# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001410368-26-010334
**Filing Date:** 2026-2
**Character Count:** 780473
**Document Hash:** 7bfa1096d5207adf89587dd805025ff3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-010334.hdr.sgml**: 20260206

**ACCESSION NUMBER**: 0001410368-26-010334

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260206

**DATE AS OF CHANGE**: 20260206

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000914036

**ORGANIZATION NAME:**
- **EIN:** 521835648
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08090
- **FILM NUMBER:** 26605197

**BUSINESS ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802
- **BUSINESS PHONE:** 260-455-2000

**MAIL ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AGGRESSIVE GROWTH FUND /
- **DATE OF NAME CHANGE:** 20031001

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **DATE OF NAME CHANGE:** 20030910

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN NATIONAL AGGRESSIVE GROWTH FUND INC
- **DATE OF NAME CHANGE:** 19931025

## Series and Classes Contracts Data

### LVIP Franklin Templeton Core Bond Fund (Series ID: S000002812)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000007720 | Standard Class |  |
| C000007721 | Service Class  |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

- **b. Investment Company Act file number:** 811-08090

- **c. CIK number of Registrant:** 0000914036

- **d. LEI of Registrant:** 3EICVM5HD7FVBIM8WO57

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

  - **Street Address 1:** 1301 S. Harrison Street

  - **City:** FORT WAYNE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46802

  - **Telephone number:** 260-455-2000

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

- **a. Name of Series:** LVIP Franklin Templeton Core Bond Fund

- **b. EDGAR series identifier (if any):** S000002812

- **c. LEI of Series:** TX5WPE5J86ZXCTSWEQ14

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $7992816526.55

**Total Liabilities:** $1504647517.74

**Net Assets:** $6488169008.81

**Cash Not Reported:** $132078.33

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -7840.85000000 | **1-Year:** -191870.17000000 | **5-Year:** -521180.02000000 | **10-Year:** -396675.93000000 | **30-Year:** -141875.17000000

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

- **3-Month:** -729.76000000 | **1-Year:** -14145.65000000 | **5-Year:** -46641.66000000 | **10-Year:** -27334.47000000 | **30-Year:** -9628.47000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007720 | 0.64%                | 0.59%                | -0.23%               |
| Class ID C000007721 | 0.60%                | 0.56%                | -0.25%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-8212243.27             | $23904220.27                               |
| Month 2  | $-15421849.67            | $20858247.85                               |
| Month 3  | $-5379836.88             | $-31909152.75                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Bond Index

