTD                                                                    | CUSIP: 67108WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  30264512 | PA      | $29787330.51  | 0.19%             | 2029-07-17      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| O Reilly Automotive Inc                                                         | O'REILLY AUTOMOTIVE INC                                                         | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   3345000 | PA      | $3264910.67   | 0.02%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| NuStar Logistics LP                                                             | NUSTAR LOGISTICS LP                                                             | CUSIP: 67059TAF2<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |   3044000 | PA      | $2952680.00   | 0.02%             | 2026-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nucor Corp                                                                      | NUCOR CORP                                                                      | CUSIP: 670346AV7<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |   3535000 | PA      | $3020307.54   | 0.02%             | 2032-04-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Gen Digital Inc                                                                 | GEN DIGITAL INC                                                                 | CUSIP: 668771AL2<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |   1130000 | PA      | $1138475.00   | 0.01%             | 2030-09-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: —       |
| Gen Digital Inc                                                                 | GEN DIGITAL INC                                                                 | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |   1420000 | PA      | $1425325.00   | 0.01%             | 2027-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Nordea Bank Abp                                                                 | NORDEA BANK ABP                                                                 | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |  12665000 | PA      | $12686809.13  | 0.08%             | 2027-09-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                             | NEXTERA ENERGY CAPITAL HOLDINGS INC                                             | CUSIP: 65339KCJ7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   3010000 | PA      | $2995416.55   | 0.02%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                             | NEXTERA ENERGY CAPITAL HOLDINGS INC                                             | CUSIP: 65339KCA6<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  14640000 | PA      | $10017712.80  | 0.06%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| NextEra Energy Capital Holdings Inc                                             | NEXTERA ENERGY CAPITAL HOLDINGS INC                                             | CUSIP: 65339KBZ2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  20625000 | PA      | $16748675.63  | 0.11%             | 2032-01-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2021-INV2                                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2                                   | CUSIP: 64831GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11820048 | PA      | $9360189.29   | 0.06%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2021-INV2                                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2                                   | CUSIP: 64831GAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15239238 | PA      | $12308061.98  | 0.08%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2021-INV1                                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV1                                   | CUSIP: 64829WAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15397122 | PA      | $13185725.75  | 0.08%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2021-INV1                                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV1                                   | CUSIP: 64829WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6332936 | PA      | $5027755.90   | 0.03%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC                                          | NEW ECONOMY ASSETS PHASE 1 SPONSOR LLC                                          | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6039764 | PA      | $5106535.91   | 0.03%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers Clo 43 Ltd                                       | NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD                                       | CUSIP: 64134AAA0<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | KY        |  15105000 | PA      | $14661843.01  | 0.09%             | 2035-06-18      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 32 Ltd                                       | NEUBERGER BERMAN LOAN ADVISERS CLO 32 LTD                                       | CUSIP: 64132DAJ7<br>LEI: 5493007YBEOXQIHH3C54 | Long             | ABS-CBDO         | CORP              | KY        |  49995000 | PA      | $48795761.94  | 0.31%             | 2032-01-20      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2022-A                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2022-A                                | CUSIP: 63942MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  33902465 | PA      | $29487953.76  | 0.19%             | 2070-07-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-C                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-C                                | CUSIP: 63941KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20755000 | PA      | $16213498.83  | 0.10%             | 2068-11-15      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2019-G                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-G                                | CUSIP: 63941JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9156373 | PA      | $8369628.63   | 0.05%             | 2068-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-B                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-B                                | CUSIP: 63941GAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13003221 | PA      | $11788189.32  | 0.08%             | 2069-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust 2017-A                                     | NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A                                     | CUSIP: 63939XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8525000 | PA      | $7930431.55   | 0.05%             | 2058-12-16      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2019-F                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-F                                | CUSIP: 63935CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9875487 | PA      | $9128827.98   | 0.06%             | 2068-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-H                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H                                | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6481559 | PA      | $5815450.43   | 0.04%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                               | NATWEST GROUP PLC                                                               | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   8785000 | PA      | $9137454.20   | 0.06%             | 2026-11-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                                     | NATIONWIDE BUILDING SOCIETY                                                     | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   8705000 | PA      | $7618737.87   | 0.05%             | 2028-02-16      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                                | NTT FINANCE CORP                                                                | CUSIP: 62954WAE5<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   3650000 | PA      | $2950269.45   | 0.02%             | 2031-04-03      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                                | NTT FINANCE CORP                                                                | CUSIP: 62954WAD7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |  26137000 | PA      | $22119743.10  | 0.14%             | 2028-04-03      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC / NXP USA Inc                                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAX6<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   4632000 | PA      | $4216838.47   | 0.03%             | 2027-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC / NXP USA Inc                                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   2279000 | PA      | $2137426.24   | 0.01%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC                                                        | NXP BV / NXP FUNDING LLC                                                        | CUSIP: 62947QBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |  10055000 | PA      | $10038751.12  | 0.06%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NRG Energy Inc                                                                  | NRG ENERGY INC                                                                  | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |  12942000 | PA      | $11744865.00  | 0.08%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NBN Co Ltd                                                                      | NBN CO LTD                                                                      | CUSIP: 62878U2B7<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |  16981000 | PA      | $13700627.40  | 0.09%             | 2031-05-05      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Utah Acquisition Sub Inc                                                        | UTAH ACQUISITION SUB INC                                                        | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |  26418000 | PA      | $24729229.35  | 0.16%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                             | MEDLINE BORROWER LP                                                             | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |   8490000 | PA      | $7131600.00   | 0.05%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5725000 | PA      | $4301839.43   | 0.03%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  13695000 | PA      | $12051586.31  | 0.08%             | 2027-05-04      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17                     | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17                     | CUSIP: 61763UBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20470000 | PA      | $19509670.42  | 0.13%             | 2047-08-15      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5100000 | PA      | $4844592.00   | 0.03%             | 2033-07-20      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YET8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   8415000 | PA      | $8318160.18   | 0.05%             | 2026-07-17      | Variable      | 4.68%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  15751000 | PA      | $12131498.96  | 0.08%             | 2032-07-21      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  25000000 | PA      | $21798850.00  | 0.14%             | 2027-07-20      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Mondelez International Inc                                                      | MONDELEZ INTERNATIONAL INC                                                      | CUSIP: 609207AT2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |   4464000 | PA      | $3875479.63   | 0.02%             | 2030-04-13      | Fixed         | 2.75%                 | No            |                  2 | On Loan: —       |
| Molina Healthcare Inc                                                           | MOLINA HEALTHCARE INC                                                           | CUSIP: 60855RAJ9<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |   2820000 | PA      | $2559150.00   | 0.02%             | 2028-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc                                              | MITSUBISHI UFJ FINANCIAL GROUP INC                                              | CUSIP: 606822CN2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  16495000 | PA      | $16433226.23  | 0.11%             | 2028-09-13      | Variable      | 5.35%                 | No            |                  2 | On Loan: —       |
| Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd       | MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS INTELLECTUAL PROPERTY ASSETS LTD       | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17567400 | PA      | $17479563.00  | 0.11%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Micron Technology Inc                                                           | MICRON TECHNOLOGY INC                                                           | CUSIP: 595112BP7<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   6615000 | PA      | $6325593.75   | 0.04%             | 2027-02-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Methanex Corp                                                                   | METHANEX CORP                                                                   | CUSIP: 59151KAM0<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |   8835000 | PA      | $8172375.00   | 0.05%             | 2027-10-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| Mello Mortgage Capital Acceptance 2021-INV3                                     | MELLO MORTGAGE CAPITAL ACCEPTANCE 2021-INV3                                     | CUSIP: 585491BM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9223535 | PA      | $7288031.43   | 0.05%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Match Group Holdings II LLC                                                     | MATCH GROUP HOLDINGS II LLC                                                     | CUSIP: 57665RAG1<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |   4992000 | PA      | $4642560.00   | 0.03%             | 2027-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Martin Marietta Materials Inc                                                   | MARTIN MARIETTA MATERIALS INC                                                   | CUSIP: 573284AW6<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |   3940000 | PA      | $3196959.34   | 0.02%             | 2031-07-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD                                                   | MARRIOTT INTERNATIONAL INC/MD                                                   | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |  12905000 | PA      | $12817968.68  | 0.08%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD                                                   | MARRIOTT INTERNATIONAL INC/MD                                                   | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   3905000 | PA      | $3188944.06   | 0.02%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD                                                   | MARRIOTT INTERNATIONAL INC/MD                                                   | CUSIP: 571903AW3<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   6953000 | PA      | $6748477.51   | 0.04%             | 2025-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD                                                   | MARRIOTT INTERNATIONAL INC/MD                                                   | CUSIP: 571903AP8<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   3043000 | PA      | $2939650.59   | 0.02%             | 2025-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Marsh & McLennan Cos Inc                                                        | MARSH & MCLENNAN COS INC                                                        | CUSIP: 571748BN1<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   8918000 | PA      | $7325744.61   | 0.05%             | 2030-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings Inc                                                        | WARNERMEDIA HOLDINGS INC                                                        | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   3555000 | PA      | $3003292.44   | 0.02%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings Inc                                                        | WARNERMEDIA HOLDINGS INC                                                        | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   9190000 | PA      | $8012650.72   | 0.05%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings Inc                                                        | WARNERMEDIA HOLDINGS INC                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |  20840000 | PA      | $18966754.92  | 0.12%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Eleven Madison Trust 2015-11MD Mortgage Trust                                   | ELEVEN MADISON TRUST 2015-11MD MORTGAGE TRUST                                   | CUSIP: 556227AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23679000 | PA      | $21899999.10  | 0.14%             | 2035-09-10      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP                                                                         | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   3275000 | PA      | $3095651.18   | 0.02%             | 2032-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LUXE Trust 2021-TRIP                                                            | LUXE TRUST 2021-TRIP                                                            | CUSIP: 55066WAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10460000 | PA      | $9674049.20   | 0.06%             | 2038-10-15      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Lowe s Cos Inc                                                                  | LOWE'S COS INC                                                                  | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |  10490000 | PA      | $9535556.86   | 0.06%             | 2032-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| Las Vegas Sands Corp                                                            | LAS VEGAS SANDS CORP                                                            | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |  10677000 | PA      | $9683750.72   | 0.06%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lamar Media Corp                                                                | LAMAR MEDIA CORP                                                                | CUSIP: 513075BW0<br>LEI: 529900Y8WW4MKVPTB543 | Long             | DBT              | CORP              | US        |   3080000 | PA      | $2833600.00   | 0.02%             | 2029-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| LSEGA Financing PLC                                                             | LSEGA FINANCING PLC                                                             | CUSIP: 50220PAE3<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |   6705000 | PA      | $5029031.61   | 0.03%             | 2041-04-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| LSEGA Financing PLC                                                             | LSEGA FINANCING PLC                                                             | CUSIP: 50220PAD5<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |  14998000 | PA      | $12623261.67  | 0.08%             | 2031-04-06      | Fixed         | 2.50%                 | No            |                  2 | On Loan: —       |
| LSEGA Financing PLC                                                             | LSEGA FINANCING PLC                                                             | CUSIP: 50220PAC7<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |  41724000 | PA      | $35699596.81  | 0.23%             | 2028-04-06      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                                                           | BATH & BODY WORKS INC                                                           | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |  10110000 | PA      | $9414937.50   | 0.06%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Kookmin Bank                                                                    | KOOKMIN BANK                                                                    | CUSIP: 50050HAN6<br>LEI: 549300XXMOJSIW8P4769 | Long             | DBT              | CORP              | KR        |   1410000 | PA      | $1121313.37   | 0.01%             | 2030-11-04      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Kookmin Bank                                                                    | KOOKMIN BANK                                                                    | CUSIP: 50050GAN8<br>LEI: 549300XXMOJSIW8P4769 | Long             | DBT              | CORP              | KR        |   2465000 | PA      | $1960310.26   | 0.01%             | 2030-11-04      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Kinetik Holdings LP                                                             | KINETIK HOLDINGS LP                                                             | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |   2861000 | PA      | $2686101.35   | 0.02%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| KKR CLO 36 Ltd                                                                  | KKR CLO 36 LTD                                                                  | CUSIP: 48255AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3315000 | PA      | $3195248.11   | 0.02%             | 2034-10-15      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  12970000 | PA      | $12775190.60  | 0.08%             | 2033-09-14      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  13366000 | PA      | $12742248.88  | 0.08%             | 2033-07-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5250000 | PA      | $4880300.25   | 0.03%             | 2033-04-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  20020000 | PA      | $18259220.98  | 0.12%             | 2028-02-24      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  31065000 | PA      | $24883344.59  | 0.16%             | 2032-11-08      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  35303000 | PA      | $30961648.88  | 0.20%             | 2027-04-22      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  41300000 | PA      | $31671731.00  | 0.20%             | 2031-11-19      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  32197000 | PA      | $28214005.72  | 0.18%             | 2028-06-01      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  49658000 | PA      | $41178201.29  | 0.26%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  19897000 | PA      | $16896631.89  | 0.11%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE                | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-NINE                | CUSIP: 46646GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11320000 | PA      | $9623609.70   | 0.06%             | 2038-09-06      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                   | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11395000 | PA      | $9928642.40   | 0.06%             | 2033-07-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                   | CUSIP: 46645WBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7620000 | PA      | $6711124.50   | 0.04%             | 2033-07-05      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                   | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9825000 | PA      | $9176016.50   | 0.06%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding LLC                                                     | JACK IN THE BOX FUNDING LLC                                                     | CUSIP: 466365AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  35008870 | PA      | $30460552.62  | 0.20%             | 2052-02-26      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-INV1                                              | JP MORGAN MORTGAGE TRUST 2020-INV1                                              | CUSIP: 46591VBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2642984 | PA      | $2432900.13   | 0.02%             | 2050-08-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-INV1                                              | JP MORGAN MORTGAGE TRUST 2020-INV1                                              | CUSIP: 46591VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4469291 | PA      | $3969874.58   | 0.03%             | 2050-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-LTV1                                              | JP MORGAN MORTGAGE TRUST 2020-LTV1                                              | CUSIP: 46591NBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565387 | PA      | $544038.58    | 0.00%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-LTV1                                              | JP MORGAN MORTGAGE TRUST 2020-LTV1                                              | CUSIP: 46591NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1398733 | PA      | $1344898.20   | 0.01%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2019-INV3                                              | JP MORGAN MORTGAGE TRUST 2019-INV3                                              | CUSIP: 46591LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5338549 | PA      | $4820178.05   | 0.03%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Invesco CLO Ltd                                                                 | INVESCO CLO LTD                                                                 | CUSIP: 46149MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  33910000 | PA      | $32811241.06  | 0.21%             | 2034-07-15      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc                                                   | INTERCONTINENTAL EXCHANGE INC                                                   | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |  17650000 | PA      | $17336977.25  | 0.11%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                                    | ING GROEP NV                                                                    | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   9137000 | PA      | $8013331.74   | 0.05%             | 2027-04-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust 2021-NQM2                                          | IMPERIAL FUND MORTGAGE TRUST 2021-NQM2                                          | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13205525 | PA      | $10133300.48  | 0.07%             | 2056-09-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  16150000 | PA      | $13074345.55  | 0.08%             | 2028-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  11183000 | PA      | $10080400.93  | 0.06%             | 2025-10-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                      | HUMANA INC                                                                      | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   6040000 | PA      | $5576967.56   | 0.04%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                      | HUMANA INC                                                                      | CUSIP: 444859BN1<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |  17913000 | PA      | $17521009.82  | 0.11%             | 2030-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                      | HUMANA INC                                                                      | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   6075000 | PA      | $5848833.83   | 0.04%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Howard Hughes Corp/The                                                          | HOWARD HUGHES CORP/THE                                                          | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |   8295000 | PA      | $7403287.50   | 0.05%             | 2028-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Highwoods Realty LP                                                             | HIGHWOODS REALTY LP                                                             | CUSIP: 431282AR3<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |  11839000 | PA      | $10339389.39  | 0.07%             | 2029-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Highwoods Realty LP                                                             | HIGHWOODS REALTY LP                                                             | CUSIP: 431282AQ5<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |  17404000 | PA      | $15785967.52  | 0.10%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| Hasbro Inc                                                                      | HASBRO INC                                                                      | CUSIP: 418056AY3<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |  11507000 | PA      | $10821228.83  | 0.07%             | 2026-11-19      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Hardee s Funding LLC                                                            | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27729600 | PA      | $26031966.16  | 0.17%             | 2048-06-20      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Hpefs Equipment Trust 2022-2                                                    | HPEFS EQUIPMENT TRUST 2022-2                                                    | CUSIP: 40441TAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4445000 | PA      | $4290693.60   | 0.03%             | 2029-09-20      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                                           | HPEFS EQUIPMENT TRUST                                                           | CUSIP: 40441RAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12510000 | PA      | $11301445.18  | 0.07%             | 2029-11-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                                           | HPEFS EQUIPMENT TRUST                                                           | CUSIP: 40441RAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5736000 | PA      | $5279501.59   | 0.03%             | 2029-05-21      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 2021-16 Ltd                                                 | HPS LOAN MANAGEMENT 2021-16 LTD                                                 | CUSIP: 40440XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11822000 | PA      | $11422939.88  | 0.07%             | 2035-01-23      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 11-2017 Ltd                                                 | HPS LOAN MANAGEMENT 11-2017 LTD                                                 | CUSIP: 40436VAG6<br>LEI: 549300Z5U2GIJ32SH058 | Long             | ABS-CBDO         | CORP              | KY        |  12070000 | PA      | $11607336.86  | 0.07%             | 2030-05-06      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  16945000 | PA      | $16268182.81  | 0.10%             | 2028-08-11      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280DF3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  36120000 | PA      | $34046170.20  | 0.22%             | 2028-06-09      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280DA4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  20080000 | PA      | $18695162.72  | 0.12%             | 2026-03-10      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280CJ6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  10575000 | PA      | $9485743.28   | 0.06%             | 2026-04-18      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  20767000 | PA      | $18764147.45  | 0.12%             | 2026-06-04      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280BX6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2175000 | PA      | $2064496.95   | 0.01%             | 2026-09-12      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                         | HCA INC                                                                         | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   6529000 | PA      | $6459139.70   | 0.04%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                         | HCA INC                                                                         | CUSIP: 404119CE7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   9695000 | PA      | $8556632.49   | 0.06%             | 2029-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                         | HCA INC                                                                         | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   8360000 | PA      | $7594859.36   | 0.05%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                         | HCA INC                                                                         | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |  13940000 | PA      | $11918700.00  | 0.08%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                         | HCA INC                                                                         | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |  25164000 | PA      | $25254590.40  | 0.16%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust 2019-WOLF                                                      | GREAT WOLF TRUST 2019-WOLF                                                      | CUSIP: 39152TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18025000 | PA      | $17118126.20  | 0.11%             | 2036-12-15      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                           | GRAY OAK PIPELINE LLC                                                           | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6556000 | PA      | $5932537.51   | 0.04%             | 2025-10-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                           | GRAY OAK PIPELINE LLC                                                           | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2741000 | PA      | $2430091.11   | 0.02%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                           | GRAY OAK PIPELINE LLC                                                           | CUSIP: 38937LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2038318.80   | 0.01%             | 2023-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9510000 | PA      | $8154126.02   | 0.05%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1744513 | PA      | $1614883.18   | 0.01%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1494818 | PA      | $1363760.57   | 0.01%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3167293 | PA      | $507998.95    | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38378FK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2263766 | PA      | $343531.42    | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38375GQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1042358 | PA      | $7272.95      | 0.00%             | 2037-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co/The                                                   | GOODYEAR TIRE & RUBBER CO/THE                                                   | CUSIP: 382550BN0<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |   6855000 | PA      | $5895300.00   | 0.04%             | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   7330000 | PA      | $6976268.86   | 0.04%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  12805000 | PA      | $12265986.33  | 0.08%             | 2028-08-23      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  19610000 | PA      | $18235946.91  | 0.12%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  17735000 | PA      | $14209175.59  | 0.09%             | 2032-10-21      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  17287000 | PA      | $13657577.06  | 0.09%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  31264000 | PA      | $27036513.18  | 0.17%             | 2027-09-10      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  45548000 | PA      | $36597635.81  | 0.24%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co Inc                                                 | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  15025000 | PA      | $13757175.48  | 0.09%             | 2029-04-06      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co Inc                                                 | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XCR5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  17304000 | PA      | $17192960.23  | 0.11%             | 2024-01-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co Inc                                                 | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XCK0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  20528000 | PA      | $20003016.93  | 0.13%             | 2025-04-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co Inc                                                 | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XBQ8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  20869000 | PA      | $19622953.75  | 0.13%             | 2026-10-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co Inc                                                 | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XAZ9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   8846000 | PA      | $8589952.53   | 0.06%             | 2025-07-13      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                                               | GENERAL MOTORS CO                                                               | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   3275000 | PA      | $3146299.05   | 0.02%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                                               | GENERAL MOTORS CO                                                               | CUSIP: 37045VAN0<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   3675000 | PA      | $3495979.73   | 0.02%             | 2027-10-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| Galton Funding Mortgage Trust 2019-1                                            | GALTON FUNDING MORTGAGE TRUST 2019-1                                            | CUSIP: 36418WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    641471 | PA      | $620740.90    | 0.00%             | 2059-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2018-2                                            | GALTON FUNDING MORTGAGE TRUST 2018-2                                            | CUSIP: 36418GAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975306 | PA      | $922164.97    | 0.01%             | 2058-10-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2018-2                                            | GALTON FUNDING MORTGAGE TRUST 2018-2                                            | CUSIP: 36418GAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1982852 | PA      | $1871262.09   | 0.01%             | 2058-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                                            | GALTON FUNDING MORTGAGE TRUST 2017-1                                            | CUSIP: 36417JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    960431 | PA      | $870840.39    | 0.01%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36297FYY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1079836 | PA      | $1106949.82   | 0.01%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2021-PJ6                                    | GS MORTGAGE-BACKED SECURITIES TRUST 2021-PJ6                                    | CUSIP: 36262LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18019821 | PA      | $15417686.84  | 0.10%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2021-PJ6                                    | GS MORTGAGE-BACKED SECURITIES TRUST 2021-PJ6                                    | CUSIP: 36262LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10920392 | PA      | $8540325.57   | 0.05%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust 2021-1                                    | GM FINANCIAL AUTOMOBILE LEASING TRUST 2021-1                                    | CUSIP: 36261RAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6650000 | PA      | $6370483.88   | 0.04%             | 2025-07-21      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2020-INV1                                   | GS MORTGAGE-BACKED SECURITIES TRUST 2020-INV1                                   | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17619290 | PA      | $14883489.84  | 0.10%             | 2050-10-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2019-GC40                                          | GS MORTGAGE SECURITIES TRUST 2019-GC40                                          | CUSIP: 36257HBU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12730000 | PA      | $10597429.66  | 0.07%             | 2052-07-10      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2022-GR2                                    | GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2                                    | CUSIP: 36250BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    477372 | PA      | $465941.28    | 0.00%             | 2044-07-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3481863 | PA      | $3308776.92   | 0.02%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LF68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3078129 | PA      | $3179081.67   | 0.02%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LF50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3075180 | PA      | $3176035.99   | 0.02%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36241KYG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1667734 | PA      | $1769108.09   | 0.01%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622ABZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2774246 | PA      | $2722238.53   | 0.02%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622ABUR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8519717 | PA      | $8055168.67   | 0.05%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622ABCY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7174143 | PA      | $6825053.87   | 0.04%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                                              | GINNIE MAE II POOL                                                              | CUSIP: 3622AB5L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6580709 | PA      | $6286338.95   | 0.04%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622AAYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2045793 | PA      | $1906132.54   | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622AARG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11798125 | PA      | $11095821.50  | 0.07%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622AAKC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6656469 | PA      | $6316753.07   | 0.04%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622AAGA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208938 | PA      | $196706.47    | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622AAE42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3145699 | PA      | $2974771.94   | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A2ZK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    787273 | PA      | $761236.97    | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A2TA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8014350 | PA      | $7556583.67   | 0.05%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2QW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1465713 | PA      | $1513778.01   | 0.01%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2QJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2008995 | PA      | $2017812.49   | 0.01%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2N57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14771 | PA      | $15753.87     | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2MV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3108264 | PA      | $3210833.01   | 0.02%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2MG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72423 | PA      | $77168.76     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2KC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344945 | PA      | $344378.90    | 0.00%             | 2026-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A2GK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5652851 | PA      | $5421642.58   | 0.03%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6237725 | PA      | $5898549.67   | 0.04%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A26L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6092223 | PA      | $5750550.69   | 0.04%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36225BEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1515 | PA      | $1565.19      | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36224YZJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        25 | PA      | $25.07        | 0.00%             | 2023-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36213TWN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2466 | PA      | $2547.40      | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36213EP34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36700 | PA      | $37915.06     | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1426597 | PA      | $1468612.20   | 0.01%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36209W2W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11648 | PA      | $11647.30     | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36208HQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70754 | PA      | $72553.24     | 0.00%             | 2027-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36208HQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9886 | PA      | $9886.38      | 0.00%             | 2027-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36208EXF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36835 | PA      | $37395.33     | 0.00%             | 2027-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36208DJM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33595 | PA      | $34267.52     | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36207D6P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       263 | PA      | $272.02       | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36206UR27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2302 | PA      | $2377.93      | 0.00%             | 2026-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36206UM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1127 | PA      | $1163.96      | 0.00%             | 2026-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36206PS27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       310 | PA      | $320.16       | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36204L3M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4365 | PA      | $4509.01      | 0.00%             | 2026-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36203GUU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       174 | PA      | $173.63       | 0.00%             | 2023-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5345546 | PA      | $5396998.53   | 0.03%             | 2041-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3109271 | PA      | $3031332.01   | 0.02%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2404946 | PA      | $2474694.46   | 0.02%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    620077 | PA      | $626050.31    | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324408 | PA      | $316264.47    | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6895543 | PA      | $6961887.46   | 0.04%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1457333 | PA      | $1499998.15   | 0.01%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    618993 | PA      | $624954.07    | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2915184 | PA      | $2943096.09   | 0.02%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191044 | PA      | $196640.32    | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1571865 | PA      | $1617849.39   | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    825008 | PA      | $849154.14    | 0.01%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    329901 | PA      | $339546.44    | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    506730 | PA      | $521563.95    | 0.00%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52812 | PA      | $55280.20     | 0.00%             | 2039-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1340570 | PA      | $1379748.38   | 0.01%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    559104 | PA      | $564476.47    | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204768 | PA      | $210666.06    | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EYM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178974 | PA      | $189859.78    | 0.00%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    318123 | PA      | $337386.26    | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EG45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81850 | PA      | $85700.44     | 0.00%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202ECP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55021 | PA      | $57219.39     | 0.00%             | 2035-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11682 | PA      | $12101.63     | 0.00%             | 2034-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EAK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17780 | PA      | $18124.23     | 0.00%             | 2034-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315858 | PA      | $324963.78    | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202E4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1341489 | PA      | $1380255.48   | 0.01%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202DUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48205 | PA      | $49755.45     | 0.00%             | 2032-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43353 | PA      | $45069.72     | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202D3J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13740 | PA      | $14641.76     | 0.00%             | 2034-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202CRF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        12 | PA      | $12.05        | 0.00%             | 2026-09-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202C6L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9236 | PA      | $9449.40      | 0.00%             | 2028-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202C2Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5359 | PA      | $5482.46      | 0.00%             | 2028-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202BVC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       425 | PA      | $424.94       | 0.00%             | 2023-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36201FRH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1323 | PA      | $1323.19      | 0.00%             | 2032-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36200MV83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    596384 | PA      | $602054.70    | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36195KHC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1230091 | PA      | $1120396.43   | 0.01%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36195KHB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1093433 | PA      | $994015.69    | 0.01%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194MJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2185241 | PA      | $1987593.90   | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194MH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1369853 | PA      | $1245575.72   | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194CP23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104320 | PA      | $98446.31     | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194BZF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3967828 | PA      | $3601244.59   | 0.02%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194BZE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5174952 | PA      | $4701443.24   | 0.03%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    796702 | PA      | $725293.27    | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VFR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1356462 | PA      | $1280094.27   | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193UCX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1691601 | PA      | $1596359.89   | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193EPR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1698146 | PA      | $1604167.35   | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36192XPK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1785118 | PA      | $1688325.73   | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36192STM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    418497 | PA      | $395324.16    | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2662601 | PA      | $2518239.10   | 0.02%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36185BPB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    516664 | PA      | $488538.68    | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36184Y5N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1583230 | PA      | $1497046.60   | 0.01%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36184SPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    491751 | PA      | $465091.98    | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36184Q2S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    530091 | PA      | $501238.07    | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36184BZ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    855722 | PA      | $814065.59    | 0.01%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36184BAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3068293 | PA      | $2901421.53   | 0.02%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP / GLP Financing II Inc                                           | GLP CAPITAL LP / GLP FINANCING II INC                                           | CUSIP: 361841AN9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6162000 | PA      | $5858503.01   | 0.04%             | 2024-09-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    746971 | PA      | $706477.97    | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36181KC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5419034 | PA      | $5114396.93   | 0.03%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617G8YM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    441097 | PA      | $442409.37    | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617G8VD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219889 | PA      | $220543.09    | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617G82G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199840 | PA      | $200273.79    | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617B5DY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2828722 | PA      | $2663113.92   | 0.02%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617A9KW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1644334 | PA      | $1551081.93   | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  63028891 | PA      | $61767234.06  | 0.40%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  61087788 | PA      | $58340448.01  | 0.38%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9003515 | PA      | $7916377.72   | 0.05%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8133675 | PA      | $6931059.75   | 0.04%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26522485 | PA      | $22619155.30  | 0.15%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  45657878 | PA      | $40199435.03  | 0.26%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22895227 | PA      | $20175205.05  | 0.13%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  52813279 | PA      | $47726900.96  | 0.31%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 103098354 | PA      | $90809168.20  | 0.58%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12000405 | PA      | $10572501.72  | 0.07%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11021690 | PA      | $9716025.81   | 0.06%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  75084797 | PA      | $64134947.96  | 0.41%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34747749 | PA      | $31554211.33  | 0.20%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23132658 | PA      | $20389842.26  | 0.13%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  94186226 | PA      | $80470838.12  | 0.52%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19853368 | PA      | $16987619.08  | 0.11%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24000751 | PA      | $21687110.77  | 0.14%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179W5A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  42707076 | PA      | $36364652.39  | 0.23%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653257 | PA      | $556177.31    | 0.00%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15739763 | PA      | $15127219.14  | 0.10%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11632624 | PA      | $10280640.99  | 0.07%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VL32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1772336 | PA      | $1579596.36   | 0.01%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3675135 | PA      | $3275467.76   | 0.02%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VDC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4689788 | PA      | $4180228.61   | 0.03%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    897963 | PA      | $804840.30    | 0.01%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174792 | PA      | $156649.40    | 0.00%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7480330 | PA      | $7519110.95   | 0.05%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2081835 | PA      | $2142103.16   | 0.01%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2670181 | PA      | $2617559.27   | 0.02%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1479224 | PA      | $1514108.07   | 0.01%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1663957 | PA      | $1710314.64   | 0.01%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    343908 | PA      | $353560.89    | 0.00%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15073 | PA      | $15545.47     | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3696330 | PA      | $3301202.08   | 0.02%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3492173 | PA      | $3514306.39   | 0.02%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7412 | PA      | $7360.46      | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4673821 | PA      | $4821719.49   | 0.03%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1262342 | PA      | $1307756.35   | 0.01%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1632744 | PA      | $1688673.07   | 0.01%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1978876 | PA      | $1967869.82   | 0.01%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TQS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2415943 | PA      | $2447410.21   | 0.02%             | 2048-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9311903 | PA      | $8774143.72   | 0.06%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2304588 | PA      | $2340035.92   | 0.02%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3954037 | PA      | $3830792.71   | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1086138 | PA      | $1106768.64   | 0.01%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203628 | PA      | $197784.05    | 0.00%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    679858 | PA      | $643075.65    | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2851073 | PA      | $2894900.64   | 0.02%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1688861 | PA      | $1680981.08   | 0.01%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1941945 | PA      | $1823471.41   | 0.01%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1627163 | PA      | $1651994.58   | 0.01%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2798421 | PA      | $2841374.20   | 0.02%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3060011 | PA      | $2964585.35   | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1661528 | PA      | $1648556.94   | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2274599 | PA      | $2296432.38   | 0.01%             | 2047-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2157042 | PA      | $2041998.17   | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1267665 | PA      | $1196972.39   | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2930277 | PA      | $2693132.10   | 0.02%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2992642 | PA      | $2828002.24   | 0.02%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11037716 | PA      | $10714780.80  | 0.07%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6409097 | PA      | $6064052.51   | 0.04%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5099316 | PA      | $4694390.54   | 0.03%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3016807 | PA      | $2922777.87   | 0.02%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119821 | PA      | $116020.69    | 0.00%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    516487 | PA      | $484978.77    | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1771360 | PA      | $1792650.05   | 0.01%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172231 | PA      | $167178.41    | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5565305 | PA      | $5245874.68   | 0.03%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6903224 | PA      | $6526238.41   | 0.04%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2345566 | PA      | $2168445.59   | 0.01%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16544754 | PA      | $15305081.27  | 0.10%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12169283 | PA      | $11269897.23  | 0.07%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8228654 | PA      | $7779869.85   | 0.05%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179QGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2341535 | PA      | $2451906.14   | 0.02%             | 2044-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179Q3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2130072 | PA      | $1972644.38   | 0.01%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10510768 | PA      | $10008206.83  | 0.06%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179NDV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2464649 | PA      | $2580808.65   | 0.02%             | 2043-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179N2K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9097707 | PA      | $8837766.87   | 0.06%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230661 | PA      | $224794.73    | 0.00%             | 2042-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286597 | PA      | $279408.43    | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5179985 | PA      | $5050034.56   | 0.03%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3541172 | PA      | $3376767.02   | 0.02%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8889941 | PA      | $8464568.52   | 0.05%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36178WP45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79452 | PA      | $74406.60     | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36178NGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15222060 | PA      | $14128119.91  | 0.09%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36178NF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2583933 | PA      | $2398689.44   | 0.02%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GCAT 2022-INV1 Trust                                                            | GCAT 2022-INV1 TRUST                                                            | CUSIP: 36168YBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9255590 | PA      | $7529672.06   | 0.05%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA5                                         | FREDDIE MAC STACR REMIC TRUST 2022-DNA5                                         | CUSIP: 35564KYN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28024001 | PA      | $28268151.43  | 0.18%             | 2042-06-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA3                                         | FREDDIE MAC STACR REMIC TRUST 2022-DNA3                                         | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17059684 | PA      | $16839032.39  | 0.11%             | 2042-04-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA2                                         | FREDDIE MAC STACR REMIC TRUST 2022-DNA2                                         | CUSIP: 35564KRF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5205391 | PA      | $4889840.20   | 0.03%             | 2042-02-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA1                                         | FREDDIE MAC STACR REMIC TRUST 2022-DNA1                                         | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18780000 | PA      | $17161488.89  | 0.11%             | 2042-01-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Structured Agency Credit Risk Debt Notes                            | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9106000 | PA      | $8799125.07   | 0.06%             | 2033-08-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                                        | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1255000 | PA      | $1304951.51   | 0.01%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                                        | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   5185000 | PA      | $4917511.04   | 0.03%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ford Motor Co                                                                   | FORD MOTOR CO                                                                   | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |   9230000 | PA      | $8882665.87   | 0.06%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: —       |
| Ford Motor Co                                                                   | FORD MOTOR CO                                                                   | CUSIP: 345370CX6<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $6319962.00   | 0.04%             | 2030-04-22      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2021-8INV                                               | FLAGSTAR MORTGAGE TRUST 2021-8INV                                               | CUSIP: 33852HAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9402338 | PA      | $7411449.07   | 0.05%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2020-1NV                                                | FLAGSTAR MORTGAGE TRUST 2020-1NV                                                | CUSIP: 33851YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4065886 | PA      | $3724809.04   | 0.02%             | 2050-03-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2021-5INV                                               | FLAGSTAR MORTGAGE TRUST 2021-5INV                                               | CUSIP: 33851PAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10253650 | PA      | $8101983.15   | 0.05%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2018-6RR                                                | FLAGSTAR MORTGAGE TRUST 2018-6RR                                                | CUSIP: 33851FAP2<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |    981922 | PA      | $949609.15    | 0.01%             | 2048-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO 2019-5 Ltd                                                      | 522 FUNDING CLO 2019-5 LTD                                                      | CUSIP: 33829WAE9<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |  16085000 | PA      | $15198374.37  | 0.10%             | 2035-04-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO 2019-5 Ltd                                                      | 522 FUNDING CLO 2019-5 LTD                                                      | CUSIP: 33829WAC3<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |  28800000 | PA      | $27716073.98  | 0.18%             | 2035-04-15      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fiserv Inc                                                                      | FISERV INC                                                                      | CUSIP: 337738AU2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   3530000 | PA      | $3192411.98   | 0.02%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                             | FIFTH THIRD BANCORP                                                             | CUSIP: 316773DG2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   3235000 | PA      | $3036882.13   | 0.02%             | 2030-07-28      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2021-3                                       | ELLINGTON FINANCIAL MORTGAGE TRUST 2021-3                                       | CUSIP: 31573JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11273227 | PA      | $9042983.80   | 0.06%             | 2066-09-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419KKJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79802 | PA      | $77778.17     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3057691 | PA      | $3056644.44   | 0.02%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1484994 | PA      | $1447343.83   | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419FFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7766975 | PA      | $7570040.11   | 0.05%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11133194 | PA      | $11129377.81  | 0.07%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419BCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233857 | PA      | $234448.16    | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419BCW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23668 | PA      | $23727.40     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18128190 | PA      | $17668781.52  | 0.11%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2650054 | PA      | $2656756.21   | 0.02%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    963099 | PA      | $1008605.18   | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167072 | PA      | $165369.40    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AHX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147910 | PA      | $155622.01    | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AF69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    999875 | PA      | $1048907.03   | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419ADK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    945313 | PA      | $992462.27    | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13015 | PA      | $13693.61     | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1021312 | PA      | $1069571.69   | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577107 | PA      | $570490.57    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5212140 | PA      | $5315963.20   | 0.03%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418TJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826002 | PA      | $844700.86    | 0.01%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418SQ77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    833569 | PA      | $852442.99    | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418NZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48490 | PA      | $48473.38     | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418NET3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24134 | PA      | $24195.59     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MPU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    584797 | PA      | $613359.27    | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MP30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    955556 | PA      | $998366.08    | 0.01%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143185 | PA      | $150333.73    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MGP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    670893 | PA      | $699853.50    | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567244 | PA      | $596344.72    | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418M7D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293856 | PA      | $297460.26    | 0.00%             | 2025-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418M2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936686 | PA      | $985508.14    | 0.01%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3969068 | PA      | $3755317.54   | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EGD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10130101 | PA      | $9127458.21   | 0.06%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4795817 | PA      | $4444526.13   | 0.03%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1691897 | PA      | $1524391.19   | 0.01%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32719904 | PA      | $30241527.87  | 0.19%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25500090 | PA      | $24838502.62  | 0.16%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4985740 | PA      | $4414744.36   | 0.03%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EDH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1895556 | PA      | $1751986.29   | 0.01%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EDF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9054526 | PA      | $7939977.63   | 0.05%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3645068 | PA      | $3120920.94   | 0.02%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8021954 | PA      | $6869636.90   | 0.04%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37061455 | PA      | $31483562.71  | 0.20%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12165664 | PA      | $10668139.13  | 0.07%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23554068 | PA      | $20166303.30  | 0.13%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 101679162 | PA      | $83786419.88  | 0.54%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535566 | PA      | $458512.50    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26167929 | PA      | $21591528.70  | 0.14%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30498602 | PA      | $26745078.47  | 0.17%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23875 | PA      | $20457.89     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 215762526 | PA      | $178011439.65 | 1.15%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22548531 | PA      | $18433178.92  | 0.12%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17204549 | PA      | $15773372.82  | 0.10%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7219045 | PA      | $6203462.69   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  89638053 | PA      | $74096642.91  | 0.48%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8495524 | PA      | $7051552.97   | 0.05%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3177932 | PA      | $2724623.75   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4230893 | PA      | $3953083.01   | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409993 | PA      | $382154.70    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5608094 | PA      | $5055533.11   | 0.03%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418BWU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1105445 | PA      | $1076972.75   | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2231204 | PA      | $2100037.00   | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418AAH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1392315 | PA      | $1357253.03   | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YW45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14964 | PA      | $15001.67     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YVG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1007315 | PA      | $981774.18    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3627503 | PA      | $3535531.33   | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YR82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2047 | PA      | $2052.30      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417Y5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371647 | PA      | $372588.36    | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5851707 | PA      | $5866516.74   | 0.04%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458673 | PA      | $458461.73    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417NCE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28665 | PA      | $28737.42     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417NB34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44398 | PA      | $44504.40     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417LCP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52407 | PA      | $52539.39     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417KXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    885137 | PA      | $886917.35    | 0.01%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GTZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1416506 | PA      | $1335063.62   | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25901 | PA      | $23767.46     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2907132 | PA      | $2667950.65   | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417FU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18079970 | PA      | $16590802.54  | 0.11%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7477587 | PA      | $6861810.07   | 0.04%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417DMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3137983 | PA      | $2879571.77   | 0.02%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417DF99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4120077 | PA      | $3780795.14   | 0.02%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417CNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3267938 | PA      | $3042712.12   | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417CGZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1384239 | PA      | $1302872.00   | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417CGY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3566726 | PA      | $3356724.01   | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416XBY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370383 | PA      | $371319.99    | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315253 | PA      | $330139.74    | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    620038 | PA      | $619536.54    | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CKF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498486 | PA      | $524073.41    | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504545 | PA      | $529208.97    | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112472 | PA      | $117823.99    | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791937 | PA      | $831430.56    | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272196 | PA      | $280697.65    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    770764 | PA      | $823729.75    | 0.01%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230026 | PA      | $240898.73    | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2915 | PA      | $3056.04      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31415VZ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7878 | PA      | $7849.26      | 0.00%             | 2023-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31414KE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79007 | PA      | $81357.71     | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31414ALP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74418 | PA      | $76632.36     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413T3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21535 | PA      | $22175.60     | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413QM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43218 | PA      | $44503.87     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413NMA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1704 | PA      | $1755.05      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413NJQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25828 | PA      | $26596.74     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56389 | PA      | $55398.57     | 0.00%             | 2037-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413MB63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7967 | PA      | $8204.19      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413LPV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58549 | PA      | $60291.44     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413LAZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6198 | PA      | $6382.27      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413HLH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14191 | PA      | $14613.51     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413HK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6886 | PA      | $7090.41      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413HDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       680 | PA      | $697.88       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413F5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28400 | PA      | $29245.39     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413CBU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19648 | PA      | $20232.75     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413CBE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12694 | PA      | $13071.83     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413CB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26120 | PA      | $26897.70     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413BPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10536 | PA      | $10924.12     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412V4C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       731 | PA      | $752.90       | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412SER2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8705 | PA      | $8964.42      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412SEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45337 | PA      | $46686.02     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412SEE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35423 | PA      | $36880.39     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350583 | PA      | $351243.48    | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412NFD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284534 | PA      | $298374.75    | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412NBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555136 | PA      | $580624.38    | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412CEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       156 | PA      | $160.40       | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412AWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13308 | PA      | $13951.09     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411VFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97028 | PA      | $98536.98     | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411RFW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11715 | PA      | $12063.62     | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411HU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13933 | PA      | $14347.59     | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411GMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20125 | PA      | $20723.40     | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411GGW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119347 | PA      | $122110.88    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7644 | PA      | $8020.07      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411CNU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16691 | PA      | $17227.36     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411CKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8387 | PA      | $8636.52      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411ARB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79621 | PA      | $81990.63     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411ADF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17230 | PA      | $17867.62     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410YWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36917 | PA      | $38015.24     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410XTS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15425 | PA      | $15883.65     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410XBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10086 | PA      | $10385.79     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410WX37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8341 | PA      | $8589.59      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410WWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49134 | PA      | $50595.67     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410VJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8970 | PA      | $9340.06      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410UPY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57746 | PA      | $59629.09     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410TY82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4995 | PA      | $5163.08      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410TAK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3786 | PA      | $3898.30      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410S4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1751 | PA      | $1802.98      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410QTP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13758 | PA      | $14167.46     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410PAZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7382 | PA      | $7602.19      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410PAV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26174 | PA      | $26953.20     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410LHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413059 | PA      | $414049.59    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410LC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204472 | PA      | $204989.45    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KT87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78762 | PA      | $82866.97     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1844263 | PA      | $1937424.91   | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1111925 | PA      | $1168967.49   | 0.01%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151794 | PA      | $159269.80    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623440 | PA      | $638862.87    | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703367 | PA      | $738443.64    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297540 | PA      | $312072.33    | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335317 | PA      | $352518.88    | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KBK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1182 | PA      | $1196.86      | 0.00%             | 2023-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KBJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    754621 | PA      | $785538.08    | 0.01%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96844 | PA      | $99861.52     | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6031814 | PA      | $6317575.46   | 0.04%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67735 | PA      | $71267.20     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18569 | PA      | $19506.87     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389189 | PA      | $408601.77    | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410G7K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254267 | PA      | $262210.95    | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410FYU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586109 | PA      | $614485.45    | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410FY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2740 | PA      | $2876.47      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410FU37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113349 | PA      | $119002.86    | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410FSK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45891 | PA      | $47324.31     | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410F5C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    699399 | PA      | $721244.79    | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410F3D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38133 | PA      | $40070.65     | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XJDK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476481 | PA      | $408140.31    | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XJB93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9261663 | PA      | $7867748.55   | 0.05%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1397259 | PA      | $1198075.93   | 0.01%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHK97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3590773 | PA      | $3499800.87   | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1403123 | PA      | $1201227.71   | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHCV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4376177 | PA      | $4284465.76   | 0.03%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3229063 | PA      | $3216434.86   | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3438874 | PA      | $2978061.81   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10215829 | PA      | $8473520.33   | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13915365 | PA      | $14236744.10  | 0.09%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    969154 | PA      | $914208.67    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2221789 | PA      | $2058393.72   | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGEQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20646869 | PA      | $20123799.01  | 0.13%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGEC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    991904 | PA      | $878088.44    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XG5G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1667056 | PA      | $1431232.54   | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XG3C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5073355 | PA      | $4961520.64   | 0.03%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19693062 | PA      | $16346299.00  | 0.11%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XFTC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1461223 | PA      | $1251004.52   | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XFMU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405364 | PA      | $347982.21    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XFM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1428394 | PA      | $1222901.03   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XFKQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179860 | PA      | $159229.88    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XFA92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1070766 | PA      | $916943.55    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XF4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    979569 | PA      | $840256.90    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XF4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    997997 | PA      | $883481.88    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XDCG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1950386 | PA      | $1734072.44   | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XDCD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3619943 | PA      | $3108428.10   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XD5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1080074 | PA      | $924619.70    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9115446 | PA      | $9319621.55   | 0.06%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCG69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2765409 | PA      | $2375743.81   | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCDA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25602154 | PA      | $23931465.22  | 0.15%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8621133 | PA      | $8321034.59   | 0.05%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XAT51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452062 | PA      | $388545.92    | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XALH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12755175 | PA      | $12641521.62  | 0.08%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XA2E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23710605 | PA      | $21223045.35  | 0.14%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X9DE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16037661 | PA      | $14718165.27  | 0.09%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X9DD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6638930 | PA      | $6001624.22   | 0.04%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X86M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    729633 | PA      | $728207.96    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X7VE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2786645 | PA      | $2873475.28   | 0.02%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8782477 | PA      | $8445467.49   | 0.05%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X6FL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25520999 | PA      | $22826534.74  | 0.15%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X56K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16423153 | PA      | $16006913.46  | 0.10%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X4TB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6045084 | PA      | $5484360.86   | 0.04%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7114271 | PA      | $6403686.82   | 0.04%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QPES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2191528 | PA      | $1875724.55   | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QPDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19704056 | PA      | $18229954.96  | 0.12%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QPCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    962545 | PA      | $824072.19    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QP2M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8150653 | PA      | $7712548.74   | 0.05%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNZL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7793573 | PA      | $7210547.03   | 0.05%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1235710 | PA      | $1145211.58   | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    632150 | PA      | $585843.52    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716578 | PA      | $613594.31    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNQH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  92066551 | PA      | $75857005.76  | 0.49%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26946086 | PA      | $22201849.33  | 0.14%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNGE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3493231 | PA      | $3092282.34   | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23254689 | PA      | $19186086.64  | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28027763 | PA      | $24147230.01  | 0.16%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9962664 | PA      | $8208542.13   | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNCC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17518314 | PA      | $14454636.20  | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1043484 | PA      | $895892.76    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35551601 | PA      | $30627346.52  | 0.20%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1868347 | PA      | $1654656.49   | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1873720 | PA      | $1607921.30   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  50396739 | PA      | $41591527.88  | 0.27%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  54552462 | PA      | $46841433.59  | 0.30%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QM4Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18293541 | PA      | $15695175.90  | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QM4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  55816696 | PA      | $47949662.70  | 0.31%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25735031 | PA      | $22129092.91  | 0.14%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QL7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210226 | PA      | $180491.90    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  70204073 | PA      | $60279705.08  | 0.39%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6316756 | PA      | $5407858.38   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QEJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12181029 | PA      | $10093976.73  | 0.06%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QEAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9608234 | PA      | $8571843.70   | 0.06%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4808951 | PA      | $4722440.71   | 0.03%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402191 | PA      | $360206.07    | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1089507 | PA      | $1077156.79   | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10230649 | PA      | $9652505.18   | 0.06%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    530229 | PA      | $506371.47    | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3483417 | PA      | $3319955.43   | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QC4X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8803908 | PA      | $7858407.50   | 0.05%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QBR67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7818659 | PA      | $7058931.06   | 0.05%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QA3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1097312 | PA      | $1086064.69   | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1484893 | PA      | $1470162.60   | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140N5LL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38723 | PA      | $38558.20     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140N12A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5763920 | PA      | $5739455.18   | 0.04%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140N0UW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1839546 | PA      | $1832022.59   | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MMT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1347941 | PA      | $1154012.19   | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MM4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3984100 | PA      | $3769540.37   | 0.02%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MKFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2989253 | PA      | $2645529.11   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MGSE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47789 | PA      | $40982.51     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MGE98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124642 | PA      | $110465.10    | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MGCW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2124471 | PA      | $1818811.25   | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MFYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3786519 | PA      | $3508125.88   | 0.02%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MA4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2752890 | PA      | $2437008.91   | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140LYSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1585835 | PA      | $1361261.10   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140LUV32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47375 | PA      | $40684.19     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140LQPW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    969403 | PA      | $898294.07    | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140LQC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6784633 | PA      | $5819757.37   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140LPMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20580358 | PA      | $17678564.35  | 0.11%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140L8MQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498006 | PA      | $426797.70    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140L3RS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4990728 | PA      | $4288911.06   | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11080504 | PA      | $10168033.87  | 0.07%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9YQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1674689 | PA      | $1576228.57   | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5269305 | PA      | $5047941.86   | 0.03%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15447631 | PA      | $14851139.99  | 0.10%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1748630 | PA      | $1569364.71   | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9HW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5328660 | PA      | $4816695.37   | 0.03%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9CU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6209842 | PA      | $5816497.39   | 0.04%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J95S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5308166 | PA      | $4995599.78   | 0.03%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J8ZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6585297 | PA      | $6540890.99   | 0.04%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J8VP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7284112 | PA      | $6684269.64   | 0.04%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J7XP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5661991 | PA      | $5450240.85   | 0.04%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J7SA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11730993 | PA      | $11564951.15  | 0.07%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J7QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2056760 | PA      | $2043101.56   | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3178391 | PA      | $3009394.55   | 0.02%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J5UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8377476 | PA      | $8089584.76   | 0.05%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3956616 | PA      | $3694905.18   | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FXGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8725998 | PA      | $8364916.36   | 0.05%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FMQW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677047 | PA      | $611265.42    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FLK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3251642 | PA      | $2941135.61   | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FGNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5796892 | PA      | $5231627.32   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FGMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9264360 | PA      | $8364460.30   | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140F9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1662448 | PA      | $1500367.56   | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140F5C35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6798526 | PA      | $6140847.25   | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140F0T87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2380319 | PA      | $2241376.96   | 0.01%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4156311 | PA      | $3892169.58   | 0.03%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140E0E35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7956257 | PA      | $7453930.72   | 0.05%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409V5T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10636 | PA      | $10952.71     | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409TS58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7560 | PA      | $7784.58      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409HDV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15569 | PA      | $16366.24     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409BDN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2140 | PA      | $2251.16      | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409AF53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8798 | PA      | $9213.53      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409ADV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41408 | PA      | $43261.34     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408JR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164757 | PA      | $170013.87    | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408GXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12116 | PA      | $12476.17     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408F7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52755 | PA      | $54399.87     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408F7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99902 | PA      | $103363.84    | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408DVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68207 | PA      | $66265.30     | 0.00%             | 2035-12-01      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31406KJW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1441 | PA      | $1479.39      | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31406CLH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298331 | PA      | $305585.58    | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31405ULZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19504 | PA      | $20214.28     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31405N2B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344598 | PA      | $352688.32    | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31404KHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24700 | PA      | $25171.91     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519723 | PA      | $545656.62    | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5274 | PA      | $5535.58      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3260 | PA      | $3386.75      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DUL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377509 | PA      | $396341.01    | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5480 | PA      | $5643.09      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138993 | PA      | $137529.35    | 0.00%             | 2036-08-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263650 | PA      | $265467.81    | 0.00%             | 2036-07-01      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DPZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259544 | PA      | $267648.25    | 0.00%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31183 | PA      | $32111.24     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DP52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12432 | PA      | $12875.49     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44446 | PA      | $46526.78     | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239446 | PA      | $253312.70    | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22402 | PA      | $23519.38     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472566 | PA      | $487322.30    | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3078 | PA      | $3233.06      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151436 | PA      | $158901.85    | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DDJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59586 | PA      | $61505.78     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1224684 | PA      | $1285758.94   | 0.01%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344123 | PA      | $354871.78    | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    643064 | PA      | $663146.48    | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    992199 | PA      | $1041686.38   | 0.01%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208894 | PA      | $215032.31    | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C5F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49682 | PA      | $51155.54     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831081 | PA      | $872009.20    | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705300 | PA      | $727329.51    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196419 | PA      | $202536.68    | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236160 | PA      | $243516.11    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310280 | PA      | $319948.60    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1052957 | PA      | $1085762.96   | 0.01%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418094 | PA      | $431121.61    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388115 | PA      | $400214.46    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158785 | PA      | $165495.76    | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63487 | PA      | $65466.14     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191948 | PA      | $201200.64    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402Q6Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427794 | PA      | $447835.93    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775554 | PA      | $799726.80    | 0.01%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1204501 | PA      | $1261310.20   | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18970 | PA      | $19864.55     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227744 | PA      | $237367.01    | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DCV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143241 | PA      | $147704.94    | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1937504 | PA      | $2009564.38   | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238661 | PA      | $249659.01    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402C3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405355 | PA      | $425113.29    | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31391LAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184654 | PA      | $192445.03    | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31390MFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58377 | PA      | $60126.44     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138YTK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1586514 | PA      | $1525338.66   | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138Y3YF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2386269 | PA      | $2300268.60   | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138X53G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1533503 | PA      | $1441981.53   | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138X3XX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8367220 | PA      | $8173053.16   | 0.05%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL                                                                 | CUSIP: 3138X0Y36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    824194 | PA      | $752220.56    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WZWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1834596 | PA      | $1727489.27   | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WPEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009796 | PA      | $951641.95    | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WMW49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1669299 | PA      | $1573667.93   | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WKHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479199 | PA      | $435049.88    | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WKBA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3584193 | PA      | $3249446.36   | 0.02%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WKA96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47528 | PA      | $42694.31     | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJQC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13144463 | PA      | $12473870.28  | 0.08%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4297252 | PA      | $4019192.55   | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJNB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5490120 | PA      | $4956639.69   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17050274 | PA      | $15388346.35  | 0.10%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17532800 | PA      | $15835867.52  | 0.10%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WH6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16331883 | PA      | $14757436.50  | 0.09%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3750095 | PA      | $3530333.30   | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WFK39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5428186 | PA      | $5084910.38   | 0.03%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WEMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2821681 | PA      | $2671898.00   | 0.02%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WD5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    921515 | PA      | $889847.82    | 0.01%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3566823 | PA      | $3575863.54   | 0.02%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WAXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230085 | PA      | $230668.68    | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138W9NY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3923665 | PA      | $3595771.25   | 0.02%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138MQX99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6271572 | PA      | $5902544.00   | 0.04%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138MFSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1065537 | PA      | $977798.67    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138MBKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2467191 | PA      | $2322067.82   | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LY2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1096407 | PA      | $1059955.19   | 0.01%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LXQH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2599223 | PA      | $2446206.84   | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LUTV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200062 | PA      | $1129188.29   | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ETUK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5347144 | PA      | $5032817.66   | 0.03%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ETGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3599284 | PA      | $3392031.51   | 0.02%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11809421 | PA      | $11066054.76  | 0.07%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERTV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12301147 | PA      | $11124744.60  | 0.07%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9517404 | PA      | $9293226.88   | 0.06%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10725574 | PA      | $10178393.25  | 0.07%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8204028 | PA      | $7785494.17   | 0.05%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6906462 | PA      | $6923358.16   | 0.04%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5317184 | PA      | $5192894.90   | 0.03%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2344610 | PA      | $2089080.56   | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    715284 | PA      | $697876.79    | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EQCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870133 | PA      | $889812.03    | 0.01%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPZP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338265 | PA      | $339122.67    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPY99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    739667 | PA      | $762722.69    | 0.00%             | 2045-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    543071 | PA      | $560009.72    | 0.00%             | 2045-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPXJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5958145 | PA      | $5728648.03   | 0.04%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1617419 | PA      | $1708669.78   | 0.01%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1124275 | PA      | $1179184.19   | 0.01%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8690476 | PA      | $8179528.58   | 0.05%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1180616 | PA      | $1207319.99   | 0.01%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1149955 | PA      | $1209910.58   | 0.01%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226763 | PA      | $237552.89    | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4255715 | PA      | $4005337.33   | 0.03%             | 2043-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENBE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3303272 | PA      | $3479839.76   | 0.02%             | 2044-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EMYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148114 | PA      | $152728.62    | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EM5Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    818698 | PA      | $844049.50    | 0.01%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2049773 | PA      | $2054960.71   | 0.01%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4570892 | PA      | $4309977.05   | 0.03%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2256973 | PA      | $2127431.37   | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKLE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    777101 | PA      | $731327.51    | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKHJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3525691 | PA      | $3435482.33   | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2107066 | PA      | $2112393.59   | 0.01%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    745434 | PA      | $782623.69    | 0.01%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2064647 | PA      | $1995705.68   | 0.01%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2548907 | PA      | $2486131.94   | 0.02%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1398918 | PA      | $1402460.41   | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1090696 | PA      | $1093457.27   | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3637615 | PA      | $3545432.02   | 0.02%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    808066 | PA      | $847565.26    | 0.01%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4885092 | PA      | $4761253.15   | 0.03%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1812176 | PA      | $1816758.47   | 0.01%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829247 | PA      | $831345.85    | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1568989 | PA      | $1529229.65   | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EH7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1191310 | PA      | $1248570.70   | 0.01%             | 2042-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75853 | PA      | $78219.17     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGNC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1323233 | PA      | $1387917.10   | 0.01%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138844 | PA      | $145857.67    | 0.00%             | 2040-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31349 | PA      | $32324.92     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4336247 | PA      | $4339025.31   | 0.03%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGE83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5816187 | PA      | $5829386.55   | 0.04%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EG3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5510988 | PA      | $5371322.58   | 0.03%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E2K53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1729015 | PA      | $1685189.39   | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E0Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    685570 | PA      | $646670.97    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ARBE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1564258 | PA      | $1525450.63   | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    852310 | PA      | $852018.85    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65047 | PA      | $65211.94     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ABBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8359 | PA      | $8433.67      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A8YF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32190 | PA      | $32271.67     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2773566 | PA      | $2703236.21   | 0.02%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A6LY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2331203 | PA      | $2337106.16   | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A5BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344363 | PA      | $335631.12    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A4XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2761874 | PA      | $2691842.09   | 0.02%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A4X75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3407 | PA      | $3425.89      | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A4AM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    854024 | PA      | $832370.60    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A46Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2607112 | PA      | $2541002.82   | 0.02%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1792913 | PA      | $1747462.93   | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385XBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109344 | PA      | $113318.19    | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186022 | PA      | $193830.55    | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33376 | PA      | $34961.62     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562605 | PA      | $590899.67    | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31384DTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3814 | PA      | $3880.80      | 0.00%             | 2029-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31384BYQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       643 | PA      | $642.08       | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31383JHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       302 | PA      | $301.04       | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                              | FREDDIE MAC REMICS                                                              | CUSIP: 3137FRZF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12767812 | PA      | $1995059.94   | 0.01%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31376KML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1189 | PA      | $1240.26      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31376KL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473978 | PA      | $497122.01    | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31374TFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1122 | PA      | $1155.16      | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371NQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       205 | PA      | $204.20       | 0.00%             | 2023-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371NH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25776 | PA      | $26542.92     | 0.00%             | 2027-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371NGH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1285 | PA      | $1351.58      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371NEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       504 | PA      | $530.33       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371MXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42959 | PA      | $45090.21     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371LWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176133 | PA      | $183575.83    | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371LDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233581 | PA      | $240860.05    | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371KVH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2996 | PA      | $3202.94      | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397420 | PA      | $404735.80    | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                                       | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25539 | PA      | $4735.60      | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31368HMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1144803 | PA      | $1199777.39   | 0.01%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31368HML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       391 | PA      | $410.82       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31356FP70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        39 | PA      | $41.14        | 0.00%             | 2024-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31356FK83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       626 | PA      | $625.34       | 0.00%             | 2024-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31356FES6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       195 | PA      | $194.69       | 0.00%             | 2024-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31356E3X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       483 | PA      | $498.23       | 0.00%             | 2024-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31356DT22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       352 | PA      | $362.50       | 0.00%             | 2024-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                                              | FREDDIE MAC STRIPS                                                              | CUSIP: 31351B3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6796 | PA      | $6163.40      | 0.00%             | 2028-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133WJTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7901329 | PA      | $7309763.67   | 0.05%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133WJRM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1840686 | PA      | $1705338.78   | 0.01%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3302019 | PA      | $2975085.68   | 0.02%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7085812 | PA      | $6384266.62   | 0.04%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24237076 | PA      | $21354965.94  | 0.14%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31177017 | PA      | $26484300.43  | 0.17%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4195661 | PA      | $3780249.77   | 0.02%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5251702 | PA      | $4354288.76   | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNXA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    607124 | PA      | $500838.04    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNWQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    998158 | PA      | $883589.94    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNLC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43132242 | PA      | $37160703.08  | 0.24%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNKV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1495397 | PA      | $1324104.28   | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNGN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36703949 | PA      | $30287610.59  | 0.19%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5176010 | PA      | $4591154.09   | 0.03%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KMYC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    994182 | PA      | $850811.63    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KLZX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37506289 | PA      | $30983643.03  | 0.20%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KJL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2826991 | PA      | $2347432.69   | 