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                  | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| A&D Mortgage Trust                                    | A&D Mortgage Trust 2024-NQM1                                                    | CUSIP: 00039GAA7<br>LEI: 984500E3BD374F778L95 | Long             | ABS-MBS          | CORP              | US        |    5341941 | PA      | $5390042.51    | 0.08%             | 2069-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Funding USA LLC                              | ABN AMRO Funding USA LLC                                                        | CUSIP: 00084CA28<br>LEI: 549300WEQ09INLYV6558 | Long             | STIV             | CORP              | US        |   60000000 | PA      | $59993833.20   | 0.92%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                         | AEP Texas Inc                                                                   | CUSIP: 00108WAJ9<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1397000 | PA      | $1073938.83    | 0.02%             | 2049-05-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                         | AEP Texas Inc                                                                   | CUSIP: 00108WAK6<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    1649000 | PA      | $1125968.58    | 0.02%             | 2050-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                         | AEP Texas Inc                                                                   | CUSIP: 00108WAR1<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    2306000 | PA      | $2380691.73    | 0.04%             | 2033-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RAG7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    4110000 | PA      | $4453693.69    | 0.07%             | 2038-01-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      58000 | PA      | $47855.73      | 0.00%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1306776.16    | 0.02%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     330000 | PA      | $289412.10     | 0.00%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   15749000 | PA      | $10539612.08   | 0.16%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     408000 | PA      | $271582.02     | 0.00%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      50000 | PA      | $32972.97      | 0.00%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     340000 | PA      | $290179.89     | 0.00%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      60000 | PA      | $41270.51      | 0.00%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RMY5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3449000 | PA      | $3534361.09    | 0.05%             | 2035-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                        | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    2781000 | PA      | $2797342.27    | 0.04%             | 2056-08-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AS MILEAGE PLAN IP LTD                                | AS Mileage Plan IP Ltd                                                          | CUSIP: 00218QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    5800000 | PA      | $5840255.65    | 0.09%             | 2029-10-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      30000 | PA      | $27314.18      | 0.00%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     160000 | PA      | $158753.65     | 0.00%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1163731.01    | 0.02%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     380000 | PA      | $312950.87     | 0.00%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      20000 | PA      | $19689.53      | 0.00%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     300000 | PA      | $307358.32     | 0.00%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YDT3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     130000 | PA      | $134419.13     | 0.00%             | 2031-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                            | AbbVie Inc                                                                      | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     180000 | PA      | $184983.58     | 0.00%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    6900000 | PA      | $6806215.27    | 0.10%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   19734000 | PA      | $19131889.02   | 0.29%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    3836000 | PA      | $3921516.29    | 0.06%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                              | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     160000 | PA      | $158087.11     | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AFRICAN DEVELOPMENT BANK                              | African Development Bank                                                        | CUSIP: 008281BF3<br>LEI: 549300LNCLMO3ITVCU07 | Long             | DBT              | NUSS              | XX        |    5914000 | PA      | $5900453.39    | 0.09%             | 2034-05-07      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AFRICA FINANCE CORP                                   | Africa Finance Corp                                                             | CUSIP: 00830YAF8<br>LEI: 213800LXFHRRXIJRXW97 | Long             | DBT              | NUSS              | XX        |    5393000 | PA      | $5525948.99    | 0.09%             | 2029-10-08      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                         | Agate Bay Mortgage Trust 2015-1                                                 | CUSIP: 00841WBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     354478 | PA      | $348274.26     | 0.01%             | 2045-01-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                         | Agate Bay Mortgage Trust 2015-1                                                 | CUSIP: 00841WBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     219329 | PA      | $215490.43     | 0.00%             | 2045-01-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Aimco                                                 | Aimco CLO 15 Ltd                                                                | CUSIP: 00889BAE1<br>LEI: 254900QER1MDK5C1YE06 | Long             | ABS-CBDO         | CORP              | KY        |    1070000 | PA      | $1070537.14    | 0.02%             | 2038-04-17      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                        | Air Lease Corp                                                                  | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    3017000 | PA      | $3028419.31    | 0.05%             | 2028-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                        | Air Lease Corp                                                                  | CUSIP: 00912XBK9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    4377000 | PA      | $4272767.44    | 0.07%             | 2026-12-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                        | Air Lease Corp                                                                  | CUSIP: 00914AAG7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    8421000 | PA      | $7893702.75    | 0.12%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                        | Air Lease Corp                                                                  | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   20637000 | PA      | $20625866.54   | 0.32%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                        | Air Lease Corp                                                                  | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     180000 | PA      | $183302.39     | 0.00%             | 2028-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                        | Air Lease Corp                                                                  | CUSIP: 00914AAV4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    2182000 | PA      | $2215350.89    | 0.03%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                         | Aircastle Ltd                                                                   | CUSIP: 00928QAX9<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    5810000 | PA      | $6107975.09    | 0.09%             | 2028-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALEXANDER FUND TRUST II                               | Alexander Funding Trust II                                                      | CUSIP: 014916AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5800000 | PA      | $6179329.92    | 0.10%             | 2028-07-31      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26500000 | PA      | $23972148.57   | 0.37%             | 2040-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13500000 | PA      | $12495937.50   | 0.19%             | 2040-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  138000000 | PA      | $111520700.76  | 1.72%             | 2055-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12000000 | PA      | $11349843.72   | 0.17%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12000000 | PA      | $11350331.04   | 0.17%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0224C6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -12000000 | PA      | $-11350331.04  | -0.17%            | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12000000 | PA      | $10142812.56   | 0.16%             | 2055-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5000000 | PA      | $-4421679.70   | -0.07%            | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F032617<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -41000000 | PA      | $-37900976.46  | -0.58%            | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23000000 | PA      | $21813764.88   | 0.34%             | 2056-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15000000 | PA      | $14642132.55   | 0.23%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F050411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16000000 | PA      | $16203649.76   | 0.25%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -13000000 | PA      | $-12963437.50  | -0.20%            | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  189000000 | PA      | $191642709.51  | 2.95%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   65000000 | PA      | $65902030.35   | 1.02%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0526C1<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -65000000 | PA      | $-65902030.35  | -1.02%            | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  167000000 | PA      | $171463487.49  | 2.64%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  167000000 | PA      | $171330455.29  | 2.64%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0606C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -167000000 | PA      | $-171330455.29 | -2.64%            | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  198000000 | PA      | $205769634.84  | 3.17%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                          | Alphabet Inc                                                                    | CUSIP: 02079KAD9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     360000 | PA      | $317310.90     | 0.00%             | 2030-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                          | Alphabet Inc                                                                    | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     150000 | PA      | $101530.83     | 0.00%             | 2040-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                          | Alphabet Inc                                                                    | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99467.33      | 0.00%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                          | Alphabet Inc                                                                    | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     140000 | PA      | $134090.02     | 0.00%             | 2055-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                          | Alphabet Inc                                                                    | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     150000 | PA      | $141072.49     | 0.00%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                               | American Electric Power Co Inc                                                  | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    7975000 | PA      | $7917264.51    | 0.12%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                               | American Electric Power Co Inc                                                  | CUSIP: 02557TAF6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    2660000 | PA      | $2613529.67    | 0.04%             | 2056-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                   | American Express Co                                                             | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     250000 | PA      | $250770.30     | 0.00%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    8800000 | PA      | $8353600.99    | 0.13%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     980000 | PA      | $1000905.39    | 0.02%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                             | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    2190000 | PA      | $2190474.92    | 0.03%             | 2032-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                              | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      80000 | PA      | $71983.41      | 0.00%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                       | CUSIP: 031162DJ6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    3610000 | PA      | $3528570.13    | 0.05%             | 2033-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                       | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    5810000 | PA      | $6026285.09    | 0.09%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                         | Amphenol Corp                                                                   | CUSIP: 032095AL5<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    6553000 | PA      | $5853081.15    | 0.09%             | 2031-09-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                         | Amphenol Corp                                                                   | CUSIP: 032095AZ4<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    6535000 | PA      | $6466337.15    | 0.10%             | 2033-02-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                              | Angel Oak Mortgage Trust 2021-7                                                 | CUSIP: 03464JAC5<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |     164767 | PA      | $145067.86     | 0.00%             | 2066-10-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                              | Angel Oak Mortgage Trust 2022-3                                                 | CUSIP: 03464TAA7<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |     362608 | PA      | $353366.56     | 0.01%             | 2067-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                              | Angel Oak Mortgage Trust 2025-1                                                 | CUSIP: 034934AA7<br>LEI: 254900HC0S1X9R2JZB30 | Long             | ABS-MBS          | CORP              | US        |    7678779 | PA      | $7757975.80    | 0.12%             | 2070-01-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                               | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     750000 | PA      | $693667.09     | 0.01%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                              | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     510000 | PA      | $508883.58     | 0.01%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                              | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     680000 | PA      | $663991.47     | 0.01%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                              | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   11471000 | PA      | $7134764.13    | 0.11%             | 2051-08-23      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                              | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   11257000 | PA      | $11530257.71   | 0.18%             | 2032-09-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                 | Aon North America Inc                                                           | CUSIP: 03740MAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4626000 | PA      | $4822656.07    | 0.07%             | 2031-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                 | Aon North America Inc                                                           | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     540000 | PA      | $561176.42     | 0.01%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                 | Aon North America Inc                                                           | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1740000 | PA      | $1731168.98    | 0.03%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                                   | Apex Credit CLO 2021-II LLC                                                     | CUSIP: 03755QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28324000 | PA      | $28296922.26   | 0.44%             | 2034-10-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                                   | Apex Credit CLO 2020 LTD                                                        | CUSIP: 03756ABC0<br>LEI: 549300WAK1RS0910RU63 | Long             | ABS-CBDO         | CORP              | BM        |     680000 | PA      | $680122.40     | 0.01%             | 2035-04-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                  | Appalachian Power Co                                                            | CUSIP: 037735CY1<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    2201000 | PA      | $1596514.87    | 0.02%             | 2050-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                            | Apidos Loan Fund 2024-1 Ltd                                                     | CUSIP: 037986AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1490000 | PA      | $1492276.72    | 0.02%             | 2038-10-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| APTARGROUP INC                                        | AptarGroup Inc                                                                  | CUSIP: 038336AB9<br>LEI: VNPEQDQFAA7IY1T2PX43 | Long             | DBT              | CORP              | US        |    3325000 | PA      | $3348476.13    | 0.05%             | 2031-03-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd       | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                          | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     212475 | PA      | $212474.60     | 0.00%             | 2037-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                       | AREIT 2022-CRE6 Trust                                                           | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     258824 | PA      | $258344.39     | 0.00%             | 2037-01-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                          | ARES XLIV CLO Ltd                                                               | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     740000 | PA      | $740604.58     | 0.01%             | 2034-04-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                          | Ares LXV CLO Ltd                                                                | CUSIP: 04019FAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   29000000 | PA      | $28997187.00   | 0.45%             | 2034-07-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                               | Arthur J Gallagher & Co                                                         | CUSIP: 04316JAL3<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3376806.35    | 0.05%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                 | Athene Global Funding                                                           | CUSIP: 04685A4S7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4213896.16    | 0.06%             | 2035-08-22      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                    | Athene Holding Ltd                                                              | CUSIP: 04686JAJ0<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    5539000 | PA      | $5528498.61    | 0.09%             | 2054-10-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                    | Athene Holding Ltd                                                              | CUSIP: 04686JAL5<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    5790000 | PA      | $5896998.85    | 0.09%             | 2055-05-19      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                    | Athene Holding Ltd                                                              | CUSIP: 04686JAM3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    5279000 | PA      | $5274938.34    | 0.08%             | 2055-06-28      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ATLANTIC CITY ELECTRIC                                | Atlantic City Electric Co                                                       | CUSIP: 048303CH2<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |    1548000 | PA      | $1550223.73    | 0.02%             | 2028-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP                               | Australia & New Zealand Banking Group Ltd                                       | CUSIP: 052528AM8<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    2910000 | PA      | $2616849.63    | 0.04%             | 2035-11-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                | Aviation Capital Group LLC                                                      | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   14504000 | PA      | $14282012.22   | 0.22%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                | Aviation Capital Group LLC                                                      | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    6398000 | PA      | $6549475.08    | 0.10%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                | Aviation Capital Group LLC                                                      | CUSIP: 05369AAT8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   14878000 | PA      | $14883626.12   | 0.23%             | 2030-10-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $515539.25     | 0.01%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RLA0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     260000 | PA      | $258534.28     | 0.00%             | 2032-02-20      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    5800000 | PA      | $6017256.63    | 0.09%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                              | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   10000000 | PA      | $9891046.00    | 0.15%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC           | BBCMS Mortgage Trust 2020-C7                                                    | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16970000 | PA      | $15296376.18   | 0.24%             | 2053-04-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC           | BBCMS Mortgage Trust 2025-5C37                                                  | CUSIP: 05494NAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   76775323 | PA      | $5104468.74    | 0.08%             | 2058-09-15      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Bank5                                                 | BANK5 2025-5YR19                                                                | CUSIP: 05494RBR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   93026250 | PA      | $4634958.49    | 0.07%             | 2058-12-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      70000 | PA      | $79363.58      | 0.00%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                | CUSIP: 054989AF5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   14795000 | PA      | $14710594.97   | 0.23%             | 2033-03-22      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                       | BAE Systems PLC                                                                 | CUSIP: 05523RAL1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   17745000 | PA      | $18375747.27   | 0.28%             | 2034-03-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     185000 | PA      | $183577.10     | 0.00%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    4023000 | PA      | $3705827.61    | 0.06%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     270000 | PA      | $223972.21     | 0.00%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     180000 | PA      | $145616.84     | 0.00%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                | CUSIP: 05526DCD5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     130000 | PA      | $134054.05     | 0.00%             | 2055-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC           | BBCMS Mortgage Trust 2025-C39                                                   | CUSIP: 05556YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  129583000 | PA      | $8761210.30    | 0.14%             | 2058-12-15      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                             | BMP 2024-MF23                                                                   | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1001557.80    | 0.02%             | 2041-06-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                    | BX Trust 2019-OC11                                                              | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270000 | PA      | $254553.33     | 0.00%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     353614 | PA      | $351845.68     | 0.01%             | 2038-10-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 Mortgage Trust                            | BMO 2022-C1 Mortgage Trust                                                      | CUSIP: 05609MCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3247000 | PA      | $3017572.18    | 0.05%             | 2055-02-15      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2021-BXMF                                                              | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     451222 | PA      | $449831.01     | 0.01%             | 2026-10-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2024-XL5                                           | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     262475 | PA      | $262624.74     | 0.00%             | 2041-03-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2024-VLT4                                                              | CUSIP: 05612TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $749066.78     | 0.01%             | 2041-06-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX 2024-PALM                                                                    | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     216346 | PA      | $216480.67     | 0.00%             | 2037-06-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2025-VOLT                                                              | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3921000 | PA      | $3916101.89    | 0.06%             | 2044-12-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                    | Banco Santander SA                                                              | CUSIP: 05964HAV7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    5400000 | PA      | $5982095.43    | 0.09%             | 2033-08-08      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      40000 | PA      | $38568.72      | 0.00%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     810000 | PA      | $811903.34     | 0.01%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1221000 | PA      | $1221879.86    | 0.02%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     890000 | PA      | $883865.77     | 0.01%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     480000 | PA      | $479219.57     | 0.01%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     280000 | PA      | $278423.42     | 0.00%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     230000 | PA      | $193218.71     | 0.00%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $929437.81     | 0.01%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     240000 | PA      | $223627.38     | 0.00%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     410000 | PA      | $368282.18     | 0.01%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     670000 | PA      | $604275.12     | 0.01%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $978519.70     | 0.02%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   20477000 | PA      | $21277889.67   | 0.33%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8690000 | PA      | $9064398.05    | 0.14%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GMD8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   23067000 | PA      | $23625722.18   | 0.36%             | 2035-10-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8567000 | PA      | $8844179.29    | 0.14%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06055HAH6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4781000 | PA      | $4981567.73    | 0.08%             | 2030-05-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                            | CUSIP: 06055HAK9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   14618000 | PA      | $14847590.31   | 0.23%             | 2030-07-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Bank5                                                 | BANK5 2025-5YR17                                                                | CUSIP: 06211GAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   57514881 | PA      | $2809360.40    | 0.04%             | 2058-11-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                      | Bank of Montreal                                                                | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      70000 | PA      | $69169.03      | 0.00%             | 2032-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                      | Bank of Montreal                                                                | CUSIP: 06368L5Q5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    2160000 | PA      | $2303017.92    | 0.04%             | 2084-11-26      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                   | Bank of Nova Scotia/The                                                         | CUSIP: 0641598X7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    2910000 | PA      | $3026187.57    | 0.05%             | 2085-04-27      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                   | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     180000 | PA      | $175373.95     | 0.00%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2020-BNK25                                                                 | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21533000 | PA      | $19989796.64   | 0.31%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2019-BNK20                                                                 | CUSIP: 06540AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5625000 | PA      | $5283312.19    | 0.08%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2022-BNK40                                                                 | CUSIP: 06541LBU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8083000 | PA      | $7162949.29    | 0.11%             | 2064-03-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2017-BNK5                                                                  | CUSIP: 06541WBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3731000 | PA      | $3632600.47    | 0.06%             | 2060-06-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                          | Barclays PLC                                                                    | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     450000 | PA      | $457462.18     | 0.01%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Battery Park CLO Ltd.                                 | Battery Park Clo Ltd                                                            | CUSIP: 07133YAL4<br>LEI: 549300HAR0K520KW1A03 | Long             | ABS-CBDO         | CORP              | KY        |     370000 | PA      | $370140.23     | 0.01%             | 2036-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                           | Truist Bank                                                                     | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   20396000 | PA      | $20459181.10   | 0.32%             | 2029-09-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC           | BBCMS Mortgage Trust 2025-5C34                                                  | CUSIP: 07337BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $418562.00     | 0.01%             | 2058-05-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B34 Mortgage Trust                                               | CUSIP: 08161YBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4325866 | PA      | $4037688.92    | 0.06%             | 2055-04-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2020-B17 Mortgage Trust                                               | CUSIP: 08162MAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21463000 | PA      | $19393526.81   | 0.30%             | 2053-03-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2018-B1 Mortgage Trust                                                | CUSIP: 08162PAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1220000 | PA      | $1205727.59    | 0.02%             | 2051-01-15      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2020-B19 Mortgage Trust                                               | CUSIP: 08162WBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27498000 | PA      | $24268035.42   | 0.37%             | 2053-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2020-B20 Mortgage Trust                                               | CUSIP: 08162XBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20185000 | PA      | $17851809.79   | 0.28%             | 2053-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2020-B22 Mortgage Trust                                               | CUSIP: 08163BBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22240000 | PA      | $19518698.03   | 0.30%             | 2054-01-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2021-B24 Mortgage Trust                                               | CUSIP: 08163CBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6059000 | PA      | $5418506.75    | 0.08%             | 2054-03-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2021-B25 Mortgage Trust                                               | CUSIP: 08163DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12905000 | PA      | $11581247.69   | 0.18%             | 2054-04-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B32 Mortgage Trust                                               | CUSIP: 08163NBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8220000 | PA      | $6933773.03    | 0.11%             | 2055-01-15      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B32 Mortgage Trust                                               | CUSIP: 08163NBQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10047000 | PA      | $7905534.19    | 0.12%             | 2055-01-15      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B33 Mortgage Trust                                               | CUSIP: 08163PBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4064000 | PA      | $3563046.16    | 0.05%             | 2055-03-15      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B33 Mortgage Trust                                               | CUSIP: 08163PBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4064000 | PA      | $3249720.70    | 0.05%             | 2055-03-15      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B36 Mortgage Trust                                               | CUSIP: 08163QBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7284000 | PA      | $7134909.63    | 0.11%             | 2055-07-15      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2022-B35 Mortgage Trust                                               | CUSIP: 08163RBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13924000 | PA      | $13598001.57   | 0.21%             | 2055-05-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2025-V18 Mortgage Trust                                               | CUSIP: 08164EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   52502050 | PA      | $2798091.53    | 0.04%             | 2058-10-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2025-V17 Mortgage Trust                                               | CUSIP: 081934AS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   63769000 | PA      | $3947919.66    | 0.06%             | 2058-09-15      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                            | Biogen Inc                                                                      | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $7900250.34    | 0.12%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                  | Birch Grove CLO 4 Ltd                                                           | CUSIP: 09077CAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     410000 | PA      | $410636.32     | 0.01%             | 2037-07-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                  | Birch Grove CLO 8 Ltd                                                           | CUSIP: 09077TAA3<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |     240000 | PA      | $240835.20     | 0.00%             | 2037-04-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd                                 | Black Diamond CLO 2024-1 Ltd                                                    | CUSIP: 09204UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1360000 | PA      | $1362652.00    | 0.02%             | 2037-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                            | Blackbird Capital II Aircraft Lease Ltd                                         | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     182928 | PA      | $173692.14     | 0.00%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                                | Blackstone Private Credit Fund                                                  | CUSIP: 09261HBU0<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    4430000 | PA      | $4471756.87    | 0.07%             | 2029-11-22      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                  | BlueMountain CLO XXX Ltd                                                        | CUSIP: 09630QAU5<br>LEI: 5493002GUQ80FGGGNP40 | Long             | ABS-CBDO         | CORP              | KY        |     860000 | PA      | $859594.94     | 0.01%             | 2035-04-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                    | BMO 2025-5C12 Mortgage Trust                                                    | CUSIP: 09663VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   50542316 | PA      | $3044194.05    | 0.05%             | 2058-10-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023AX3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    4875000 | PA      | $5484429.41    | 0.08%             | 2039-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      80000 | PA      | $78782.40      | 0.00%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     200000 | PA      | $193894.51     | 0.00%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      60000 | PA      | $59762.18      | 0.00%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     210000 | PA      | $206938.83     | 0.00%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     320000 | PA      | $280187.18     | 0.00%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      30000 | PA      | $21817.71      | 0.00%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                             | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    7260000 | PA      | $7459723.69    | 0.11%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                         | Boeing Co/The                                                                   | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   22621000 | PA      | $25406518.50   | 0.39%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                       | BRAVO Residential Funding Trust 2025-HE1                                        | CUSIP: 10568VAA2<br>LEI: 254900V4GL9A5JTVB991 | Long             | ABS-O            | CORP              | US        |    7242351 | PA      | $7237146.08    | 0.11%             | 2072-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                       | BRAVO Residential Funding Trust 2022-NQM3                                       | CUSIP: 10569JAA8<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |     589054 | PA      | $589022.66     | 0.01%             | 2062-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                       | BRAVO Residential Funding Trust 2024-NQM3                                       | CUSIP: 10569LAA3<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |     325728 | PA      | $329952.63     | 0.01%             | 2064-03-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                       | BRAVO Residential Funding Trust 2024-NQM5                                       | CUSIP: 105925AA9<br>LEI: 254900RBHU9OC1RNXD92 | Long             | ABS-MBS          | CORP              | US        |     184497 | PA      | $186680.93     | 0.00%             | 2064-06-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                       | BRAVO RESIDENTIAL FUNDING TRUS                                                  | CUSIP: 105925AC5<br>LEI: 254900RBHU9OC1RNXD92 | Long             | ABS-MBS          | CORP              | US        |     262554 | PA      | $265079.77     | 0.00%             | 2064-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EG9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     160000 | PA      | $166599.25     | 0.00%             | 2031-02-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     450000 | PA      | $467801.33     | 0.01%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                               | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9820.74       | 0.00%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                              | Province of British Columbia Canada                                             | CUSIP: 11070KB30<br>LEI: 54930058TO7MEKUHWL16 | Long             | STIV             | CORP              | CA        |    4550000 | PA      | $4533733.75    | 0.07%             | 2026-02-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      72000 | PA      | $71704.85      | 0.00%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     383000 | PA      | $329834.21     | 0.01%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       8000 | PA      | $6784.74       | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     199000 | PA      | $196414.67     | 0.00%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    9289000 | PA      | $9563743.73    | 0.15%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FCL3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3019000 | PA      | $3082404.92    | 0.05%             | 2032-07-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3818000 | PA      | $3911793.22    | 0.06%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                    | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     220000 | PA      | $217084.25     | 0.00%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                     | Brown & Brown Inc                                                               | CUSIP: 115236AK7<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   11700000 | PA      | $11861805.74   | 0.18%             | 2030-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BRUNSWICK CORP                                        | Brunswick Corp/DE                                                               | CUSIP: 117043AW9<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6723769.07    | 0.10%             | 2029-03-18      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BE9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   11394000 | PA      | $11400468.37   | 0.18%             | 2029-09-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                              | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3195000 | PA      | $3149443.45    | 0.05%             | 2056-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2022-LBA6                                                              | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     530000 | PA      | $528352.44     | 0.01%             | 2039-01-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2023-XL3                                           | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     336524 | PA      | $336313.78     | 0.01%             | 2040-12-09      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                      | Paramount Global                                                                | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1948533.12    | 0.03%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                          | CD 2017-CD6 Mortgage Trust                                                      | CUSIP: 125039AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2760000 | PA      | $2645577.02    | 0.04%             | 2050-11-13      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                   | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11949000 | PA      | $11609475.50   | 0.18%             | 2028-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                          | CD 2016-CD1 Mortgage Trust                                                      | CUSIP: 12514MBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     610000 | PA      | $601582.43     | 0.01%             | 2049-08-10      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                          | CD 2016-CD2 Mortgage Trust                                                      | CUSIP: 12515ABD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8802813 | PA      | $8752474.56    | 0.13%             | 2049-11-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                          | CD 2019-CD8 Mortgage Trust                                                      | CUSIP: 12515BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14682000 | PA      | $13712472.66   | 0.21%             | 2057-08-15      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                 | Cantor Commercial Real Estate Lending 2019-CF2                                  | CUSIP: 12528YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5434000 | PA      | $5144339.00    | 0.08%             | 2052-11-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                 | Cantor Commercial Real Estate Lending 2019-CF1                                  | CUSIP: 12529MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14871000 | PA      | $14613001.53   | 0.23%             | 2052-05-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                 | Cantor Commercial Real Estate Lending 2019-CF3                                  | CUSIP: 12529TAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12010000 | PA      | $11321125.62   | 0.17%             | 2053-01-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                        | Cascade Funding Mortgage Trust                                                  | CUSIP: 12531BAA6<br>LEI: 984500AB3AED98FEEV98 | Long             | ABS-MBS          | CORP              | US        |    2322340 | PA      | $2281070.07    | 0.04%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                       | CFCRE Commercial Mortgage Trust 2016-C7                                         | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6475000 | PA      | $6430788.70    | 0.10%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                     | CI Financial Corp                                                               | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |     560000 | PA      | $595709.32     | 0.01%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2015-IV Ltd                                                        | CUSIP: 12550TAY1<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | KY        |     440000 | PA      | $440088.00     | 0.01%             | 2034-04-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2021-VII Ltd                                                       | CUSIP: 12567HAQ5<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |   24382000 | PA      | $24377343.04   | 0.38%             | 2035-01-23      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2022-IV Ltd                                                        | CUSIP: 12567WAN9<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4707816.10    | 0.07%             | 2035-07-16      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                                       | CLI Funding IX LLC                                                              | CUSIP: 12571WAA1<br>LEI: 2549008S2Z91ASJFZL83 | Long             | ABS-O            | CORP              | US        |     616931 | PA      | $621276.12     | 0.01%             | 2049-07-20      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CORP                                    | CNA Financial Corp                                                              | CUSIP: 126117AY6<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3218649.44    | 0.05%             | 2034-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2020-RPL4 Trust                                                            | CUSIP: 126405AA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     205428 | PA      | $186513.50     | 0.00%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | Csmc 2022-Nqm1 Trust                                                            | CUSIP: 126416AA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     751923 | PA      | $698188.16     | 0.01%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-RPL2Trust                                                             | CUSIP: 12656TAA6<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     129308 | PA      | $114821.29     | 0.00%             | 2060-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAA2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     177138 | PA      | $150212.42     | 0.00%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAC8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     237526 | PA      | $203173.95     | 0.00%             | 2056-03-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-NQM8                                                                  | CUSIP: 12659FAA3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     733356 | PA      | $678845.74     | 0.01%             | 2066-10-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-NQM3                                                                  | CUSIP: 12660LAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     419933 | PA      | $375363.34     | 0.01%             | 2066-04-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-NQM7                                                                  | CUSIP: 12662QAA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     135372 | PA      | $121559.28     | 0.00%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     270000 | PA      | $243757.78     | 0.00%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     392000 | PA      | $393298.24     | 0.01%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2831734.98    | 0.04%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      70000 | PA      | $69614.16      | 0.00%             | 2027-04-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     230000 | PA      | $224585.20     | 0.00%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      30000 | PA      | $25637.10      | 0.00%             | 2040-04-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      50000 | PA      | $43869.79      | 0.00%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     180000 | PA      | $158123.73     | 0.00%             | 2031-09-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650EB2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3107086.38    | 0.05%             | 2029-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                 | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3062011.92    | 0.05%             | 2032-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                      | COLT 2025-4 Mortgage Loan Trust                                                 | CUSIP: 12674HAA0<br>LEI: 2138002WIT3BHLQD3E93 | Long             | ABS-MBS          | CORP              | US        |    7390258 | PA      | $7496722.11    | 0.12%             | 2070-04-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                          | CaixaBank SA                                                                    | CUSIP: 12803RAL8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     500000 | PA      | $506898.82     | 0.01%             | 2031-07-03      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| CA IMPERIAL BK OF COMM                                | Canadian Imperial Bank of Commerce                                              | CUSIP: 13608BA20<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | STIV             | CORP              | CA        |   50000000 | PA      | $49994972.00   | 0.77%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CA IMPERIAL BK OF COMM                                | Canadian Imperial Bank of Commerce                                              | CUSIP: 13608BAN4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | STIV             | CORP              | CA        |   20000000 | PA      | $19956016.60   | 0.31%             | 2026-01-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CA IMPERIAL BK OF COMM                                | Canadian Imperial Bank of Commerce                                              | CUSIP: 13608BAW4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | STIV             | CORP              | CA        |   25000000 | PA      | $24920250.00   | 0.38%             | 2026-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                              | Capital One Financial Corp                                                      | CUSIP: 14040HDM4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    6490000 | PA      | $6480480.92    | 0.10%             | 2031-09-11      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                      | Carlisle Cos Inc                                                                | CUSIP: 142339AN0<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |    2735000 | PA      | $2791490.58    | 0.04%             | 2035-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                      | Carlyle US CLO 2020-2 Ltd                                                       | CUSIP: 14315GAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   27000000 | PA      | $27019818.00   | 0.42%             | 2035-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                         | Carnival Corp                                                                   | CUSIP: 143658BY7<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    8800000 | PA      | $9050025.60    | 0.14%             | 2030-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                         | Carnival Corp                                                                   | CUSIP: 143658CB6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    7960000 | PA      | $8048272.02    | 0.12%             | 2029-05-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                        | CarVal CLO XI C Ltd                                                             | CUSIP: 14688RAA8<br>LEI: 254900BDRF474L9PWM54 | Long             | ABS-CBDO         | CORP              | KY        |     970000 | PA      | $972488.05     | 0.01%             | 2037-10-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR INC                                       | Caterpillar Inc                                                                 | CUSIP: 149123CL3<br>LEI: WRJR7GS4GTRECRRTVX92 | Long             | DBT              | CORP              | US        |    7092000 | PA      | $7350974.31    | 0.11%             | 2035-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                                | CenterPoint Energy Resources Corp                                               | CUSIP: 15189WAS9<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3298838.08    | 0.05%             | 2034-07-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     290000 | PA      | $272648.22     | 0.00%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     420000 | PA      | $417909.70     | 0.01%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $164748.92     | 0.00%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $368800.13     | 0.01%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     410000 | PA      | $414762.21     | 0.01%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     370000 | PA      | $289543.59     | 0.00%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     230000 | PA      | $172775.91     | 0.00%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6859000 | PA      | $4087348.20    | 0.06%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3245000 | PA      | $2308132.45    | 0.04%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      90000 | PA      | $62436.67      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     540000 | PA      | $508716.72     | 0.01%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $118192.84     | 0.00%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     120000 | PA      | $126210.66     | 0.00%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                    | Chase Home Lending Mortgage Trust 2025-10                                       | CUSIP: 16160BBD8<br>LEI: 529900PXR6MEGSRAOO62 | Long             | ABS-MBS          | CORP              | US        |    4986976 | PA      | $4995169.81    | 0.08%             | 2056-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                              | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3206727.90    | 0.05%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                              | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     220000 | PA      | $224923.20     | 0.00%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds                  | Chile Government International Bonds                                            | CUSIP: 168863DQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     290000 | PA      | $179365.00     | 0.00%             | 2061-01-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                             | CIM Trust 2024-R1                                                               | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     791893 | PA      | $794166.08     | 0.01%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2018-I Ltd                                                         | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |     440000 | PA      | $441324.84     | 0.01%             | 2038-01-18      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CIPHER COMPUTE LLC                                    | Cipher Compute LLC                                                              | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14836000 | PA      | $15110212.45   | 0.23%             | 2030-11-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2016-P6                                     | CUSIP: 17291EAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88681 | PA      | $88207.49      | 0.00%             | 2049-12-10      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967DR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     250000 | PA      | $265647.68     | 0.00%             | 2036-08-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      10000 | PA      | $12820.79      | 0.00%             | 2039-07-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2380000 | PA      | $2395309.97    | 0.04%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     150000 | PA      | $131632.51     | 0.00%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     490000 | PA      | $432215.60     | 0.01%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1010000 | PA      | $935797.21     | 0.01%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     240000 | PA      | $215015.41     | 0.00%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     390000 | PA      | $371856.67     | 0.01%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      90000 | PA      | $90756.62      | 0.00%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     620000 | PA      | $627430.19     | 0.01%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967PM7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4110000 | PA      | $4334685.48    | 0.07%             | 2034-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967PR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6946000 | PA      | $7070534.83    | 0.11%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5612000 | PA      | $5877957.00    | 0.09%             | 2036-01-24      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5395000 | PA      | $5411696.34    | 0.08%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 172967QJ3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5035000 | PA      | $5116928.46    | 0.08%             | 2031-02-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                           | Citibank NA                                                                     | CUSIP: 17325FBF4<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    4457000 | PA      | $4473985.18    | 0.07%             | 2026-04-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2017-C4                                     | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17298000 | PA      | $17064950.97   | 0.26%             | 2050-10-12      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                   | CUSIP: 17327CBC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3736000 | PA      | $3882096.73    | 0.06%             | 2030-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2019-C7                                     | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10872000 | PA      | $10341050.66   | 0.16%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2020-555                                    | CUSIP: 17328EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6119000 | PA      | $5575349.49    | 0.09%             | 2041-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                     | Citigroup Mortgage Loan Trust 2025-4                                            | CUSIP: 17332NAX0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    7911395 | PA      | $7923912.55    | 0.12%             | 2055-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                              | Cleveland Electric Illuminating Co/The                                          | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      70000 | PA      | $68846.47      | 0.00%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                              | Columbia Pipelines Holding Co LLC                                               | CUSIP: 19828AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     220000 | PA      | $228630.34     | 0.00%             | 2028-08-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                               | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3385140.16    | 0.05%             | 2030-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                              | Comision Federal de Electricidad                                                | CUSIP: 200447AK6<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    1220000 | PA      | $1080913.69    | 0.02%             | 2033-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                                | Commonwealth Bank of Australia                                                  | CUSIP: 202712BN4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    3200000 | PA      | $2914073.18    | 0.04%             | 2031-03-11      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                                | Commonwealth Bank of Australia                                                  | CUSIP: 202712BV6<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    3200000 | PA      | $3373050.14    | 0.05%             | 2034-03-13      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753GAA9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   13826016 | PA      | $13839713.01   | 0.21%             | 2044-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753UAB6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    1040000 | PA      | $1045248.26    | 0.02%             | 2044-01-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753XAB0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     240000 | PA      | $246723.38     | 0.00%             | 2042-03-25      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754BAB7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    4169000 | PA      | $4243686.80    | 0.07%             | 2042-01-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754EAB1<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     997500 | PA      | $1024953.99    | 0.02%             | 2043-07-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754GAE0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     350000 | PA      | $351814.68     | 0.01%             | 2044-02-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAB2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     