0.02%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KHKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10183195 | PA      | $9760030.93   | 0.06%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KH3Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2883861 | PA      | $2839110.56   | 0.02%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KGKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3946812 | PA      | $3657887.25   | 0.02%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133GG6G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1660001 | PA      | $1538242.28   | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BPGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6972563 | PA      | $6942967.62   | 0.04%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BNZS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103980 | PA      | $103538.22    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BNW90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    788541 | PA      | $785145.43    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BNW66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589150 | PA      | $586649.69    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BNVE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4731460 | PA      | $4711377.07   | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BNNW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99892 | PA      | $99461.80     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BNKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188621 | PA      | $183668.73    | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BMWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374765 | PA      | $373032.32    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BJUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    827753 | PA      | $824247.75    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BHRC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49927 | PA      | $49708.96     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BDP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    998271 | PA      | $883886.95    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133B9N91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399961 | PA      | $329974.31    | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133B6T67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1816401 | PA      | $1608057.71   | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133B6F47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492025 | PA      | $405353.55    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133B6AA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111916 | PA      | $95977.47     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133B4WH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1981451 | PA      | $1754185.76   | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133B4TD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12976358 | PA      | $11121601.39  | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133B3XW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24147 | PA      | $19923.68     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AYJU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495891 | PA      | $424369.84    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AXYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1616729 | PA      | $1387156.97   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AVBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1592748 | PA      | $1365064.39   | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AUH43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    938579 | PA      | $803201.96    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133ATXF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1950400 | PA      | $1669707.11   | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133ASVF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111703 | PA      | $95857.92     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AQFQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2688837 | PA      | $2308765.13   | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133APV63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2146860 | PA      | $1843624.50   | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133APTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5723534 | PA      | $4962451.80   | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133ANVW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3891239 | PA      | $3388495.93   | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AMYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2611446 | PA      | $2243405.03   | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AM5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    765003 | PA      | $657349.12    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AM4R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2596790 | PA      | $2230003.72   | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AKNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673162 | PA      | $578433.36    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133A1CC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3458124 | PA      | $3097595.67   | 0.02%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 31336CMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20261 | PA      | $19891.21     | 0.00%             | 2035-07-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335GEJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       158 | PA      | $162.38       | 0.00%             | 2024-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335GE50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1757 | PA      | $1810.80      | 0.00%             | 2024-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335GDR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       672 | PA      | $672.86       | 0.00%             | 2024-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22838817 | PA      | $21429525.38  | 0.14%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4279050 | PA      | $4294530.44   | 0.03%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335AFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3541823 | PA      | $3554633.26   | 0.02%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17213567 | PA      | $16253040.38  | 0.10%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132H7C85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3535478 | PA      | $3330647.08   | 0.02%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132H5BB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1475187 | PA      | $1389632.05   | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132H3PR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4592246 | PA      | $4327118.94   | 0.03%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2312776 | PA      | $2256577.29   | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1045691 | PA      | $895448.33    | 0.01%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18968072 | PA      | $18881699.50  | 0.12%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3985142 | PA      | $3880515.05   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553623 | PA      | $474081.57    | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3578903 | PA      | $3386533.70   | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWE74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757105 | PA      | $753891.85    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 122140571 | PA      | $104571907.88 | 0.67%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7462191 | PA      | $6388540.68   | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7388534 | PA      | $6088221.03   | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26249716 | PA      | $22473014.99  | 0.14%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 153716846 | PA      | $126742781.79 | 0.82%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DVMC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22315897 | PA      | $19959295.53  | 0.13%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DVLL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4662778 | PA      | $4184239.13   | 0.03%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DVL52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  53783685 | PA      | $46734074.89  | 0.30%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DV4Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11007532 | PA      | $10497354.40  | 0.07%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNUW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26074936 | PA      | $23929188.78  | 0.15%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18116335 | PA      | $17036388.02  | 0.11%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNQ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11388671 | PA      | $10084111.04  | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNK69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11284709 | PA      | $9366990.24   | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNBC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499164 | PA      | $442642.18    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DMVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3771044 | PA      | $3488750.18   | 0.02%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DM5N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1414062 | PA      | $1210628.08   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D6CX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1687775 | PA      | $1683594.60   | 0.01%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D6CL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7252673 | PA      | $6710074.73   | 0.04%             | 2037-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D6CG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2125772 | PA      | $2078779.88   | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D6BQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5435127 | PA      | $4766085.05   | 0.03%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D6B41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2566074 | PA      | $2378142.28   | 0.02%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CWYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8877807 | PA      | $8692669.50   | 0.06%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CWG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3428081 | PA      | $3234117.72   | 0.02%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132ACFU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6075795 | PA      | $5676181.07   | 0.04%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132A8Y37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15994026 | PA      | $15273182.00  | 0.10%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132A5GA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2928020 | PA      | $2641368.00   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3131XW4R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7342616 | PA      | $6862725.18   | 0.04%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31298TQ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       147 | PA      | $147.04       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QYV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15431 | PA      | $15802.48     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QR51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24068 | PA      | $24395.72     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39360 | PA      | $39895.80     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27576 | PA      | $27831.51     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1643454 | PA      | $1603525.55   | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2071146 | PA      | $2020829.69   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8772 | PA      | $8558.95      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    851350 | PA      | $830666.08    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    572842 | PA      | $558927.39    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943GW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118641 | PA      | $115758.87    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943DQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    635967 | PA      | $638270.08    | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74845 | PA      | $73027.51     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220460 | PA      | $216043.95    | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325392 | PA      | $332234.74    | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59283 | PA      | $60691.01     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940AM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    667904 | PA      | $683766.38    | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312939WT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    590457 | PA      | $607509.95    | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    873295 | PA      | $873946.55    | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312933NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1268787 | PA      | $1265956.12   | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21830031 | PA      | $20610100.84  | 0.13%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292HXN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2438 | PA      | $2517.19      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292H4K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1915 | PA      | $1997.85      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292GLU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       327 | PA      | $328.24       | 0.00%             | 2024-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292GLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        16 | PA      | $16.20        | 0.00%             | 2024-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292GK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       395 | PA      | $406.87       | 0.00%             | 2024-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128S4CS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102564 | PA      | $102293.91    | 0.00%             | 2036-03-01      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84550 | PA      | $84397.17     | 0.00%             | 2036-12-01      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118473 | PA      | $115863.84    | 0.00%             | 2036-11-01      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128P7B85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6993 | PA      | $7081.31      | 0.00%             | 2026-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51711 | PA      | $52894.77     | 0.00%             | 2036-10-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1513322 | PA      | $1364749.54   | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    809943 | PA      | $791721.48    | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJDS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9491 | PA      | $9914.92      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103840 | PA      | $107197.66    | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19903 | PA      | $20766.14     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MEE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5963585 | PA      | $5653369.58   | 0.04%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MC6H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       164 | PA      | $166.06       | 0.00%             | 2025-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M9ZN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    799314 | PA      | $800064.47    | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M9LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15913967 | PA      | $14619909.19  | 0.09%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M9JW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10105630 | PA      | $9542995.18   | 0.06%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246732 | PA      | $257093.45    | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35702 | PA      | $34834.38     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    537229 | PA      | $564550.79    | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7ZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384539 | PA      | $385931.47    | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7YK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    771011 | PA      | $808710.96    | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    973368 | PA      | $976891.35    | 0.01%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7CW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1108183 | PA      | $1164496.01   | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M76Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1256100 | PA      | $1319969.58   | 0.01%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    592579 | PA      | $606629.10    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    638032 | PA      | $640340.30    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1052036 | PA      | $1097589.62   | 0.01%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    748337 | PA      | $786963.37    | 0.01%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6M88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    532294 | PA      | $555860.47    | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M4QG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    475157 | PA      | $494717.92    | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M4B77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15491 | PA      | $16314.11     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    404816 | PA      | $417890.62    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109526 | PA      | $108944.41    | 0.00%             | 2037-02-01      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K9GH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3496 | PA      | $3603.29      | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K9DJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164315 | PA      | $169364.13    | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K7U63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    856792 | PA      | $878962.31    | 0.01%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K7MM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55541 | PA      | $57136.24     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K6NH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1181 | PA      | $1179.45      | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JNNV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128948 | PA      | $126022.50    | 0.00%             | 2037-01-01      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128FWAJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47266 | PA      | $48286.08     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128CUJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6378 | PA      | $6379.68      | 0.00%             | 2025-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31288ALH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8467 | PA      | $8672.69      | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UEV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3177 | PA      | $3182.94      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15786 | PA      | $15811.88     | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1382 | PA      | $1445.14      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283GT98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       182 | PA      | $182.68       | 0.00%             | 2024-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283GMD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       156 | PA      | $156.36       | 0.00%             | 2025-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                        | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CUSIP: 30711XTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504082 | PA      | $498750.82    | 0.00%             | 2030-02-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                        | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CUSIP: 30711XMZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22166416 | PA      | $21639963.63  | 0.14%             | 2029-11-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                        | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CUSIP: 30711XHT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1338116 | PA      | $1318027.02   | 0.01%             | 2029-09-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                        | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CUSIP: 30711XDK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6333052 | PA      | $6483462.49   | 0.04%             | 2029-01-25      | Variable      | 8.47%                 | No            |                  2 | On Loan: No      |
| FWD Securitization Trust 2020-INV1                                              | FWD SECURITIZATION TRUST 2020-INV1                                              | CUSIP: 302985AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1315688 | PA      | $1161970.97   | 0.01%             | 2050-01-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                                          | EXTRA SPACE STORAGE LP                                                          | CUSIP: 30225VAG2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |  26250000 | PA      | $19782551.25  | 0.13%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2022-1                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-1                                      | CUSIP: 30167JAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  35405000 | PA      | $31914049.30  | 0.21%             | 2028-06-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2022-3                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-3                                      | CUSIP: 30166YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19445000 | PA      | $19047417.81  | 0.12%             | 2027-09-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2022-2                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-2                                      | CUSIP: 30166QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17900000 | PA      | $16972012.09  | 0.11%             | 2028-07-17      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2021-1                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2021-1                                      | CUSIP: 30165XAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8374000 | PA      | $7532717.81   | 0.05%             | 2027-04-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                                                    | USD/EUR FWD 20230224 MSLNGB2X                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-85657.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                              | ESSEX PORTFOLIO LP                                                              | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |  10099000 | PA      | $7555758.73   | 0.05%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                              | ESSEX PORTFOLIO LP                                                              | CUSIP: 29717PAR8<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   5006000 | PA      | $4702761.55   | 0.03%             | 2027-05-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Equifax Inc                                                                     | EQUIFAX INC                                                                     | CUSIP: 294429AV7<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |  11795000 | PA      | $11626107.40  | 0.07%             | 2027-12-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2016-P4                                     | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P4                                     | CUSIP: 29429EAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7203214 | PA      | $6377824.36   | 0.04%             | 2049-07-10      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                               | ENTERPRISE PRODUCTS OPERATING LLC                                               | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   3635000 | PA      | $3138139.12   | 0.02%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Entegris Escrow Corp                                                            | ENTEGRIS ESCROW CORP                                                            | CUSIP: 29365BAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6830000 | PA      | $6351900.00   | 0.04%             | 2030-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3985000 | PA      | $3769901.66   | 0.02%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   8447000 | PA      | $7977946.54   | 0.05%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29278NAM5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   8602000 | PA      | $8609922.44   | 0.06%             | 2024-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3969000 | PA      | $3915724.11   | 0.03%             | 2024-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |  29736000 | PA      | $27265979.16  | 0.18%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                   | ENEL FINANCE INTERNATIONAL NV                                                   | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  23114000 | PA      | $17285180.82  | 0.11%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                   | ENEL FINANCE INTERNATIONAL NV                                                   | CUSIP: 29278GAN8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  18162000 | PA      | $14612491.37  | 0.09%             | 2028-07-12      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                   | ENEL FINANCE INTERNATIONAL NV                                                   | CUSIP: 29278GAF5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  11261000 | PA      | $9894060.99   | 0.06%             | 2028-04-06      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | ENERGY TRANSFER LP                                                              | CUSIP: 29273RBK4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2658000 | PA      | $2515743.84   | 0.02%             | 2027-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | EUR/USD FWD 20230224 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $60592.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Edison International                                                            | EDISON INTERNATIONAL                                                            | CUSIP: 281020AR8<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   1409000 | PA      | $1390642.14   | 0.01%             | 2025-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ecolab Inc                                                                      | ECOLAB INC                                                                      | CUSIP: 278865BE9<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |   1388000 | PA      | $1387261.58   | 0.01%             | 2030-03-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| Eni SpA                                                                         | ENI SPA                                                                         | CUSIP: 26874RAE8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |  30079000 | PA      | $29132413.87  | 0.19%             | 2028-09-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EDP Finance BV                                                                  | EDP FINANCE BV                                                                  | CUSIP: 26835PAJ9<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |   5865000 | PA      | $6001543.07   | 0.04%             | 2027-10-11      | Fixed         | 6.30%                 | No            |                  2 | On Loan: —       |
| Duke Energy Corp                                                                | DUKE ENERGY CORP                                                                | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |  34640000 | PA      | $32749244.88  | 0.21%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Dryden 86 CLO Ltd                                                               | DRYDEN 86 CLO LTD                                                               | CUSIP: 26245XAL1<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |  21235000 | PA      | $20514669.73  | 0.13%             | 2034-07-17      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| DRIVEN BRANDS FUNDING LLC                                                       | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26209XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14236200 | PA      | $11282458.99  | 0.07%             | 2051-10-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| DRIVEN BRANDS FUNDING LLC                                                       | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26208LAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15452938 | PA      | $13907288.33  | 0.09%             | 2049-04-20      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Discover Financial Services                                                     | DISCOVER FINANCIAL SERVICES                                                     | CUSIP: 254709AM0<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |  58694000 | PA      | $54922088.78  | 0.35%             | 2027-02-09      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                          | DIAMONDBACK ENERGY INC                                                          | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |  23032000 | PA      | $21362180.00  | 0.14%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust 2021-2                                     | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2                                     | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7277962 | PA      | $6052134.70   | 0.04%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Darling Ingredients Inc                                                         | DARLING INGREDIENTS INC                                                         | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |   5145000 | PA      | $5009943.75   | 0.03%             | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                 | DANSKE BANK A/S                                                                 | CUSIP: 23636ABD2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  12760000 | PA      | $12251947.84  | 0.08%             | 2025-03-28      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                 | DANSKE BANK A/S                                                                 | CUSIP: 23636AAV3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  21957000 | PA      | $20460586.54  | 0.13%             | 2025-12-20      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                 | DANSKE BANK A/S                                                                 | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  20461000 | PA      | $20279674.62  | 0.13%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Cushman & Wakefield US Borrower LLC                                             | CUSHMAN & WAKEFIELD US BORROWER LLC                                             | CUSIP: 23166MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6665000 | PA      | $6365075.00   | 0.04%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Crown Castle Inc                                                                | CROWN CASTLE INC                                                                | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   4860000 | PA      | $4443648.66   | 0.03%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc                                                                | CROWN CASTLE INC                                                                | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   3955000 | PA      | $3136829.15   | 0.02%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: —       |
| Crown Castle Towers LLC                                                         | CROWN CASTLE TOWERS LLC                                                         | CUSIP: 22822RBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  50986000 | PA      | $48513902.49  | 0.31%             | 2025-05-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40880000 | PA      | $41719720.58  | 0.27%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 162370000 | PA      | $164295704.95 | 1.06%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8050000 | PA      | $7884283.18   | 0.05%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8495000 | PA      | $7885749.22   | 0.05%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8770000 | PA      | $7919966.52   | 0.05%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23360000 | PA      | $20527600.23  | 0.13%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4155000 | PA      | $3538891.41   | 0.02%             | 2050-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial Inc                                                        | COREBRIDGE FINANCIAL INC                                                        | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   3540000 | PA      | $3123182.70   | 0.02%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R01                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R01                                    | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19620000 | PA      | $18258960.60  | 0.12%             | 2041-12-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R01                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R01                                    | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6480146 | PA      | $6363080.15   | 0.04%             | 2041-12-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R02                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                    | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34462739 | PA      | $33754381.51  | 0.22%             | 2042-01-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2021-R03                                    | CONNECTICUT AVENUE SECURITIES TRUST 2021-R03                                    | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11825000 | PA      | $10913291.32  | 0.07%             | 2041-12-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R04                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R04                                    | CUSIP: 20753YCH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14674876 | PA      | $14491818.75  | 0.09%             | 2042-03-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R03                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R03                                    | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22125695 | PA      | $21863063.17  | 0.14%             | 2042-03-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                    | COMCAST CORP                                                                    | CUSIP: 20030NDM0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   6345000 | PA      | $5146848.27   | 0.03%             | 2031-01-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                    | COMCAST CORP                                                                    | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |  22623000 | PA      | $17938523.26  | 0.12%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COLT 2021-1 Mortgage Loan Trust                                                 | COLT 2021-1 MORTGAGE LOAN TRUST                                                 | CUSIP: 19688EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14889394 | PA      | $12128696.23  | 0.08%             | 2066-06-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust 2020-ICE5                                                    | COLD STORAGE TRUST 2020-ICE5                                                    | CUSIP: 193051AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23704816 | PA      | $22753030.15  | 0.15%             | 2037-11-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust 2020-ICE5                                                    | COLD STORAGE TRUST 2020-ICE5                                                    | CUSIP: 193051AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11083218 | PA      | $10666011.45  | 0.07%             | 2037-11-15      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | EUR/USD FWD 20230224 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-201936.22   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2020-555                                    | CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-555                                    | CUSIP: 17328EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $4151402.75   | 0.03%             | 2041-12-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2020-555                                    | CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-555                                    | CUSIP: 17328EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8370000 | PA      | $6540195.80   | 0.04%             | 2041-12-10      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2019-C7                                     | CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                     | CUSIP: 17328CBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12000000 | PA      | $8709416.40   | 0.06%             | 2072-12-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2013-375P                                   | CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P                                   | CUSIP: 17320QAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14725000 | PA      | $13435612.74  | 0.09%             | 2035-05-10      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967NX5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  24250000 | PA      | $24325635.75  | 0.16%             | 2026-09-29      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  20140000 | PA      | $18262106.12  | 0.12%             | 2028-02-24      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  10298000 | PA      | $8206259.94   | 0.05%             | 2032-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  23226000 | PA      | $21999202.68  | 0.14%             | 2026-04-08      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2022-INV1                                         | CITIGROUP MORTGAGE LOAN TRUST 2022-INV1                                         | CUSIP: 17290FBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7971033 | PA      | $6454360.30   | 0.04%             | 2051-11-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                            | CHENIERE CORPUS CHRISTI HOLDINGS LLC                                            | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |  21773000 | PA      | $19813430.00  | 0.13%             | 2029-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                            | CHENIERE CORPUS CHRISTI HOLDINGS LLC                                            | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |   6741000 | PA      | $6707295.00   | 0.04%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                            | CHENIERE CORPUS CHRISTI HOLDINGS LLC                                            | CUSIP: 16412XAD7<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |   7306000 | PA      | $7390019.00   | 0.05%             | 2024-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Inc                                                             | CHENIERE ENERGY INC                                                             | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |  14840000 | PA      | $13708450.00  | 0.09%             | 2028-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12175000 | PA      | $9936297.53   | 0.06%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4070000 | PA      | $3223867.35   | 0.02%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7698000 | PA      | $6096261.74   | 0.04%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5555000 | PA      | $5264956.79   | 0.03%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Charles River Laboratories International Inc                                    | CHARLES RIVER LABORATORIES INTERNATIONAL INC                                    | CUSIP: 159864AE7<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |   3465000 | PA      | $3153150.00   | 0.02%             | 2028-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Central Parent Inc / CDK Global Inc                                             | CENTRAL PARENT INC / CDK GLOBAL INC                                             | CUSIP: 15477CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2855000 | PA      | $2755075.00   | 0.02%             | 2029-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| Centene Corp                                                                    | CENTENE CORP                                                                    | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   8930000 | PA      | $7064969.50   | 0.05%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Centene Corp                                                                    | CENTENE CORP                                                                    | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   8035000 | PA      | $6558568.75   | 0.04%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Centene Corp                                                                    | CENTENE CORP                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   9155000 | PA      | $7770306.25   | 0.05%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Celulosa Arauco y Constitucion SA                                               | CELULOSA ARAUCO Y CONSTITUCION SA                                               | CUSIP: 151191BB8<br>LEI: 549300QEKV8G0AMNQD28 | Long             | DBT              | CORP              | CL        |  20227000 | PA      | $18366116.00  | 0.12%             | 2027-11-02      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | CELANESE US HOLDINGS LLC                                                        | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |  11105000 | PA      | $10889518.58  | 0.07%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | CELANESE US HOLDINGS LLC                                                        | CUSIP: 15089QAL8<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |  10305000 | PA      | $10238275.13  | 0.07%             | 2025-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Cedar Funding XIV CLO Ltd                                                       | CEDAR FUNDING XIV CLO LTD                                                       | CUSIP: 15034AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9385000 | PA      | $9173745.43   | 0.06%             | 2033-07-15      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Cedar Fair LP / Canada s Wonderland Co / Magnum Management Corp / Millennium Op | CEDAR FAIR LP / CANADA'S WONDERLAND CO / MAGNUM MANAGEMENT CORP / MILLENNIUM OP | CUSIP: 150190AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3010000 | PA      | $2867025.00   | 0.02%             | 2027-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| CBAM 2019-9 Ltd                                                                 | CBAM 2019-9 LTD                                                                 | CUSIP: 14987VAA7<br>LEI: 254900Q3N8LV0KJICN72 | Long             | ABS-CBDO         | CORP              | KY        |   4455662 | PA      | $4391120.08   | 0.03%             | 2030-02-12      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Catalent Pharma Solutions Inc                                                   | CATALENT PHARMA SOLUTIONS INC                                                   | CUSIP: 14879EAE8<br>LEI: 549300HALRZ339MSTH85 | Long             | DBT              | CORP              | US        |   4020000 | PA      | $3798900.00   | 0.02%             | 2027-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Carvana Auto Receivables Trust 2022-P1                                          | CARVANA AUTO RECEIVABLES TRUST 2022-P1                                          | CUSIP: 14688DAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13955000 | PA      | $12540353.74  | 0.08%             | 2028-04-10      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2022-N1                                          | CARVANA AUTO RECEIVABLES TRUST 2022-N1                                          | CUSIP: 14686GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5665000 | PA      | $5442805.67   | 0.04%             | 2028-12-11      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2019-4 LTD                                                       | CARLYLE US CLO 2019-4 LTD                                                       | CUSIP: 14317VAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  29195000 | PA      | $28104881.47  | 0.18%             | 2035-04-15      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust 2022-1                                                  | CARMAX AUTO OWNER TRUST 2022-1                                                  | CUSIP: 14317CAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11750000 | PA      | $10663173.18  | 0.07%             | 2027-11-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Cardinal Health Inc                                                             | CARDINAL HEALTH INC                                                             | CUSIP: 14149YBB3<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |   4360000 | PA      | $3563262.32   | 0.02%             | 2044-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                      | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3235000 | PA      | $3089994.36   | 0.02%             | 2030-07-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                      | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   9245000 | PA      | $7944912.63   | 0.05%             | 2030-03-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                      | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  11559000 | PA      | $10798036.35  | 0.07%             | 2027-05-11      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                      | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HBN4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  19858000 | PA      | $18796848.05  | 0.12%             | 2027-03-09      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650DG2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   3360000 | PA      | $3042241.44   | 0.02%             | 2029-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  36567000 | PA      | $33784068.47  | 0.22%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CSL Finance PLC                                                                 | CSL FINANCE PLC                                                                 | CUSIP: 12661PAC3<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |   8335000 | PA      | $7904288.88   | 0.05%             | 2032-04-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CSL Finance PLC                                                                 | CSL FINANCE PLC                                                                 | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |   9480000 | PA      | $8999695.80   | 0.06%             | 2029-04-27      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| COLT 2021-6 Mortgage Loan Trust                                                 | COLT 2021-6 MORTGAGE LOAN TRUST                                                 | CUSIP: 12658YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12993661 | PA      | $10667047.18  | 0.07%             | 2066-12-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C5 Commercial Mortgage Trust                                         | CSAIL 2016-C5 COMMERCIAL MORTGAGE TRUST                                         | CUSIP: 12636LBC3<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4671427.50   | 0.03%             | 2048-11-15      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE6 Mortgage Trust                                                  | COMM 2013-CCRE6 MORTGAGE TRUST                                                  | CUSIP: 12624XAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6715000 | PA      | $6674049.24   | 0.04%             | 2046-03-10      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CNO Financial Group Inc                                                         | CNO FINANCIAL GROUP INC                                                         | CUSIP: 12621EAK9<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |   9438000 | PA      | $9331822.50   | 0.06%             | 2025-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COLT 2020-3 Mortgage Loan Trust                                                 | COLT 2020-3 MORTGAGE LOAN TRUST                                                 | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2276575 | PA      | $2136024.77   | 0.01%             | 2065-04-27      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE24 Mortgage Trust                                                 | COMM 2015-CCRE24 MORTGAGE TRUST                                                 | CUSIP: 12593JBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5745000 | PA      | $5406535.05   | 0.03%             | 2048-08-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE24 Mortgage Trust                                                 | COMM 2015-CCRE24 MORTGAGE TRUST                                                 | CUSIP: 12593JBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7340000 | PA      | $6974163.39   | 0.04%             | 2048-08-10      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC21 Mortgage Trust                                                   | COMM 2015-LC21 MORTGAGE TRUST                                                   | CUSIP: 12593FBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21415000 | PA      | $20136738.65  | 0.13%             | 2048-07-10      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2021-III Ltd                                                       | CIFC FUNDING 2021-III LTD                                                       | CUSIP: 12564DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  30055000 | PA      | $29088492.51  | 0.19%             | 2036-07-15      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2020-III Ltd                                                       | CIFC FUNDING 2020-III LTD                                                       | CUSIP: 12560EAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20305000 | PA      | $19617293.61  | 0.13%             | 2034-10-20      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2019-V Ltd                                                         | CIFC FUNDING 2019-V LTD                                                         | CUSIP: 12554XAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11000000 | PA      | $10462454.97  | 0.07%             | 2035-01-15      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending 2019-CF2                                  | CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF2                                  | CUSIP: 12528YAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9752000 | PA      | $7788305.10   | 0.05%             | 2052-11-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp                                    | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8250000 | PA      | $7837500.00   | 0.05%             | 2029-09-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BX Trust 2021-LGCY                                                              | BX TRUST 2021-LGCY                                                              | CUSIP: 12434DAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13125000 | PA      | $12185685.75  | 0.08%             | 2036-10-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                    | BROADCOM INC                                                                    | CUSIP: 11135FAL5<br>LEI: 549300GR48KUO03W2V88 | Long             | DBT              | CORP              | US        |   3360000 | PA      | $3139016.16   | 0.02%             | 2028-09-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   3745000 | PA      | $3233230.77   | 0.02%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAE3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |  30217000 | PA      | $27695633.09  | 0.18%             | 2027-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |  55609000 | PA      | $51999030.55  | 0.33%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                          | BOARDWALK PIPELINES LP                                                          | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |  17281000 | PA      | $14509075.76  | 0.09%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                          | BOARDWALK PIPELINES LP                                                          | CUSIP: 096630AF5<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |  30749000 | PA      | $29371198.81  | 0.19%             | 2027-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                          | BOARDWALK PIPELINES LP                                                          | CUSIP: 096630AE8<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |  11000000 | PA      | $11214456.00  | 0.07%             | 2026-06-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                          | BOARDWALK PIPELINES LP                                                          | CUSIP: 096630AD0<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |   9720000 | PA      | $9613867.32   | 0.06%             | 2024-12-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                  | BNP PARIBAS SA                                                                  | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  37030000 | PA      | $32440427.74  | 0.21%             | 2028-01-20      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                  | BNP PARIBAS SA                                                                  | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  10950000 | PA      | $9509341.35   | 0.06%             | 2027-01-13      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp                                                 | BERKSHIRE HATHAWAY FINANCE CORP                                                 | CUSIP: 084664CX7<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |  13080000 | PA      | $8304295.80   | 0.05%             | 2051-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XX Ltd                                              | BENEFIT STREET PARTNERS CLO XX LTD                                              | CUSIP: 08182FAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15245000 | PA      | $14748200.36  | 0.09%             | 2034-07-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XI                                                  | BENEFIT STREET PARTNERS CLO XI                                                  | CUSIP: 08179CAQ4<br>LEI: 254900O9QVOQ1G7RF178 | Long             | ABS-CBDO         | CORP              | KY        |  16090000 | PA      | $15534672.64  | 0.10%             | 2029-04-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                                         | BECTON DICKINSON AND CO                                                         | CUSIP: 075887CL1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |  25674000 | PA      | $20583539.00  | 0.13%             | 2031-02-11      | Fixed         | 1.96%                 | No            |                  2 | On Loan: —       |
| Becton Dickinson and Co                                                         | BECTON DICKINSON AND CO                                                         | CUSIP: 075887CJ6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |  10263000 | PA      | $8919593.83   | 0.06%             | 2030-05-20      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                                         | BECTON DICKINSON AND CO                                                         | CUSIP: 075887BW8<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |  37191000 | PA      | $35428630.08  | 0.23%             | 2027-06-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust 2021-NQM1                                          | BARCLAYS MORTGAGE LOAN TRUST 2021-NQM1                                          | CUSIP: 06744UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5867410 | PA      | $4867660.24   | 0.03%             | 2051-09-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738EBU8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  30800000 | PA      | $26440937.60  | 0.17%             | 2027-11-24      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  24674000 | PA      | $22709826.23  | 0.15%             | 2026-05-07      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738EBH7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  19911000 | PA      | $19179768.53  | 0.12%             | 2025-05-07      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK8                                                                  | BANK 2017-BNK8                                                                  | CUSIP: 06650AAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2705000 | PA      | $2432984.66   | 0.02%             | 2050-11-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Bank Leumi Le-Israel BM                                                         | BANK LEUMI LE-ISRAEL BM                                                         | CUSIP: 06326BAA7<br>LEI: 7JDSZWRGUQY2DSTWCR57 | Long             | DBT              | CORP              | IL        |  23000000 | PA      | $20505098.00  | 0.13%             | 2031-01-29      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group PLC                                                       | BANK OF IRELAND GROUP PLC                                                       | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |  13825000 | PA      | $13681717.70  | 0.09%             | 2026-09-16      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  32003000 | PA      | $25013224.77  | 0.16%             | 2032-07-21      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  20116000 | PA      | $17634812.10  | 0.11%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  73896000 | PA      | $57747507.12  | 0.37%             | 2031-07-23      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  38880000 | PA      | $31960487.52  | 0.21%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  22900000 | PA      | $18818395.60  | 0.12%             | 2031-02-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GHT9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  11450000 | PA      | $10791647.90  | 0.07%             | 2027-04-23      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  42340000 | PA      | $39458890.02  | 0.25%             | 2029-07-23      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  22458000 | PA      | $20260978.78  | 0.13%             | 2028-12-20      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  11908000 | PA      | $11706314.20  | 0.08%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                              | BANCO SANTANDER SA                                                              | CUSIP: 05971KAF6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  11400000 | PA      | $9544992.00   | 0.06%             | 2030-05-28      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                              | BANCO SANTANDER SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   5200000 | PA      | $4809901.20   | 0.03%             | 2028-03-24      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                              | BANCO SANTANDER SA                                                              | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  21200000 | PA      | $18110587.60  | 0.12%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                                              | BANCO BILBAO VIZCAYA ARGENTARIA SA                                              | CUSIP: 05946KAK7<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |  16200000 | PA      | $16116667.20  | 0.10%             | 2026-09-14      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Ball Corp                                                                       | BALL CORP                                                                       | CUSIP: 058498AY2<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |   5835000 | PA      | $5907937.50   | 0.04%             | 2028-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| BX Commercial Mortgage Trust 2022-CSMO                                          | BX COMMERCIAL MORTGAGE TRUST 2022-CSMO                                          | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17850000 | PA      | $17637501.11  | 0.11%             | 2027-06-15      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| BXSC Commercial Mortgage Trust 2022-WSS                                         | BXSC COMMERCIAL MORTGAGE TRUST 2022-WSS                                         | CUSIP: 05610BAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5815000 | PA      | $5538066.44   | 0.04%             | 2035-03-15      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| BXSC Commercial Mortgage Trust 2022-WSS                                         | BXSC COMMERCIAL MORTGAGE TRUST 2022-WSS                                         | CUSIP: 05610BAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33195000 | PA      | $31697291.39  | 0.20%             | 2035-03-15      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2021-21M                                           | BX COMMERCIAL MORTGAGE TRUST 2021-21M                                           | CUSIP: 05609CAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8440981 | PA      | $7871180.77   | 0.05%             | 2036-10-15      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| BX Trust 2021-ARIA                                                              | BX TRUST 2021-ARIA                                                              | CUSIP: 05608RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16295000 | PA      | $15069858.80  | 0.10%             | 2036-10-15      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| BX Trust 2021-ARIA                                                              | BX TRUST 2021-ARIA                                                              | CUSIP: 05608RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15280000 | PA      | $14238140.84  | 0.09%             | 2036-10-15      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust 2021-INV1                                            | BINOM SECURITIZATION TRUST 2021-INV1                                            | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10727127 | PA      | $9262882.93   | 0.06%             | 2056-06-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| BAT International Finance PLC                                                   | BAT INTERNATIONAL FINANCE PLC                                                   | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |  21719000 | PA      | $19207892.66  | 0.12%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                                                | BAT CAPITAL CORP                                                                | CUSIP: 05526DBW4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   3295000 | PA      | $2958969.31   | 0.02%             | 2032-03-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                                                | BAT CAPITAL CORP                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |  39483000 | PA      | $35934149.51  | 0.23%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust 2018-DSNY                            | BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2018-DSNY                            | CUSIP: 054967AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35456000 | PA      | $34686388.52  | 0.22%             | 2034-09-15      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| BBCMS 2019-BWAY Mortgage Trust                                                  | BBCMS 2019-BWAY MORTGAGE TRUST                                                  | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10230000 | PA      | $8934201.71   | 0.06%             | 2034-11-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings Inc                                                          | EQUITABLE HOLDINGS INC                                                          | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |  36732000 | PA      | $34993915.22  | 0.23%             | 2028-04-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Avient Corp                                                                     | AVIENT CORP                                                                     | CUSIP: 05368VAA4<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |   2840000 | PA      | $2765450.00   | 0.02%             | 2030-08-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: —       |
| Aventura Mall Trust                                                             | AVENTURA MALL TRUST                                                             | CUSIP: 05359AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39170000 | PA      | $35243677.54  | 0.23%             | 2040-07-05      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Avantor Funding Inc                                                             | AVANTOR FUNDING INC                                                             | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |   3120000 | PA      | $2870400.00   | 0.02%             | 2028-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AutoZone Inc                                                                    | AUTOZONE INC                                                                    | CUSIP: 053332BB7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   3360000 | PA      | $3287420.64   | 0.02%             | 2032-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Austin Fairmont Hotel Trust 2019-FAIR                                           | AUSTIN FAIRMONT HOTEL TRUST 2019-FAIR                                           | CUSIP: 05223HAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11890000 | PA      | $11470914.36  | 0.07%             | 2032-09-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Ausgrid Finance Pty Ltd                                                         | AUSGRID FINANCE PTY LTD                                                         | CUSIP: 052113AB3<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |  23381000 | PA      | $21728360.78  | 0.14%             | 2028-08-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: —       |
| Ausgrid Finance Pty Ltd                                                         | AUSGRID FINANCE PTY LTD                                                         | CUSIP: 052113AA5<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |  14852000 | PA      | $14752744.08  | 0.09%             | 2023-05-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Astrazeneca Finance LLC                                                         | ASTRAZENECA FINANCE LLC                                                         | CUSIP: 04636NAE3<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |  15129000 | PA      | $13158568.78  | 0.08%             | 2028-05-28      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC     | ARDAGH METAL PACKAGING FINANCE USA LLC / ARDAGH METAL PACKAGING FINANCE PLC     | CUSIP: 03969YAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3875000 | PA      | $3753906.25   | 0.02%             | 2027-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Aptiv PLC                                                                       | APTIV PLC                                                                       | CUSIP: 03835VAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    685000 | PA      | $426412.50    | 0.00%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Applebee s Funding LLC / IHOP Funding LLC                                       | APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC                                       | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  37862550 | PA      | $35833571.67  | 0.23%             | 2049-06-05      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Aon Corp                                                                        | AON CORP                                                                        | CUSIP: 037389BE2<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |   3635000 | PA      | $3113417.49   | 0.02%             | 2030-05-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: —       |
| Anheuser-Busch InBev Worldwide Inc                                              | ANHEUSER-BUSCH INBEV WORLDWIDE INC                                              | CUSIP: 035240AT7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |  18140000 | PA      | $16432499.94  | 0.11%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Angel Oak Mortgage Trust 2021-3                                                 | ANGEL OAK MORTGAGE TRUST 2021-3                                                 | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9371924 | PA      | $7294648.09   | 0.05%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust I LLC 2019-1                                           | ANGEL OAK MORTGAGE TRUST I LLC 2019-1                                           | CUSIP: 03464MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182574 | PA      | $181403.02    | 0.00%             | 2048-11-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust I LLC 2019-1                                           | ANGEL OAK MORTGAGE TRUST I LLC 2019-1                                           | CUSIP: 03464MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465191 | PA      | $462312.77    | 0.00%             | 2048-11-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2021-4                                                 | ANGEL OAK MORTGAGE TRUST 2021-4                                                 | CUSIP: 03464EAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5485918 | PA      | $4056565.80   | 0.03%             | 2065-01-20      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| Americredit Automobile Receivables Trust 2022-1                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2022-1                                 | CUSIP: 03066TAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  36840000 | PA      | $33610741.91  | 0.22%             | 2028-02-18      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust 2021-1                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-1                                 | CUSIP: 03063FAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10301000 | PA      | $9165150.96   | 0.06%             | 2026-12-18      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust 2021-1                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-1                                 | CUSIP: 03063FAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10299000 | PA      | $9447559.01   | 0.06%             | 2026-10-19      | Fixed         | 0.89%                 | No            |                  2 | On Loan: No      |
| American Airlines Inc                                                           | AMERICAN AIRLINES INC                                                           | CUSIP: 023771S58<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |   2980000 | PA      | $3292900.00   | 0.02%             | 2025-07-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Altice France SA/France                                                         | ALTICE FRANCE SA/FRANCE                                                         | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   6485000 | PA      | $5382550.00   | 0.03%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc                                                              | ALLY FINANCIAL INC                                                              | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |  23765000 | PA      | $22520926.02  | 0.14%             | 2027-06-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0606C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 118420000 | PA      | $121074515.75 | 0.78%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24285000 | PA      | $23636135.16  | 0.15%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24980000 | PA      | $23620736.53  | 0.15%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42870000 | PA      | $39239446.88  | 0.25%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  62670000 | PA      | $55459807.73  | 0.36%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  70425000 | PA      | $60240885.12  | 0.39%             | 2044-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 114665000 | PA      | $94441856.16  | 0.61%             | 2050-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities Inc                                             | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271AK5<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |  15766000 | PA      | $14749077.23  | 0.09%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities Inc                                             | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271AJ8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |  25607000 | PA      | $24431587.49  | 0.16%             | 2027-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                                     | AKER BP ASA                                                                     | CUSIP: 00973RAG8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   7042000 | PA      | $6523772.18   | 0.04%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14 Ltd                                                                  | AGL CLO 14 LTD                                                                  | CUSIP: 00851WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  35905000 | PA      | $34656703.43  | 0.22%             | 2034-12-02      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4390000 | PA      | $3488482.77   | 0.02%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   9075000 | PA      | $7631566.80   | 0.05%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  18080000 | PA      | $15840502.72  | 0.10%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4365000 | PA      | $4413525.71   | 0.03%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  29186000 | PA      | $28735835.14  | 0.18%             | 2024-01-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CUSIP: 00774MAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3935000 | PA      | $3753541.41   | 0.02%             | 2025-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  13924000 | PA      | $11917857.93  | 0.08%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  12709000 | PA      | $11122586.37  | 0.07%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  18145000 | PA      | $16629311.86  | 0.11%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  21912000 | PA      | $20458445.57  | 0.13%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  27641000 | PA      | $25904233.05  | 0.17%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                      | ABBVIE INC                                                                      | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  27592000 | PA      | $25253357.26  | 0.16%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| American Airlines Inc/AAdvantage Loyalty IP Ltd                                 | AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                                 | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3535000 | PA      | $3278712.50   | 0.02%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| American Airlines Inc/AAdvantage Loyalty IP Ltd                                 | AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                                 | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1945000 | PA      | $1881787.50   | 0.01%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd                                                          | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   4605000 | PA      | $4342818.93   | 0.03%             | 2027-07-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AIB Group PLC                                                                   | AIB GROUP PLC                                                                   | CUSIP: 00135TAB0<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |  11685000 | PA      | $11267471.58  | 0.07%             | 2025-04-10      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd                                                                   | AIA GROUP LTD                                                                   | CUSIP: 00131LAF2<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |  40868000 | PA      | $38465492.88  | 0.25%             | 2028-04-06      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AGL CLO 17 Ltd                                                                  | AGL CLO 17 LTD                                                                  | CUSIP: 00120DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  22400000 | PA      | $21574861.50  | 0.14%             | 2035-01-21      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-11-30

**Name of Applicant:** T. ROWE PRICE NEW INCOME FUND, INC.

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President