153778 | PA      | $154340.24     | 0.00%             | 2041-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754TAD4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    4558000 | PA      | $4571137.52    | 0.07%             | 2045-02-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754VAB3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    5458457 | PA      | $5477138.22    | 0.08%             | 2045-03-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7135252 | PA      | $7137371.25    | 0.11%             | 2045-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755CAA6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    4797169 | PA      | $4805269.66    | 0.07%             | 2043-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755JAC7<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    5334000 | PA      | $5341154.49    | 0.08%             | 2045-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755RAC9<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    1030000 | PA      | $1031508.44    | 0.02%             | 2044-09-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755TAC5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   11307000 | PA      | $11323169.01   | 0.17%             | 2045-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 207932AB0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     760000 | PA      | $797192.88     | 0.01%             | 2042-12-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                      | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 207941AA3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    3717559 | PA      | $3721066.29    | 0.06%             | 2044-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                              | Constellation Energy Generation LLC                                             | CUSIP: 210385AF7<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    7357000 | PA      | $7300045.86    | 0.11%             | 2054-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                              | Corebridge Financial Inc                                                        | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3147944.26    | 0.05%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CORP ANDINA DE FOMENTO                                | Corp Andina de Fomento                                                          | CUSIP: 219868CM6<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | NUSS              | XX        |    2384000 | PA      | $2449560.00    | 0.04%             | 2030-06-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                      | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57000000 | PA      | $47193991.89   | 0.73%             | 2055-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   89000000 | PA      | $76755547.32   | 1.18%             | 2055-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34000000 | PA      | $30935994.46   | 0.48%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25000000 | PA      | $23612304.75   | 0.36%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26790000 | PA      | $26090948.44   | 0.40%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36800000 | PA      | $36713020.62   | 0.57%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36360000 | PA      | $36712560.74   | 0.57%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51300000 | PA      | $52275902.47   | 0.81%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                      | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12000000 | PA      | $12404062.56   | 0.19%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                    | Credit Agricole SA                                                              | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    5754000 | PA      | $5907156.00    | 0.09%             | 2031-05-27      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                    | Credit Agricole SA                                                              | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     410000 | PA      | $409463.78     | 0.01%             | 2033-09-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     400000 | PA      | $396187.53     | 0.01%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                | CUSIP: 22822VBF7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    8800000 | PA      | $8936510.97    | 0.14%             | 2029-09-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust               | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10275000 | PA      | $9200701.49    | 0.14%             | 2053-08-15      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust               | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063BC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2968000 | PA      | $2549485.29    | 0.04%             | 2053-08-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust               | DBJPM 16-C1 Mortgage Trust                                                      | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4413000 | PA      | $4400136.99    | 0.07%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                      | DP World Ltd/United Arab Emirates                                               | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |     770000 | PA      | $754689.37     | 0.01%             | 2048-09-25      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                         | DTE Energy Co                                                                   | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    6466000 | PA      | $6626002.66    | 0.10%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                       | DTE Electric Co                                                                 | CUSIP: 23338VAY2<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    1195000 | PA      | $1228149.71    | 0.02%             | 2035-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DLLMT LLC                                             | DLLMT 2024-1 LLC                                                                | CUSIP: 23347AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     320000 | PA      | $326007.81     | 0.01%             | 2032-04-20      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                       | Danske Bank A/S                                                                 | CUSIP: 23636RAU8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | STIV             | CORP              | DE        |    3000000 | PA      | $2991292.50    | 0.05%             | 2026-01-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                                   | DataBank Issuer                                                                 | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7763000 | PA      | $7727906.58    | 0.12%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                  | Deephaven Residential Mortgage Trust 2024-1                                     | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5747353 | PA      | $5804528.74    | 0.09%             | 2069-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                  | Deephaven Residential Mortgage Trust 2022-1                                     | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     484767 | PA      | $450437.71     | 0.01%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                       | Deere & Co                                                                      | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |     150000 | PA      | $144513.15     | 0.00%             | 2030-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                       | Deere & Co                                                                      | CUSIP: 244199BK0<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |     100000 | PA      | $78387.00      | 0.00%             | 2050-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    5422000 | PA      | $5676506.13    | 0.09%             | 2029-01-18      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    6519000 | PA      | $6951158.00    | 0.11%             | 2029-11-20      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    5544000 | PA      | $5680195.68    | 0.09%             | 2031-05-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                      | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    5037000 | PA      | $5113868.45    | 0.08%             | 2027-07-13      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC                    | Diamond Infrastructure Funding LLC                                              | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24025000 | PA      | $23349308.89   | 0.36%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                                 | Dick's Sporting Goods Inc                                                       | CUSIP: 253393AF9<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $2941300.06    | 0.05%             | 2032-01-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                                 | Dick's Sporting Goods Inc                                                       | CUSIP: 253393AG7<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $2338106.02    | 0.04%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                   | Dominion Energy Inc                                                             | CUSIP: 25746UDT3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    6051000 | PA      | $6289577.74    | 0.10%             | 2055-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                   | Dominion Energy Inc                                                             | CUSIP: 25746UDV8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    5046000 | PA      | $5199686.02    | 0.08%             | 2055-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                   | Dominion Energy Inc                                                             | CUSIP: 25746UEA3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    3855000 | PA      | $3857625.87    | 0.06%             | 2056-02-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding, LLC                            | Driven Brands Funding LLC                                                       | CUSIP: 26209XAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     839375 | PA      | $868319.42     | 0.01%             | 2054-10-20      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding, LLC                            | Driven Brands Funding LLC                                                       | CUSIP: 26209XAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     260000 | PA      | $259047.39     | 0.00%             | 2055-10-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                 | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   25751000 | PA      | $26522893.95   | 0.41%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                    | EFMT 2025-NQM4                                                                  | CUSIP: 26846RAD5<br>LEI: 254900CD2QA4YMZIVN66 | Long             | ABS-MBS          | CORP              | US        |   20007347 | PA      | $19990756.95   | 0.31%             | 2070-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS                                    | Eastern Energy Gas Holdings LLC                                                 | CUSIP: 27636AAA0<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1644463.40    | 0.03%             | 2054-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS                                    | Eastern Energy Gas Holdings LLC                                                 | CUSIP: 27636AAB8<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    4330000 | PA      | $4571961.05    | 0.07%             | 2035-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                          | Ecopetrol SA                                                                    | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     970000 | PA      | $721529.19     | 0.01%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                     | Elevation CLO 2025-18 Ltd                                                       | CUSIP: 28623JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     650000 | PA      | $650177.45     | 0.01%             | 2038-03-28      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                                    | Elmwood CLO I Ltd                                                               | CUSIP: 290015AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     670000 | PA      | $671551.72     | 0.01%             | 2037-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 26 Ltd                                    | Elmwood CLO 26 Ltd                                                              | CUSIP: 29004CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     200000 | PA      | $200490.40     | 0.00%             | 2037-04-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                                      | Empower CLO 2024-1 Ltd                                                          | CUSIP: 29244RAA3<br>LEI: 213800DM8ZNUIQ1JCN40 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250622.25     | 0.00%             | 2037-04-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   14595000 | PA      | $14659276.38   | 0.23%             | 2026-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    5955000 | PA      | $6254979.67    | 0.10%             | 2028-12-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29273VAY6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     210000 | PA      | $215807.87     | 0.00%             | 2034-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                  | Enel Finance International NV                                                   | CUSIP: 29278GBG2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    6685000 | PA      | $6656737.56    | 0.10%             | 2030-09-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      80000 | PA      | $81322.43      | 0.00%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     250000 | PA      | $256885.89     | 0.00%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     170000 | PA      | $172745.67     | 0.00%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1240000 | PA      | $1206727.81    | 0.02%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     410000 | PA      | $405782.61     | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2016-P3                                     | CUSIP: 29429CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7391000 | PA      | $7363573.48    | 0.11%             | 2049-04-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| EQUATE PETROCHEMICAL CO                               | EQUATE Petrochemical Co KSC                                                     | CUSIP: 29441WAC9<br>LEI: 635400J73BDO4TTGXD45 | Long             | DBT              | CORP              | KW        |     510000 | PA      | $508885.65     | 0.01%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MEGLOBAL BV                                           | MEGlobal BV                                                                     | CUSIP: 29441WAD7<br>LEI: 549300WBVLU2FILR7W19 | Long             | DBT              | CORP              | NL        |     770000 | PA      | $739207.70     | 0.01%             | 2028-04-28      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                           | Exelon Corp                                                                     | CUSIP: 30161NBN0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   12010000 | PA      | $12487020.99   | 0.19%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                | Extra Space Storage LP                                                          | CUSIP: 30225VAS6<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |   10576000 | PA      | $10853407.74   | 0.17%             | 2034-02-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                              | CUSIP: 30303M8H8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    6252000 | PA      | $6064818.06    | 0.09%             | 2032-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                              | CUSIP: 30303M8U9<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     430000 | PA      | $433524.42     | 0.01%             | 2034-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     560661 | PA      | $559878.89     | 0.01%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166474 | PA      | $171582.43     | 0.00%             | 2047-11-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     305151 | PA      | $310344.03     | 0.00%             | 2050-02-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26041 | PA      | $26296.51      | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31307WYS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8908 | PA      | $8640.76       | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                      | Freddie Mac Strips                                                              | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160467 | PA      | $17130.67      | 0.00%             | 2044-08-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                      | Freddie Mac Strips                                                              | CUSIP: 31325WSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74527 | PA      | $7979.68       | 0.00%             | 2046-12-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 31329KXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100024 | PA      | $96614.55      | 0.00%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 31329NP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   46521846 | PA      | $43908627.63   | 0.68%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 31329QHG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1690534 | PA      | $1676625.20    | 0.03%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A5GE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43543452 | PA      | $39332253.23   | 0.61%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A5HR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5512234 | PA      | $5311781.74    | 0.08%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A9T23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23153 | PA      | $22635.41      | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12204 | PA      | $11919.36      | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132ACYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2091735 | PA      | $2119280.71    | 0.03%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132ADXY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3458663 | PA      | $3413803.17    | 0.05%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9C69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     285048 | PA      | $249107.79     | 0.00%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9E91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261378 | PA      | $226309.77     | 0.00%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9F58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65353 | PA      | $57155.74      | 0.00%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9GP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199727 | PA      | $173970.71     | 0.00%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     216910 | PA      | $188803.06     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     362671 | PA      | $311638.22     | 0.00%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9K29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     703299 | PA      | $608897.09     | 0.01%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9K86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76007 | PA      | $65947.13      | 0.00%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9LV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     229730 | PA      | $214637.12     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9M92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     475189 | PA      | $408310.41     | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9QC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19540038 | PA      | $17525622.40   | 0.27%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132D9QM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78852 | PA      | $68683.38      | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38641 | PA      | $34481.26      | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     142871 | PA      | $122959.36     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DMGC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7581694 | PA      | $7224232.69    | 0.11%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57048 | PA      | $47173.19      | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133870 | PA      | $131983.36     | 0.00%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78028 | PA      | $67254.46      | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DN6L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247254 | PA      | $243138.72     | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76769 | PA      | $68741.44      | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNFT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3006851 | PA      | $2726991.08    | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     826776 | PA      | $798331.26     | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     556074 | PA      | $557109.02     | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DP2Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     233556 | PA      | $235136.68     | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPAG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     219777 | PA      | $216249.37     | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPCK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2263896 | PA      | $2317699.82    | 0.04%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76781 | PA      | $78515.83      | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     212878 | PA      | $219337.92     | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76662 | PA      | $76804.43      | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148227 | PA      | $146342.76     | 0.00%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161407 | PA      | $159372.94     | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPUU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     154090 | PA      | $155603.49     | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16191 | PA      | $15881.06      | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134356 | PA      | $140750.68     | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPXB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68423 | PA      | $70104.52      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPXE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20216915 | PA      | $20740634.17   | 0.32%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DPYG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75425 | PA      | $76777.58      | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQ2G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247472 | PA      | $253432.21     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQAY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167874 | PA      | $171400.07     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQB70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78168 | PA      | $79942.46      | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77923 | PA      | $79591.66      | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQC53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70240 | PA      | $70544.51      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     142946 | PA      | $146208.79     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78019 | PA      | $75553.63      | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     934332 | PA      | $841653.36     | 0.01%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66724 | PA      | $69735.38      | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQJE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70586 | PA      | $70938.36      | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DQQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242882 | PA      | $248731.93     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DS3U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2598192 | PA      | $2656200.55    | 0.04%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DS5M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83807 | PA      | $81193.15      | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DSP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18466256 | PA      | $18853325.64   | 0.29%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     455947 | PA      | $372615.14     | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVKS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5194835 | PA      | $5167757.01    | 0.08%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVKT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5145639 | PA      | $4979816.03    | 0.08%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74765 | PA      | $67501.43      | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15160977 | PA      | $13098004.39   | 0.20%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVL86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2574154 | PA      | $2316023.04    | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2259810 | PA      | $1950401.37    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     321112 | PA      | $277425.83     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     281893 | PA      | $244176.88     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     297175 | PA      | $257611.51     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3295017 | PA      | $2843563.40    | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1774940 | PA      | $1528994.59    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1328157 | PA      | $1197161.37    | 0.02%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14266270 | PA      | $12773491.14   | 0.20%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DVMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     382121 | PA      | $368614.62     | 0.01%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5199669 | PA      | $4241781.89    | 0.07%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     994808 | PA      | $811176.58     | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13723851 | PA      | $11128382.26   | 0.17%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17682079 | PA      | $17330380.22   | 0.27%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75981 | PA      | $76215.17      | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     236216 | PA      | $236798.00     | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132E0BE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3193351 | PA      | $3286875.07    | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132E0CW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30343708 | PA      | $28200696.14   | 0.43%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132E0DY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22217195 | PA      | $22775232.96   | 0.35%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132E0KM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152258 | PA      | $154940.01     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132E0PA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1382451 | PA      | $1438037.06    | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132E0VN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     627316 | PA      | $658529.37     | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3132E0Z62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161579 | PA      | $165011.91     | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94912 | PA      | $86438.92      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     244182 | PA      | $223185.44     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70446 | PA      | $64387.82      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKPM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39774 | PA      | $36200.66      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31335B5H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7003792 | PA      | $6620565.09    | 0.10%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31335BXV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3625808 | PA      | $3299751.59    | 0.05%             | 2048-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                           | CUSIP: 31335BZT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5778895 | PA      | $6049041.97    | 0.09%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ABUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59281 | PA      | $51350.09      | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ABUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64163 | PA      | $55473.39      | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69307 | PA      | $57172.15      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56095 | PA      | $45936.29      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56359 | PA      | $46512.80      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AFXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54908 | PA      | $45410.75      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AGCY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     296428 | PA      | $244931.10     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59861 | PA      | $49251.74      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69653 | PA      | $57417.18      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62919 | PA      | $51732.66      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52330 | PA      | $43106.11      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66357 | PA      | $54556.24      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60189 | PA      | $49587.92      | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AMS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121445 | PA      | $109609.98     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65131 | PA      | $56404.17      | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133APF61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69910 | PA      | $60542.21      | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133APF79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71818 | PA      | $62076.29      | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133APK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75388 | PA      | $65017.33      | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133APLD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65637 | PA      | $56841.79      | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422621 | PA      | $364203.92     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74275 | PA      | $64067.91      | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74871 | PA      | $67477.21      | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133AWH72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77886 | PA      | $63760.35      | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B0SH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18610746 | PA      | $16065031.49   | 0.25%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B2MQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70553 | PA      | $63407.72      | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226983 | PA      | $195667.46     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B3ZF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75560 | PA      | $65119.19      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B5EE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81000 | PA      | $72340.39      | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133B9NQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     221741 | PA      | $196881.17     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12653594 | PA      | $12061305.17   | 0.19%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2064549 | PA      | $2112036.51    | 0.03%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BQSA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79372 | PA      | $77920.46      | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BSPH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106960 | PA      | $111212.87     | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BTCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73809 | PA      | $73831.04      | 0.00%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BUGZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53343 | PA      | $55639.75      | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BUNF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58303 | PA      | $61078.08      | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133BWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51623 | PA      | $53852.93      | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133C1NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62415 | PA      | $63507.58      | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133C8DQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74995 | PA      | $76571.67      | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133D4QF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148465 | PA      | $128949.04     | 0.00%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75385 | PA      | $68074.08      | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KJDA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     286868 | PA      | $254066.88     | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KJNE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1626545 | PA      | $1401716.47    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194780 | PA      | $161155.78     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     702782 | PA      | $608762.62     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     473341 | PA      | $410014.91     | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KKT82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     416606 | PA      | $359175.59     | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     217616 | PA      | $179031.10     | 0.00%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     333589 | PA      | $274617.14     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KLJ57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2574438 | PA      | $2222131.86    | 0.03%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     888376 | PA      | $731063.06     | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KMJG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5045958 | PA      | $4531475.75    | 0.07%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KN6X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     582179 | PA      | $557924.46     | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66692 | PA      | $62112.03      | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68574 | PA      | $59565.85      | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KNWP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     150612 | PA      | $133726.61     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KPN95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10811615 | PA      | $10897814.32   | 0.17%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KPY85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23040189 | PA      | $23260941.08   | 0.36%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KPZH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9033363 | PA      | $9306778.57    | 0.14%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KQ3M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121111 | PA      | $126875.76     | 0.00%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KQUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     637096 | PA      | $639184.12     | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KRCQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68017 | PA      | $71811.05      | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KRCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58157 | PA      | $61365.55      | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KRCS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65973 | PA      | $69418.18      | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KRPW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76088 | PA      | $77584.97      | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYT41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100978 | PA      | $88498.26      | 0.00%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     504254 | PA      | $440203.47     | 0.01%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     616432 | PA      | $526326.22     | 0.01%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72875 | PA      | $61452.15      | 0.00%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     213441 | PA      | $185519.15     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     688354 | PA      | $585857.28     | 0.01%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66540 | PA      | $58194.08      | 0.00%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     490282 | PA      | $416179.23     | 0.01%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     205868 | PA      | $179010.19     | 0.00%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     685177 | PA      | $597670.16     | 0.01%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     690365 | PA      | $582373.12     | 0.01%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     347825 | PA      | $302292.85     | 0.00%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152821 | PA      | $142547.90     | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72561 | PA      | $63068.72      | 0.00%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293330 | PA      | $254046.26     | 0.00%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146071 | PA      | $131645.84     | 0.00%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226674 | PA      | $196596.40     | 0.00%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74781 | PA      | $66797.26      | 0.00%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133USH95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     231787 | PA      | $217732.62     | 0.00%             | 2050-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3133WKN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1702284 | PA      | $1705355.45    | 0.03%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208012 | PA      | $191037.29     | 0.00%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136ADA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196515 | PA      | $143614.29     | 0.00%             | 2043-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13025 | PA      | $1367.45       | 0.00%             | 2043-06-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AHGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31624 | PA      | $3232.36       | 0.00%             | 2043-12-25      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286993 | PA      | $249609.81     | 0.00%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136AT5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26367 | PA      | $25213.30      | 0.00%             | 2039-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136ATQK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207039 | PA      | $13709.11      | 0.00%             | 2046-09-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AWPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2337594 | PA      | $2180460.14    | 0.03%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AX4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221404 | PA      | $29046.78      | 0.00%             | 2057-10-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136AYSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41247 | PA      | $3594.57       | 0.00%             | 2047-11-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                        | Fannie Mae-Aces                                                                 | CUSIP: 3136B3YD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $288923.16     | 0.00%             | 2036-01-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223235 | PA      | $132971.77     | 0.00%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BBEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348669 | PA      | $313915.30     | 0.00%             | 2050-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BBF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523077 | PA      | $84388.97      | 0.00%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596501 | PA      | $481905.04     | 0.01%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133955 | PA      | $22175.38      | 0.00%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BCER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121955 | PA      | $21576.33      | 0.00%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     619090 | PA      | $92372.61      | 0.00%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     466804 | PA      | $73511.70      | 0.00%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BDY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362548 | PA      | $61982.99      | 0.00%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BG4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118898 | PA      | $108129.68     | 0.00%             | 2046-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BGVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     782597 | PA      | $114747.91     | 0.00%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BH7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     794672 | PA      | $124054.69     | 0.00%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BHD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165745 | PA      | $28890.26      | 0.00%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BHGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318559 | PA      | $269173.28     | 0.00%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BJWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     584002 | PA      | $92136.25      | 0.00%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BMY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422074 | PA      | $322472.32     | 0.00%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BMZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1203612 | PA      | $210913.11     | 0.00%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BPPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490258 | PA      | $67697.73      | 0.00%             | 2050-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BPUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1638259 | PA      | $203382.84     | 0.00%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BQ3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     941771 | PA      | $166043.42     | 0.00%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BRH67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2975746 | PA      | $403710.55     | 0.01%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BS2J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6732784 | PA      | $6762848.83    | 0.10%             | 2054-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BTE66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11009933 | PA      | $11010515.76   | 0.17%             | 2054-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BTRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     944126 | PA      | $946301.17     | 0.01%             | 2054-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BTS53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1350189 | PA      | $1352605.31    | 0.02%             | 2054-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13728343 | PA      | $13766106.48   | 0.21%             | 2055-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 3136BWSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8465523 | PA      | $8502693.26    | 0.13%             | 2055-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137AJYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87574 | PA      | $9335.42       | 0.00%             | 2041-12-15      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BSP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5849474 | PA      | $22247.89      | 0.00%             | 2026-08-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137BWY73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1768775 | PA      | $1567745.09    | 0.02%             | 2045-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     442178 | PA      | $74498.08      | 0.00%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     693100 | PA      | $20385.05      | 0.00%             | 2030-12-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FEXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121765 | PA      | $107493.74     | 0.00%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FEXM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80833 | PA      | $71593.06      | 0.00%             | 2048-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FF3Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     651088 | PA      | $5890.65       | 0.00%             | 2027-12-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75032 | PA      | $66514.42      | 0.00%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     579778 | PA      | $24849.80      | 0.00%             | 2034-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     677454 | PA      | $17363.88      | 0.00%             | 2029-06-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1150000 | PA      | $41639.32      | 0.00%             | 2029-06-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $12245.64      | 0.00%             | 2029-06-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320885 | PA      | $2475.62       | 0.00%             | 2027-06-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     289533 | PA      | $7663.80       | 0.00%             | 2029-10-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1691884 | PA      | $5092.57       | 0.00%             | 2026-10-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     600000 | PA      | $29668.14      | 0.00%             | 2030-01-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1657933 | PA      | $84722.02      | 0.00%             | 2030-01-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FTLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     723766 | PA      | $161355.10     | 0.00%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1761207 | PA      | $101202.99     | 0.00%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FUVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88382 | PA      | $77535.07      | 0.00%             | 2045-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114218 | PA      | $17639.99      | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     278813 | PA      | $46202.37      | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69930 | PA      | $11680.84      | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     686197 | PA      | $33913.71      | 0.00%             | 2030-06-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1263894 | PA      | $64744.37      | 0.00%             | 2030-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     215622 | PA      | $29269.14      | 0.00%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FYAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127856 | PA      | $114250.39     | 0.00%             | 2041-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137FYJM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     396794 | PA      | $88417.76      | 0.00%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1185919 | PA      | $40202.07      | 0.00%             | 2036-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1969374 | PA      | $42733.45      | 0.00%             | 2031-03-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1469747 | PA      | $11239.15      | 0.00%             | 2028-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H0TS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     671360 | PA      | $87519.73      | 0.00%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H14D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     977218 | PA      | $18052.16      | 0.00%             | 2028-05-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2879606 | PA      | $132513.15     | 0.00%             | 2031-06-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     384281 | PA      | $54334.35      | 0.00%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H2N83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2384236 | PA      | $81088.12      | 0.00%             | 2031-07-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H2UH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1007080 | PA      | $145483.15     | 0.00%             | 2049-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H2UN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     404442 | PA      | $50531.45      | 0.00%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H3ST0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     614434 | PA      | $86014.58      | 0.00%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H4AC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     724536 | PA      | $99660.04      | 0.00%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3762689 | PA      | $64618.55      | 0.00%             | 2031-09-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H4YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     781269 | PA      | $131243.00     | 0.00%             | 2052-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H62K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270158 | PA      | $34015.46      | 0.00%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1595035 | PA      | $26452.70      | 0.00%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1690501 | PA      | $33295.76      | 0.00%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $369150.24     | 0.01%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7M91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21463000 | PA      | $19438262.14   | 0.30%             | 2032-04-25      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1890628 | PA      | $35463.07      | 0.00%             | 2032-05-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2650097 | PA      | $59909.15      | 0.00%             | 2032-06-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H8UB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5786640 | PA      | $94053.73      | 0.00%             | 2032-07-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2683068 | PA      | $47314.56      | 0.00%             | 2032-08-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10595000 | PA      | $10258368.24   | 0.16%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4787473 | PA      | $63923.78      | 0.00%             | 2032-10-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H9QF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1392366 | PA      | $219921.99     | 0.00%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137H9QG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     823943 | PA      | $102923.47     | 0.00%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HAAJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2198900 | PA      | $42024.71      | 0.00%             | 2033-05-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7284000 | PA      | $7398319.47    | 0.11%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137HBDW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     749413 | PA      | $91763.30      | 0.00%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137HBW42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     409891 | PA      | $89400.92      | 0.00%             | 2051-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137HFD77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18313121 | PA      | $18384049.83   | 0.28%             | 2054-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137HFGQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13730232 | PA      | $13735459.40   | 0.21%             | 2054-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137HHWV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     317992 | PA      | $318883.72     | 0.00%             | 2055-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137HJAV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     493042 | PA      | $495880.74     | 0.01%             | 2054-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                              | CUSIP: 3137HLBG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13682652 | PA      | $13711960.05   | 0.21%             | 2055-05-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EK7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127283 | PA      | $124483.28     | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EKLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23050 | PA      | $21992.00      | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138EPDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70802 | PA      | $74519.63      | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ERVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87658 | PA      | $80026.58      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ETD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130814 | PA      | $131783.92     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ETHB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182695 | PA      | $183261.27     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138ETPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40131 | PA      | $41862.07      | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138LJB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337049 | PA      | $332129.32     | 0.01%             | 2027-07-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14882 | PA      | $13704.28      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48241 | PA      | $44422.49      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WDH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1524818 | PA      | $1449082.63    | 0.02%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WEW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     358940 | PA      | $328803.65     | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WHSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     856738 | PA      | $779768.77     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WJSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61658 | PA      | $56118.42      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30094 | PA      | $29192.51      | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WJWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217547 | PA      | $198605.44     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138WKUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195742 | PA      | $188971.88     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39869 | PA      | $36709.09      | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3138Y4M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1510193 | PA      | $1464867.60    | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                  | Fannie Mae REMIC Trust 2004-W11                                                 | CUSIP: 31394AB47<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |      32069 | PA      | $33189.06      | 0.00%             | 2044-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities              | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31394JY35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111448 | PA      | $117365.50     | 0.00%             | 2043-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                                               | CUSIP: 31398NJQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180130 | PA      | $18436.58      | 0.00%             | 2040-09-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140AQS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1780729 | PA      | $1812259.24    | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140F9WR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172629 | PA      | $157118.21     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FGAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154747 | PA      | $141051.06     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200413 | PA      | $190534.61     | 0.00%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259904 | PA      | $253797.63     | 0.00%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35331 | PA      | $34402.56      | 0.00%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     288010 | PA      | $237149.15     | 0.00%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140GPAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225637 | PA      | $222382.67     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60145 | PA      | $59948.48      | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140HF4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49980 | PA      | $43037.67      | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J8VU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     994553 | PA      | $911683.14     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169165 | PA      | $161553.13     | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197260 | PA      | $188201.07     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J9T68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16550580 | PA      | $15110069.95   | 0.23%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140J9T84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13286078 | PA      | $12036334.02   | 0.19%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80172 | PA      | $79611.18      | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140K0SW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14501113 | PA      | $13074761.00   | 0.20%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51424 | PA      | $42465.49      | 0.00%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166018 | PA      | $143330.19     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52394 | PA      | $43391.00      | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KRQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62226 | PA      | $53777.58      | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KXAB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58327 | PA      | $50355.51      | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67536 | PA      | $58462.55      | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140KYPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5169974 | PA      | $4264353.57    | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60305 | PA      | $49333.16      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L05D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61241 | PA      | $50484.06      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58194 | PA      | $47912.60      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54786 | PA      | $45503.80      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115851 | PA      | $94722.12      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63387 | PA      | $52307.68      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L2PU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6149833 | PA      | $5071615.83    | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60458 | PA      | $49742.95      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69477 | PA      | $57328.81      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61458 | PA      | $50565.24      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65434 | PA      | $54039.99      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66173 | PA      | $54548.78      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61902 | PA      | $50991.14      | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63150 | PA      | $51993.64      | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140L8DJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109570 | PA      | $94793.29      | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LHQV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95206 | PA      | $94792.99      | 0.00%             | 2032-10-01      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LN5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64555 | PA      | $55715.89      | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LNA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6026927 | PA      | $5219310.01    | 0.08%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LRT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68003 | PA      | $58700.65      | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LRTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68347 | PA      | $59076.03      | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LRU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63484 | PA      | $54976.59      | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140LRUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69502 | PA      | $60029.67      | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M2SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220139 | PA      | $197520.28     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138829 | PA      | $119507.91     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MAWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75517 | PA      | $76145.46      | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MB7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63638 | PA      | $57219.01      | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68552 | PA      | $58970.26      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MHS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63017 | PA      | $56403.05      | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MNP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136256 | PA      | $127571.80     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140MRBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67024 | PA      | $67334.70      | 0.00%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140N6NC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86116 | PA      | $84678.87      | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NBPD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68584 | PA      | $70236.18      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NCRY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55695 | PA      | $58227.60      | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140NSQX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5578901 | PA      | $5844440.71    | 0.09%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88452 | PA      | $87852.16      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q9NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144679 | PA      | $143667.05     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140Q9XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117559 | PA      | $113093.74     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QEKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20518015 | PA      | $17743363.32   | 0.27%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QEYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189833 | PA      | $155059.60     | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QFA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246409 | PA      | $201527.01     | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QFA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62612 | PA      | $51129.74      | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183384 | PA      | $158485.95     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QFG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1428932 | PA      | $1252202.44    | 0.02%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QFLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124732 | PA      | $111861.15     | 0.00%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QGM61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36046696 | PA      | $31298620.50   | 0.48%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121727 | PA      | $109654.14     | 0.00%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QKC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16282614 | PA      | $13254332.24   | 0.20%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126202 | PA      | $113620.53     | 0.00%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267263 | PA      | $241511.55     | 0.00%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QLMW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5895357 | PA      | $4848219.65    | 0.07%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371226 | PA      | $304273.56     | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QLRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21334847 | PA      | $18401820.65   | 0.28%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     786136 | PA      | $698005.23     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMK37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281856 | PA      | $253501.44     | 0.00%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68334 | PA      | $61587.32      | 0.00%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71713 | PA      | $64413.66      | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     566436 | PA      | $487209.95     | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QMZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     858579 | PA      | $746791.97     | 0.01%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222923 | PA      | $191864.23     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66752 | PA      | $61830.75      | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71185 | PA      | $66318.57      | 0.00%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300462 | PA      | $268908.18     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QNT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441026 | PA      | $422651.19     | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QP3Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8500629 | PA      | $8757078.82    | 0.13%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QPAD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11029360 | PA      | $10319159.91   | 0.16%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QPJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66183 | PA      | $66793.40      | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QPRZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286525 | PA      | $291848.13     | 0.00%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QQSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7421682 | PA      | $7618883.09    | 0.12%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QQWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64640 | PA      | $68128.64      | 0.00%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QRDB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     375405 | PA      | $392883.44     | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QS3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     658572 | PA      | $674433.86     | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QSAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239274 | PA      | $244158.98     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QSHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1428548 | PA      | $1486172.18    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QSQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440973 | PA      | $458692.70     | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140QSTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5892758 | PA      | $5949227.85    | 0.09%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71245 | PA      | $68408.69      | 0.00%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X3CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31212 | PA      | $30020.90      | 0.00%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X44M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199989 | PA      | $203117.32     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X4MM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46891 | PA      | $46201.77      | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X4PF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3414606 | PA      | $3310440.66    | 0.05%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X5TL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2407940 | PA      | $2380683.77    | 0.04%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     427598 | PA      | $424696.63     | 0.01%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X67M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1893480 | PA      | $1716812.70    | 0.03%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X6L74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261366 | PA      | $255138.96     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208684 | PA      | $195234.92     | 0.00%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X72U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2982125 | PA      | $3066534.51    | 0.05%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     674736 | PA      | $638304.38     | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X7WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260966 | PA      | $213050.83     | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X8CP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124929 | PA      | $107537.24     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X8LV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13736483 | PA      | $11317295.30   | 0.17%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X8P84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149548 | PA      | $150910.64     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254824 | PA      | $220000.83     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9LP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4223463 | PA      | $3492247.81    | 0.05%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9LZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49507 | PA      | $42744.46      | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107490 | PA      | $102405.74     | 0.00%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45495 | PA      | $39280.34      | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353300 | PA      | $289987.53     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9VH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36505 | PA      | $35353.23      | 0.00%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140X9XJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5656363 | PA      | $5913374.36    | 0.09%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XADE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66093 | PA      | $54248.82      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285232 | PA      | $234721.94     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61473 | PA      | $53169.69      | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67747 | PA      | $58752.34      | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76420 | PA      | $74025.94      | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110778 | PA      | $95936.37      | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68654 | PA      | $59343.88      | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138381 | PA      | $133797.01     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64398 | PA      | $55542.85      | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138645 | PA      | $120331.88     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XC5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54003 | PA      | $51385.49      | 0.00%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     890116 | PA      | $767550.23     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58728 | PA      | $53129.62      | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     298755 | PA      | $269430.68     | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8754762 | PA      | $7551221.08    | 0.12%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295625 | PA      | $263990.43     | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25291464 | PA      | $23426838.92   | 0.36%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242117 | PA      | $218998.95     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361093 | PA      | $312114.23     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198119 | PA      | $171295.34     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XD6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141113 | PA      | $122739.94     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64887 | PA      | $58777.44      | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDF35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140678 | PA      | $122623.99     | 0.00%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271340 | PA      | $245111.94     | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65628 | PA      | $59292.63      | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63839 | PA      | $54953.59      | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71413 | PA      | $58614.20      | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1421175 | PA      | $1280549.17    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74475 | PA      | $61127.17      | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XEAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146069 | PA      | $127049.87     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61287 | PA      | $53246.46      | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142352 | PA      | $122620.80     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134254 | PA      | $120868.56     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57927 | PA      | $52320.17      | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56980 | PA      | $56378.74      | 0.00%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71941 | PA      | $62050.02      | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286321 | PA      | $255711.05     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67757 | PA      | $61114.24      | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFNN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15236758 | PA      | $12552922.80   | 0.19%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360396 | PA      | $310596.90     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFSJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141581 | PA      | $127223.78     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377184 | PA      | $323957.79     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383015 | PA      | $329444.33     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73078 | PA      | $63082.00      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71408 | PA      | $61539.88      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77696 | PA      | $66857.96      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFX30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201389 | PA      | $181127.49     | 0.00%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XFZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216295 | PA      | $192047.28     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71015 | PA      | $63738.19      | 0.00%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150722 | PA      | $124143.83     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     849596 | PA      | $767791.05     | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGL64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269050 | PA      | $248656.35     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGLT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68030 | PA      | $63945.35      | 0.00%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212381 | PA      | $192433.17     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGP86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23304607 | PA      | $21860688.82   | 0.34%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67203 | PA      | $61930.97      | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14465646 | PA      | $14663026.53   | 0.23%             | 2051-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138098 | PA      | $129376.48     | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6768069 | PA      | $6608002.55    | 0.10%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68872 | PA      | $63418.42      | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGWP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71156 | PA      | $61361.67      | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518475 | PA      | $486253.28     | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XGX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226581 | PA      | $211250.16     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XH5W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55122031 | PA      | $46715289.85   | 0.72%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XHCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     641382 | PA      | $596332.68     | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJ7B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     689601 | PA      | $692307.41     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281996 | PA      | $262717.57     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     553372 | PA      | $453663.24     | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227641 | PA      | $224307.23     | 0.00%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJTF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188749 | PA      | $189681.29     | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XJYH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66902 | PA      | $68817.48      | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XK2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11648557 | PA      | $11562282.67   | 0.18%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XK5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74041 | PA      | $72239.65      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XK6H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79515 | PA      | $71564.50      | 0.00%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XK6S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71888 | PA      | $71903.57      | 0.00%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2538842 | PA      | $2287403.56    | 0.04%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148054 | PA      | $146038.17     | 0.00%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKLX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148893 | PA      | $149214.44     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80195 | PA      | $79183.96      | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81114 | PA      | $81224.11      | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128899 | PA      | $136253.75     | 0.00%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220691 | PA      | $226005.98     | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406349 | PA      | $335200.02     | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKW89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327851 | PA      | $269619.67     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79511 | PA      | $74214.50      | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75531 | PA      | $76211.47      | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XKYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80677 | PA      | $66296.04      | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLCK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221215 | PA      | $228495.06     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLD47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11635530 | PA      | $11965339.67   | 0.18%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72326 | PA      | $73734.08      | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11707014 | PA      | $12375258.80   | 0.19%             | 2042-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XLYF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10526329 | PA      | $10927469.65   | 0.17%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XMZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     475260 | PA      | $453642.45     | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XN6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253935 | PA      | $221821.24     | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XN6S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169402 | PA      | $146989.59     | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XNEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228865 | PA      | $233672.19     | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XNQ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137774 | PA      | $143783.91     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XNQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208924 | PA      | $217975.49     | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XNVW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1899230 | PA      | $1626882.29    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XPC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     609542 | PA      | $639449.92     | 0.01%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XPPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141206 | PA      | $147324.05     | 0.00%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XQ2W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216317 | PA      | $224749.08     | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XQFP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347443 | PA      | $296154.73     | 0.00%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XQQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     612346 | PA      | $534524.19     | 0.01%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 3140XQUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6460033 | PA      | $5505436.03    | 0.08%             | 2053-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31410LVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28390 | PA      | $27265.57      | 0.00%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31416RRG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103765 | PA      | $104661.91     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90839 | PA      | $86924.95      | 0.00%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211391 | PA      | $201794.89     | 0.00%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50292 | PA      | $48060.12      | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127417 | PA      | $121864.43     | 0.00%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     349899 | PA      | $333844.29     | 0.01%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CBT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74429 | PA      | $69616.93      | 0.00%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238439 | PA      | $227172.50     | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435951 | PA      | $408261.89     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40100919 | PA      | $32592376.71   | 0.50%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271538 | PA      | $236690.54     | 0.00%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1073627 | PA      | $871932.00     | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68148 | PA      | $59317.40      | 0.00%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435332 | PA      | $367100.62     | 0.01%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209113 | PA      | $179426.62     | 0.00%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21680368 | PA      | $17722464.74   | 0.27%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90353 | PA      | $89106.82      | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DSU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33791 | PA      | $31521.11      | 0.00%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143222 | PA      | $130054.20     | 0.00%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1627635 | PA      | $1326437.15    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     650236 | PA      | $529300.62     | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67203 | PA      | $58627.34      | 0.00%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     355537 | PA      | $309026.65     | 0.00%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1661038 | PA      | $1416670.13    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     647856 | PA      | $562695.78     | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73148 | PA      | $63487.27      | 0.00%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142402 | PA      | $127149.13     | 0.00%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150837 | PA      | $130916.50     | 0.00%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219927 | PA      | $194803.20     | 0.00%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     400481 | PA      | $354927.88     | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74721 | PA      | $67017.87      | 0.00%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229158 | PA      | $212787.61     | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73945 | PA      | $68720.95      | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     617118 | PA      | $604970.64     | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20435290 | PA      | $20103433.92   | 0.31%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     288483 | PA      | $293690.46     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                 | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8477413 | PA      | $8622876.63    | 0.13%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                       | Fannie Mae Interest Strip                                                       | CUSIP: 31423XMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     715180 | PA      | $90110.95      | 0.00%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                       | Fannie Mae Interest Strip                                                       | CUSIP: 31423XQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440438 | PA      | $71583.21      | 0.00%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                       | Fannie Mae Interest Strip                                                       | CUSIP: 31424U6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1678727 | PA      | $211317.17     | 0.00%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                       | Fannie Mae Interest Strip                                                       | CUSIP: 31424U8E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1708696 | PA      | $374746.72     | 0.01%             | 2053-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 31427MUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3155960 | PA      | $3175026.32    | 0.05%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3142GRBY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     206032 | PA      | $214880.21     | 0.00%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3142GRQC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169206 | PA      | $174617.63     | 0.00%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                | CUSIP: 3142GRQL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     165389 | PA      | $172534.37     | 0.00%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                    | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     198016 | PA      | $166020.44     | 0.00%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                           | FIGRE Trust 2025-HE5                                                            | CUSIP: 31684MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3556610 | PA      | $3570381.74    | 0.06%             | 2055-08-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                           | FIGRE Trust 2025-FL2                                                            | CUSIP: 31684TAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2399000 | PA      | $2405122.73    | 0.04%             | 2055-11-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                      | FirstEnergy Corp                                                                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     510000 | PA      | $507965.27     | 0.01%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                              | Florida Power & Light Co                                                        | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     240000 | PA      | $243175.94     | 0.00%             | 2055-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                          | Ford Credit Auto Owner Trust 2024-B                                             | CUSIP: 34531QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12787000 | PA      | $12951475.34   | 0.20%             | 2029-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                    | Ford Motor Co                                                                   | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     270000 | PA      | $278198.61     | 0.00%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                              | Ford Motor Credit Co LLC                                                        | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4758540.52    | 0.07%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                 | Foundry JV Holdco LLC                                                           | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     300000 | PA      | $308083.71     | 0.00%             | 2034-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                 | Foundry JV Holdco LLC                                                           | CUSIP: 350930AB9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     460000 | PA      | $481102.33     | 0.01%             | 2030-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                 | Foundry JV Holdco LLC                                                           | CUSIP: 350930AC7<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    2230000 | PA      | $2363104.55    | 0.04%             | 2032-01-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                 | Foundry JV Holdco LLC                                                           | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4241565.28    | 0.07%             | 2035-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                 | Foundry JV Holdco LLC                                                           | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    7202000 | PA      | $7529235.04    | 0.12%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-1                   | CUSIP: 35563PR43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     360457 | PA      | $302923.01     | 0.00%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2021-DNA2                                         | CUSIP: 35564KDB2<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |     154168 | PA      | $157382.24     | 0.00%             | 2033-08-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |    3684114 | PA      | $3696641.91    | 0.06%             | 2034-01-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KKY4<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |     623989 | PA      | $625911.30     | 0.01%             | 2041-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KQC6<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | USGSE             | US        |   10549000 | PA      | $10697093.19   | 0.16%             | 2042-01-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |     171072 | PA      | $171463.04     | 0.00%             | 2042-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |     830000 | PA      | $850430.45     | 0.01%             | 2042-04-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2022-DNA4                                         | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |     990000 | PA      | $1018686.24    | 0.02%             | 2042-05-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2022-DNA5                                         | CUSIP: 35564KYP8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | USGSE             | US        |     240000 | PA      | $252120.67     | 0.00%             | 2042-06-25      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2024-DNA1                                         | CUSIP: 35564NBA0<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | USGSE             | US        |     470000 | PA      | $474426.84     | 0.01%             | 2044-02-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2025-DNA1                                         | CUSIP: 35564NGA5<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | USGSE             | US        |    1050000 | PA      | $1048957.46    | 0.02%             | 2045-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac Stacr Remic Trust 2025-Hqa1                                         | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | USGSE             | US        |    1200000 | PA      | $1203329.40    | 0.02%             | 2045-02-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2025-DNA2                                         | CUSIP: 35564NHZ9<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | USGSE             | US        |    1452843 | PA      | $1453967.62    | 0.02%             | 2045-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2025-DNA2                                         | CUSIP: 35564NJA2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | USGSE             | US        |    4443000 | PA      | $4449327.28    | 0.07%             | 2045-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac Stacr Remic Trust 2025-Dna3                                         | CUSIP: 35564UAQ0<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | USGSE             | US        |    6613650 | PA      | $6615503.81    | 0.10%             | 2045-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac Stacr Remic Trust 2025-Dna3                                         | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | USGSE             | US        |    8460567 | PA      | $8466299.01    | 0.13%             | 2045-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2025-DNA4                                         | CUSIP: 35564UBR7<br>LEI: 529900ZVQVVVNGMGDO97 | Long             | ABS-MBS          | USGSE             | US        |    4675551 | PA      | $4677731.23    | 0.07%             | 2045-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2017-K71 Mortgage Trust                                                   | CUSIP: 35708WAS9<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |    2731000 | PA      | $2692966.46    | 0.04%             | 2050-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                   | Frontier Issuer LLC                                                             | CUSIP: 35910EAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6393000 | PA      | $6591337.07    | 0.10%             | 2054-06-20      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| GCAT                                                  | GCAT 2019-NQM2 Trust                                                            | CUSIP: 36167FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     334057 | PA      | $329560.17     | 0.01%             | 2060-01-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| GGAM Master Trust US LLC                              | GGAM Master Trust International Ltd                                             | CUSIP: 36173XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     420000 | PA      | $422252.42     | 0.01%             | 2060-09-30      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33386 | PA      | $30720.45      | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11257 | PA      | $10344.41      | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6632 | PA      | $6411.70       | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144053 | PA      | $134207.35     | 0.00%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88362 | PA      | $82323.09      | 0.00%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46265 | PA      | $43167.16      | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179RLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2562 | PA      | $2552.00       | 0.00%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52148 | PA      | $48583.15      | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12252 | PA      | $11181.57      | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33231 | PA      | $30959.53      | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57021 | PA      | $53111.94      | 0.00%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34341 | PA      | $31770.83      | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79505 | PA      | $72358.02      | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121221 | PA      | $116997.37     | 0.00%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12543 | PA      | $11677.57      | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43326 | PA      | $39518.70      | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16581 | PA      | $15110.38      | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47259 | PA      | $45506.09      | 0.00%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115995 | PA      | $111386.18     | 0.00%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     388512 | PA      | $385433.79     | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     291427 | PA      | $280878.24     | 0.00%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52259 | PA      | $51967.75      | 0.00%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55239 | PA      | $50237.54      | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     498488 | PA      | $461138.51     | 0.01%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185898 | PA      | $179068.34     | 0.00%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88528 | PA      | $85243.86      | 0.00%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44280 | PA      | $42629.35      | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3593 | PA      | $3267.07       | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30599 | PA      | $29452.69      | 0.00%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     399812 | PA      | $384758.04     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24522 | PA      | $23529.65      | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83823 | PA      | $83242.98      | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44221 | PA      | $42627.87      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7431 | PA      | $7356.14       | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28967 | PA      | $29450.70      | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109209 | PA      | $108281.83     | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21969 | PA      | $22254.91      | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182545 | PA      | $158449.40     | 0.00%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179U6Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38985 | PA      | $39635.93      | 0.00%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1031766 | PA      | $956162.76     | 0.01%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28895 | PA      | $27776.54      | 0.00%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37146 | PA      | $37751.08      | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22843 | PA      | $21165.62      | 0.00%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76580 | PA      | $75905.98      | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158650 | PA      | $161502.47     | 0.00%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     282670 | PA      | $261823.81     | 0.00%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70214 | PA      | $71343.86      | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147789 | PA      | $146424.52     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101649 | PA      | $103129.75     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158088 | PA      | $156685.58     | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109438 | PA      | $111132.55     | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     220240 | PA      | $211217.05     | 0.00%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     138148 | PA      | $136844.21     | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67371 | PA      | $64569.24      | 0.00%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     290739 | PA      | $287995.25     | 0.00%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56014 | PA      | $53651.62      | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65618 | PA      | $66768.51      | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60559 | PA      | $61570.36      | 0.00%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1472320 | PA      | $1219793.19    | 0.02%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101022 | PA      | $87248.49      | 0.00%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179V6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     603153 | PA      | $488426.54     | 0.01%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1198369 | PA      | $992779.45     | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72196 | PA      | $62331.19      | 0.00%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55937 | PA      | $56869.25      | 0.00%             | 2050-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102003 | PA      | $97702.68      | 0.00%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     213218 | PA      | $211063.37     | 0.00%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27168 | PA      | $26861.21      | 0.00%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VMG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     311173 | PA      | $307595.31     | 0.00%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103404 | PA      | $85701.44      | 0.00%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1939673 | PA      | $1607524.15    | 0.02%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146430 | PA      | $145142.68     | 0.00%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1276072 | PA      | $1057151.68    | 0.02%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27581 | PA      | $27265.85      | 0.00%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WDG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     547193 | PA      | $445820.29     | 0.01%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     420042 | PA      | $362515.06     | 0.01%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11231931 | PA      | $10105354.94   | 0.16%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154055 | PA      | $146547.14     | 0.00%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1605120 | PA      | $1608476.59    | 0.02%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5659741 | PA      | $5675198.25    | 0.09%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     313259 | PA      | $297992.48     | 0.00%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     221107 | PA      | $221603.80     | 0.00%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77692 | PA      | $76237.16      | 0.00%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136465 | PA      | $139063.09     | 0.00%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75543 | PA      | $75685.30      | 0.00%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     523306 | PA      | $532399.49     | 0.01%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133416 | PA      | $135707.83     | 0.00%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36179XXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7370627 | PA      | $7370121.71    | 0.11%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617B8HH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38547 | PA      | $35410.64      | 0.00%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617BFM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40742 | PA      | $37426.85      | 0.00%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25530 | PA      | $23247.57      | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22741 | PA      | $21690.08      | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158258 | PA      | $150942.52     | 0.00%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29085 | PA      | $27202.01      | 0.00%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26277 | PA      | $25062.55      | 0.00%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69954 | PA      | $66387.01      | 0.00%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63039 | PA      | $57636.81      | 0.00%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119144 | PA      | $101832.23     | 0.00%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MN3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158575 | PA      | $140881.19     | 0.00%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66946 | PA      | $57238.14      | 0.00%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617VKGV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59112 | PA      | $50650.91      | 0.00%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617X5VE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170161 | PA      | $149323.40     | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617Y5UR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73797 | PA      | $70029.89      | 0.00%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3617YDD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62942 | PA      | $55763.55      | 0.00%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                               | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AS8<br>LEI: N/A                  | Long             | DBT              |  | US        |    3200000 | PA      | $3477996.80    | 0.05%             | 2033-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                    | Ally Financial Inc                                                              | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    5810000 | PA      | $6594383.47    | 0.10%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| General Motors                                        | GMF Floorplan Owner Revolving Trust                                             | CUSIP: 361886DA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26486000 | PA      | $26882400.07   | 0.41%             | 2029-03-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36202D6C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        398 | PA      | $396.95        | 0.00%             | 2034-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36202DUS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2132 | PA      | $2118.92       | 0.00%             | 2032-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1864 | PA      | $1877.77       | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50371 | PA      | $46390.66      | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31087 | PA      | $28962.47      | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21294 | PA      | $19390.23      | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     308178 | PA      | $282548.90     | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91362 | PA      | $86353.11      | 0.00%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     209474 | PA      | $185465.53     | 0.00%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     329436 | PA      | $305701.13     | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123024 | PA      | $100842.91     | 0.00%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAVM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126462 | PA      | $104601.07     | 0.00%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     191954 | PA      | $158297.80     | 0.00%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AAZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143303 | PA      | $116931.44     | 0.00%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AB4U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     291630 | PA      | $285264.57     | 0.00%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AB4Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150155 | PA      | $150904.66     | 0.00%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AB6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     233126 | PA      | $227895.24     | 0.00%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABB35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     197691 | PA      | $170569.91     | 0.00%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69148 | PA      | $59293.19      | 0.00%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133961 | PA      | $115075.28     | 0.00%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3622ABDD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2385769 | PA      | $2166029.93    | 0.03%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABE65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     348776 | PA      | $299604.04     | 0.00%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132120 | PA      | $113493.89     | 0.00%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABFG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137831 | PA      | $118098.76     | 0.00%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABJF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68852 | PA      | $59144.70      | 0.00%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABKA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69699 | PA      | $59768.98      | 0.00%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     362078 | PA      | $309583.13     | 0.00%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABLA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139336 | PA      | $119691.39     | 0.00%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     575790 | PA      | $513656.46     | 0.01%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71294 | PA      | $63449.17      | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83659 | PA      | $74935.81      | 0.00%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142083 | PA      | $126842.30     | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     207376 | PA      | $184211.86     | 0.00%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206917 | PA      | $185489.11     | 0.00%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     240194 | PA      | $215020.15     | 0.00%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABWK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     513123 | PA      | $458713.60     | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59615 | PA      | $53546.54      | 0.00%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AC4M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1865278 | PA      | $1935214.84    | 0.03%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AC5Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11226198 | PA      | $11436768.32   | 0.18%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622AC6M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1073685 | PA      | $1113967.42    | 0.02%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACA67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78964 | PA      | $75057.00      | 0.00%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                               | CUSIP: 3622ACCD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7149791 | PA      | $7512831.94    | 0.12%             | 2042-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224132 | PA      | $225393.69     | 0.00%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACEG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143573 | PA      | $145417.72     | 0.00%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACFU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     572740 | PA      | $582918.62     | 0.01%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1304846 | PA      | $1331244.95    | 0.02%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1001023 | PA      | $1006657.00    | 0.02%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     242792 | PA      | $197964.74     | 0.00%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     230032 | PA      | $206494.61     | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     160157 | PA      | $163109.70     | 0.00%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACQE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10048452 | PA      | $10251759.85   | 0.16%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     639458 | PA      | $652985.51     | 0.01%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACTU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     805538 | PA      | $833780.37     | 0.01%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACWT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     153523 | PA      | $154103.68     | 0.00%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     779265 | PA      | $783516.29     | 0.01%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                              | CUSIP: 3622ADBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     858399 | PA      | $888503.45     | 0.01%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2018-GS9                                           | CUSIP: 36255NAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2875000 | PA      | $2695866.51    | 0.04%             | 2051-03-10      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2019-GC39                                          | CUSIP: 36260JAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2102177.88    | 0.03%             | 2052-05-10      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Trust 2021-PJ7                                    | CUSIP: 36262CAB6<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |    8732219 | PA      | $7287308.89    | 0.11%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                 | Haleon US Capital LLC                                                           | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |     250000 | PA      | $248166.26     | 0.00%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                 | Haleon US Capital LLC                                                           | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |     250000 | PA      | $237823.09     | 0.00%             | 2032-03-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAB3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    2941000 | PA      | $2995365.53    | 0.05%             | 2031-01-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAC1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    2882000 | PA      | $2994218.74    | 0.05%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                 | GM Financial Automobile Leasing Trust 2024-1                                    | CUSIP: 36269FAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4976480 | PA      | $4987720.58    | 0.08%             | 2027-03-22      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Trust 2025-PJ8                                    | CUSIP: 36272XBA9<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |    2135026 | PA      | $2138107.83    | 0.03%             | 2056-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage Backed Securities Trust 2025 CES2                                   | CUSIP: 36273BAA7<br>LEI: 254900U0V0TUGIF39T29 | Long             | ABS-MBS          | CORP              | US        |    3728954 | PA      | $3738188.21    | 0.06%             | 2055-09-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Trust 2025-PJ10                                   | CUSIP: 36273MBA2<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |    4763121 | PA      | $4772341.40    | 0.07%             | 2056-04-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                           | Gartner Inc                                                                     | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $8482267.55    | 0.13%             | 2029-06-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                     | General Motors Co                                                               | CUSIP: 37045VAL4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      41000 | PA      | $43919.11      | 0.00%             | 2046-04-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                     | General Motors Co                                                               | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      70000 | PA      | $73213.01      | 0.00%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                | General Motors Financial Co Inc                                                 | CUSIP: 37045XFA9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    2985000 | PA      | $3027955.61    | 0.05%             | 2034-09-06      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                | General Motors Financial Co Inc                                                 | CUSIP: 37045XFG6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    2777000 | PA      | $2891471.36    | 0.04%             | 2032-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                | General Motors Financial Co Inc                                                 | CUSIP: 37045XFL5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1935000 | PA      | $1937752.54    | 0.03%             | 2028-10-27      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GEORGIA-PACIFIC LLC                                   | Georgia-Pacific LLC                                                             | CUSIP: 37331NAT8<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |    6170000 | PA      | $6339987.20    | 0.10%             | 2032-06-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                      | Georgia Power Co                                                                | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     210000 | PA      | $215535.52     | 0.00%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     130000 | PA      | $129869.08     | 0.00%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                            | CUSIP: 378272AQ1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      30000 | PA      | $29892.84      | 0.00%             | 2027-10-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                            | CUSIP: 378272CA4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     480000 | PA      | $501151.52     | 0.01%             | 2035-04-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                            | CUSIP: 378272CB2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     210000 | PA      | $216707.78     | 0.00%             | 2055-04-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    8074000 | PA      | $8562366.47    | 0.13%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    9348000 | PA      | $9398042.93    | 0.14%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB86<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7782000 | PA      | $7784476.08    | 0.12%             | 2045-11-19      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    8731000 | PA      | $9017790.91    | 0.14%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     180000 | PA      | $200947.80     | 0.00%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     400000 | PA      | $437967.12     | 0.01%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     260000 | PA      | $235595.84     | 0.00%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     720000 | PA      | $716169.38     | 0.01%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     560000 | PA      | $561165.11     | 0.01%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      80000 | PA      | $61814.94      | 0.00%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     180000 | PA      | $132005.15     | 0.00%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     950000 | PA      | $857493.22     | 0.01%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      90000 | PA      | $89500.29      | 0.00%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     840000 | PA      | $837072.00     | 0.01%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     190000 | PA      | $178416.58     | 0.00%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust      | GoodLeap Sustainable Home Solutions Trust 2022-1                                | CUSIP: 38237JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     330032 | PA      | $290528.80     | 0.00%             | 2049-01-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375K4K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23275 | PA      | $2265.54       | 0.00%             | 2037-08-20      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38375UY79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108340 | PA      | $4120.00       | 0.00%             | 2067-11-20      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376R4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4461338 | PA      | $147538.68     | 0.00%             | 2067-05-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38376R5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7446 | PA      | $7428.97       | 0.00%             | 2067-05-20      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378KJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     919456 | PA      | $2242.55       | 0.00%             | 2048-10-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378KSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     665752 | PA      | $6492.75       | 0.00%             | 2053-12-16      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378KYP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88270 | PA      | $82207.83      | 0.00%             | 2047-11-16      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38378WRW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2157666 | PA      | $2026399.55    | 0.03%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379R5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     263867 | PA      | $6528.52       | 0.00%             | 2057-04-16      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379RLZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     270644 | PA      | $5315.61       | 0.00%             | 2058-08-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379VHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     204442 | PA      | $24210.17      | 0.00%             | 2046-02-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     322852 | PA      | $62251.46      | 0.00%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126508 | PA      | $16030.96      | 0.00%             | 2046-10-16      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380JBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     189185 | PA      | $5460.40       | 0.00%             | 2059-12-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380KSV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     408587 | PA      | $387175.71     | 0.01%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380LHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35088 | PA      | $35009.11      | 0.00%             | 2068-07-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380LXV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8279 | PA      | $8288.92       | 0.00%             | 2069-08-20      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380PHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2452686 | PA      | $246477.48     | 0.00%             | 2060-05-16      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     482023 | PA      | $26999.01      | 0.00%             | 2060-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61055 | PA      | $60770.28      | 0.00%             | 2070-07-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380R2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3314885 | PA      | $199534.21     | 0.00%             | 2061-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     517045 | PA      | $28505.34      | 0.00%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     590090 | PA      | $34214.46      | 0.00%             | 2062-10-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     620228 | PA      | $41396.75      | 0.00%             | 2060-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380RRQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2984850 | PA      | $237876.09     | 0.00%             | 2062-12-16      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38380RWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     625056 | PA      | $35927.29      | 0.00%             | 2061-01-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381DHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3173574 | PA      | $192299.88     | 0.00%             | 2063-02-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1086439 | PA      | $68100.06      | 0.00%             | 2063-11-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381DPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3126808 | PA      | $216539.59     | 0.00%             | 2061-06-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1187853 | PA      | $82097.42      | 0.00%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1481131 | PA      | $70242.77      | 0.00%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381EX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     746323 | PA      | $30318.32      | 0.00%             | 2062-02-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381H8D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1379083 | PA      | $74248.88      | 0.00%             | 2064-06-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1280577 | PA      | $1008363.29    | 0.02%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381HB67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     300000 | PA      | $214534.05     | 0.00%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381HK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     389114 | PA      | $21041.56      | 0.00%             | 2065-07-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381HL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     375134 | PA      | $22987.64      | 0.00%             | 2064-07-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381HN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     200000 | PA      | $144544.24     | 0.00%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381NUY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3745924 | PA      | $297369.40     | 0.00%             | 2055-06-20      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381PWW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1974948 | PA      | $85335.75      | 0.00%             | 2055-07-20      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38381Q3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2184429 | PA      | $175270.08     | 0.00%             | 2055-08-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     194493 | PA      | $36438.51      | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56314 | PA      | $10857.70      | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     249736 | PA      | $35968.14      | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382HS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54128 | PA      | $7752.89       | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120476 | PA      | $17925.23      | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61469 | PA      | $8881.32       | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382KG64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65679 | PA      | $9403.97       | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64276 | PA      | $9270.84       | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1458887 | PA      | $208177.82     | 0.00%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     715714 | PA      | $83575.42      | 0.00%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38382XZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     769570 | PA      | $109158.15     | 0.00%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383CNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     162823 | PA      | $30114.40      | 0.00%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383FHR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     283420 | PA      | $254408.30     | 0.00%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383FR62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     273923 | PA      | $230049.00     | 0.00%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383FX73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139145 | PA      | $121194.26     | 0.00%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383LDU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     238686 | PA      | $202810.59     | 0.00%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     500000 | PA      | $454917.70     | 0.01%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383R7N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100000 | PA      | $84510.82      | 0.00%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38383RXB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     649807 | PA      | $94007.46      | 0.00%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38384ERJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1315895 | PA      | $230005.14     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38384WFF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     871119 | PA      | $71941.78      | 0.00%             | 2054-09-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38385D3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3785187 | PA      | $294913.75     | 0.00%             | 2055-03-20      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                        | CUSIP: 38385GTJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2138643 | PA      | $160541.92     | 0.00%             | 2055-05-20      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                      | Grace Trust 2020-GRCE                                                           | CUSIP: 38406JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8503000 | PA      | $7607683.42    | 0.12%             | 2040-12-10      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Estate Notes                | Greystone CRE Notes 2025-FL4 LLC                                                | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1240000 | PA      | $1243085.86    | 0.02%             | 2043-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| GUARA NORTE SARL                                      | Guara Norte Sarl                                                                | CUSIP: 400666AA1<br>LEI: 549300U2I4L03BBA3485 | Long             | DBT              | CORP              | LU        |    4171649 | PA      | $4071617.69    | 0.06%             | 2034-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404119DE6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3270000 | PA      | $3240386.06    | 0.05%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                         | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    9458000 | PA      | $9732707.61    | 0.15%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                               | HalseyPoint CLO 3 Ltd                                                           | CUSIP: 40638UAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     510000 | PA      | $511593.75     | 0.01%             | 2037-07-30      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CKE Restaurants Holdings Inc                          | Hardee's Funding LLC                                                            | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     687600 | PA      | $642066.30     | 0.01%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                     | L3Harris Technologies Inc                                                       | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     140000 | PA      | $139639.05     | 0.00%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                           | Hertz Vehicle Financing III LLC                                                 | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $253741.40     | 0.00%             | 2028-02-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                           | Hertz Vehicle Financing III LLC                                                 | CUSIP: 42806MCE7<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |     400000 | PA      | $418706.08     | 0.01%             | 2030-03-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                           | Hertz Vehicle Financing III LLC                                                 | CUSIP: 42806MCT4<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |     780000 | PA      | $789009.78     | 0.01%             | 2029-09-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                           | Hertz Vehicle Financing III LLC 2025-2                                          | CUSIP: 42806MCX5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |     780000 | PA      | $792268.54     | 0.01%             | 2031-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                      | Hewlett Packard Enterprise Co                                                   | CUSIP: 42824CBT5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6537341.85    | 0.10%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                              | Hilcorp Energy I LP / Hilcorp Finance Co                                        | CUSIP: 431318AV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3306000 | PA      | $3142787.41    | 0.05%             | 2031-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hildene Community Funding CLO Ltd                     | Hildene Community Funding CDO Ltd                                               | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |     373331 | PA      | $337617.94     | 0.01%             | 2035-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      30000 | PA      | $23855.37      | 0.00%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98390.67      | 0.00%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076CB6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     150000 | PA      | $141832.09     | 0.00%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     160000 | PA      | $130656.09     | 0.00%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     210000 | PA      | $148138.34     | 0.00%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076CF7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     260000 | PA      | $225703.35     | 0.00%             | 2031-03-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076CP5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     270000 | PA      | $254171.04     | 0.00%             | 2032-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076DB5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    2379000 | PA      | $2419229.13    | 0.04%             | 2027-06-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                        | Home Depot Inc/The                                                              | CUSIP: 437076DE9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    6238000 | PA      | $6380120.29    | 0.10%             | 2034-06-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                  | Howmet Aerospace Inc                                                            | CUSIP: 443201AD0<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |    8530000 | PA      | $8568009.42    | 0.13%             | 2032-11-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                            | Humana Inc                                                                      | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     290000 | PA      | $289158.86     | 0.00%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                            | Humana Inc                                                                      | CUSIP: 444859BK7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     260000 | PA      | $249320.70     | 0.00%             | 2029-08-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                            | Humana Inc                                                                      | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     420000 | PA      | $412376.03     | 0.01%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                          | Huntington Bank Auto Credit-Linked Notes Series 2024-2                          | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700382 | PA      | $707897.30     | 0.01%             | 2032-10-20      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                     | Hyatt Hotels Corp                                                               | CUSIP: 448579AR3<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $7205587.76    | 0.11%             | 2029-06-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                               | Hyundai Capital America                                                         | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4725526.70    | 0.07%             | 2028-09-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                               | Hyundai Capital America                                                         | CUSIP: 44891ACY1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $6892787.48    | 0.11%             | 2029-03-19      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                               | Hyundai Capital America                                                         | CUSIP: 44891AEA1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    1870000 | PA      | $1870170.71    | 0.03%             | 2030-09-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                        | ICG US CLO 2014-1 Ltd                                                           | CUSIP: 44928XAY0<br>LEI: 25490053S2JSJU63Y978 | Long             | ABS-CBDO         | CORP              | KY        |    3653000 | PA      | $3656645.69    | 0.06%             | 2034-10-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                              | Icon Investments Six DAC                                                        | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |    3200000 | PA      | $3339582.72    | 0.05%             | 2029-05-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                            | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     200000 | PA      | $163220.09     | 0.00%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                            | Intel Corp                                                                      | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     120000 | PA      | $112606.19     | 0.00%             | 2028-08-12      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                            | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      60000 | PA      | $36895.93      | 0.00%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                            | Intel Corp                                                                      | CUSIP: 458140CF5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     170000 | PA      | $174263.26     | 0.00%             | 2030-02-10      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                              | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      80000 | PA      | $81062.72      | 0.00%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                       | Israel Government International Bond                                            | CUSIP: 46513YJH2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     400000 | PA      | $392872.87     | 0.01%             | 2028-01-17      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1                   | CUSIP: 46590KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1279558 | PA      | $1271263.01    | 0.02%             | 2049-01-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust            | JPMDB Commercial Mortgage Securities Trust 2016-C2                              | CUSIP: 46590LAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11159000 | PA      | $10998348.34   | 0.17%             | 2049-06-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2                   | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9731000 | PA      | $9616955.60    | 0.15%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2017-5                                                 | CUSIP: 46590YAB0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     751910 | PA      | $759196.68     | 0.01%             | 2048-10-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2020-2                                                 | CUSIP: 46591TAC8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     343479 | PA      | $308007.18     | 0.00%             | 2050-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2020-7                                                 | CUSIP: 46591XAC9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    1555731 | PA      | $1348817.40    | 0.02%             | 2051-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-1                                                 | CUSIP: 46592EAC0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    2703944 | PA      | $2256525.36    | 0.03%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-12                                                | CUSIP: 46592WAC0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   12576733 | PA      | $10495676.45   | 0.16%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-13                                                | CUSIP: 46592XAC8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   12594009 | PA      | $10510093.69   | 0.16%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust Series 2025-NQM1                                       | CUSIP: 46593QAE8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    1071018 | PA      | $1080505.21    | 0.02%             | 2065-06-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                             | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1148000 | PA      | $1156343.62    | 0.02%             | 2027-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                             | CUSIP: 46625HRX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     130000 | PA      | $129336.80     | 0.00%             | 2027-12-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                  | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1180054 | PA      | $1084813.24    | 0.02%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2014-2                                                 | CUSIP: 46641YAP8<br>LEI: 549300BV8AJIRLDGMR51 | Long             | ABS-MBS          | CORP              | US        |     588553 | PA      | $575483.29     | 0.01%             | 2029-06-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2014-2                                                 | CUSIP: 46641YAQ6<br>LEI: 549300BV8AJIRLDGMR51 | Long             | ABS-MBS          | CORP              | US        |     219277 | PA      | $214407.91     | 0.00%             | 2029-06-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Trust 2015-1                                                          | CUSIP: 46643UDP1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     748233 | PA      | $744816.40     | 0.01%             | 2044-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2015-4                                                 | CUSIP: 46644VBQ8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     985197 | PA      | $923037.02     | 0.01%             | 2045-06-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2015-4                                                 | CUSIP: 46644VBR6<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     772488 | PA      | $723748.58     | 0.01%             | 2045-06-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Trust 2015-5                                                          | CUSIP: 46644XBD3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      45936 | PA      | $45598.04      | 0.00%             | 2045-05-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Trust 2015-6                                                          | CUSIP: 46645GAY4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     700812 | PA      | $680586.37     | 0.01%             | 2045-10-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Trust 2015-6                                                          | CUSIP: 46645GAZ1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     593785 | PA      | $576648.01     | 0.01%             | 2045-10-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Trust 2015-6                                                          | CUSIP: 46645GBA5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     976245 | PA      | $877456.58     | 0.01%             | 2045-10-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust            | JPMDB Commercial Mortgage Securities Trust 2016-C4                              | CUSIP: 46646RAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6530000 | PA      | $6420592.46    | 0.10%             | 2049-12-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2016-4                                                 | CUSIP: 46647JAZ3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     866323 | PA      | $824808.55     | 0.01%             | 2046-10-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2016-4                                                 | CUSIP: 46647JBA7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    1586279 | PA      | $1510264.40    | 0.02%             | 2046-10-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                             | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     290000 | PA      | $290940.35     | 0.00%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                             | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     460000 | PA      | $464739.71     | 0.01%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     970000 | PA      | $903581.36     | 0.01%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                             | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     240000 | PA      | $162980.50     | 0.00%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1040000 | PA      | $938492.74     | 0.01%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                             | CUSIP: 46647PDY9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4064000 | PA      | $4462013.49    | 0.07%             | 2034-10-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                             | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6455000 | PA      | $6614438.56    | 0.10%             | 2030-01-23      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                             | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6940000 | PA      | $7078054.16    | 0.11%             | 2028-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                             | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   26673000 | PA      | $27569042.09   | 0.42%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                             | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   10320000 | PA      | $10827320.05   | 0.17%             | 2036-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                             | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7895000 | PA      | $8151401.57    | 0.13%             | 2031-04-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                             | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6605000 | PA      | $6832534.85    | 0.11%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2017-1                                                 | CUSIP: 46648CAY0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    3105183 | PA      | $2846946.40    | 0.04%             | 2047-01-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2017-2                                                 | CUSIP: 46648HAC7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     259592 | PA      | $234990.77     | 0.00%             | 2047-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust            | JPMDB Commercial Mortgage Securities Trust 2017-C7                              | CUSIP: 46648KAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3854000 | PA      | $3802628.49    | 0.06%             | 2050-10-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-10                                                | CUSIP: 46654AAC3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    5769376 | PA      | $4814724.44    | 0.07%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2021-11                                                | CUSIP: 46654KAC1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    9720259 | PA      | $8124009.57    | 0.13%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust Series 2024-VIS2                                       | CUSIP: 46658DAA7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    2153946 | PA      | $2180460.23    | 0.03%             | 2064-11-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                               | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5800000 | PA      | $5712189.16    | 0.09%             | 2029-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                              | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6206000 | PA      | $6306274.75    | 0.10%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                              | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5804000 | PA      | $5776614.06    | 0.09%             | 2056-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                               | Jefferies Financial Group Inc                                                   | CUSIP: 472319AE2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    1613000 | PA      | $1664331.55    | 0.03%             | 2027-06-08      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                               | Jefferies Financial Group Inc                                                   | CUSIP: 472319AM4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    4685000 | PA      | $4873268.27    | 0.08%             | 2043-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                               | Jefferies Financial Group Inc                                                   | CUSIP: 47233JGT9<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    5411000 | PA      | $4796165.22    | 0.07%             | 2031-10-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                               | Jefferies Financial Group Inc                                                   | CUSIP: 47233WKS7<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    8450000 | PA      | $8450548.83    | 0.13%             | 2026-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL CLO LTD                                 | KKR CLO 41 Ltd                                                                  | CUSIP: 48255PAA3<br>LEI: 254900UD92WBBLUHGZ35 | Long             | ABS-CBDO         | CORP              | KY        |    5115000 | PA      | $5116432.20    | 0.08%             | 2035-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                               | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     794000 | PA      | $750237.06     | 0.01%             | 2047-04-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                               | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     250000 | PA      | $255134.47     | 0.00%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                            | Kenvue Inc                                                                      | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    4150000 | PA      | $4234695.44    | 0.07%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                               | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     140000 | PA      | $134118.13     | 0.00%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                     | Kinder Morgan Inc                                                               | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     220000 | PA      | $221073.80     | 0.00%             | 2028-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                  | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    5902000 | PA      | $5415645.69    | 0.08%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                  | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAR7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    1975000 | PA      | $2206212.18    | 0.03%             | 2039-01-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                  | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    1975000 | PA      | $1803710.50    | 0.03%             | 2039-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                             | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     220000 | PA      | $221215.33     | 0.00%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                      | LPL Holdings Inc                                                                | CUSIP: 50212YAL8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $9005320.63    | 0.14%             | 2030-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                  | Las Vegas Sands Corp                                                            | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     140000 | PA      | $146127.28     | 0.00%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                  | Las Vegas Sands Corp                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     630000 | PA      | $645935.94     | 0.01%             | 2028-06-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                  | Las Vegas Sands Corp                                                            | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     110000 | PA      | $115269.61     | 0.00%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                            | Leidos Inc                                                                      | CUSIP: 52532XAK1<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    9078000 | PA      | $9442095.79    | 0.15%             | 2032-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                            | Leidos Inc                                                                      | CUSIP: 52532XAL9<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   12362000 | PA      | $12847174.26   | 0.20%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                              | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAB9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     340000 | PA      | $340415.68     | 0.01%             | 2026-03-24      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                            | MFA 2020-NQM1 Trust                                                             | CUSIP: 552754AC7<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |      81155 | PA      | $78946.81      | 0.00%             | 2049-08-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust           | MF1 2025-FL19 LLC                                                               | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1330000 | PA      | $1332905.39    | 0.02%             | 2042-05-18      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                            | MMAF Equipment Finance LLC 2024-A                                               | CUSIP: 55318CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     520000 | PA      | $537597.06     | 0.01%             | 2049-07-13      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                               | MPLX LP                                                                         | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     100000 | PA      | $89360.58      | 0.00%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                               | MPLX LP                                                                         | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     230000 | PA      | $209708.32     | 0.00%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                               | MPLX LP                                                                         | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     310000 | PA      | $314630.09     | 0.00%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                               | MPLX LP                                                                         | CUSIP: 55336VBP4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      50000 | PA      | $44573.96      | 0.00%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MNSN Holdings Inc                                     | MNSN Holdings Inc                                                               | CUSIP: 55339C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       8379 | NS      | $494361.00     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| MSCI INC                                              | MSCI Inc                                                                        | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $8405501.02    | 0.13%             | 2030-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                        | MSWF Commercial Mortgage Trust 2023-2                                           | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     540000 | PA      | $582555.89     | 0.01%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                       | MVW 2023-2 LLC                                                                  | CUSIP: 55400WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     140192 | PA      | $144098.22     | 0.00%             | 2040-11-20      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                              | Macquarie Airfinance Holdings Ltd                                               | CUSIP: 55609NAC2<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    8800000 | PA      | $9221488.85    | 0.14%             | 2029-03-26      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                     | Magnetite XXVII Ltd                                                             | CUSIP: 55955EAW8<br>LEI: 5493003N6WY184N72D84 | Long             | ABS-CBDO         | CORP              | KY        |    1060000 | PA      | $1060081.62    | 0.02%             | 2038-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                     | Magnetite XXIX Ltd                                                              | CUSIP: 55955KAN4<br>LEI: 549300XSCWZTP19VRZ67 | Long             | ABS-CBDO         | CORP              | KY        |     690000 | PA      | $691649.10     | 0.01%             | 2037-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Manhattan Asset Funding Co LLC                        | Manhattan Asset Funding Co LLC                                                  | CUSIP: 56274MA28<br>LEI: 549300S0NSJYSOB32S63 | Long             | STIV             | CORP              | US        |     310000 | PA      | $309968.57     | 0.00%             | 2026-01-02      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MANHATTAN ASSET FDG CO                                | Manhattan Asset Funding Co LLC                                                  | CUSIP: 56274MA51<br>LEI: 549300S0NSJYSOB32S63 | Long             | STIV             | CORP              | US        |   25000000 | PA      | $24989611.00   | 0.39%             | 2026-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     250000 | PA      | $240404.75     | 0.00%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676AN5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     300000 | PA      | $215238.60     | 0.00%             | 2040-07-16      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    8855000 | PA      | $9049479.09    | 0.14%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      25000 | PA      | $25768.61      | 0.00%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    8010000 | PA      | $8232915.34    | 0.13%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    5206000 | PA      | $5247726.35    | 0.08%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MARS INC                                              | Mars Inc                                                                        | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   16298000 | PA      | $16234897.89   | 0.25%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                | Marvell Technology Inc                                                          | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6584925.82    | 0.10%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                       | McDonald's Corp                                                                 | CUSIP: 58013MFA7<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     330000 | PA      | $300733.47     | 0.00%             | 2045-12-09      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                       | McDonald's Corp                                                                 | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      30000 | PA      | $22076.62      | 0.00%             | 2049-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                       | McDonald's Corp                                                                 | CUSIP: 58013MFM1<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     220000 | PA      | $203164.56     | 0.00%             | 2030-03-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                       | McDonald's Corp                                                                 | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     140000 | PA      | $137373.36     | 0.00%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                       | McDonald's Corp                                                                 | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     160000 | PA      | $128928.83     | 0.00%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                        | Merck & Co Inc                                                                  | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     600000 | PA      | $536523.05     | 0.01%             | 2030-06-24      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                        | Merck & Co Inc                                                                  | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      50000 | PA      | $30941.09      | 0.00%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                        | Merck & Co Inc                                                                  | CUSIP: 58933YBY0<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    1745000 | PA      | $1747432.15    | 0.03%             | 2032-12-04      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                        | Merck & Co Inc                                                                  | CUSIP: 58933YBZ7<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    2815000 | PA      | $2804477.95    | 0.04%             | 2035-12-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                           | MetLife Inc                                                                     | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     380000 | PA      | $398691.13     | 0.01%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC                    | MetroNet Infrastructure Issuer LLC                                              | CUSIP: 59170JAX6<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |     740000 | PA      | $750429.93     | 0.01%             | 2055-08-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE                               | Mid-Atlantic Interstate Transmission LLC                                        | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $200136.45     | 0.00%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                 | MidAmerican Energy Co                                                           | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     260000 | PA      | $256915.78     | 0.00%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                              | Mill City Mortgage Loan Trust 2023-NQM2                                         | CUSIP: 59981CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4344944 | PA      | $4341793.97    | 0.07%             | 2067-12-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                        | Morgan Stanley Capital I Trust 2019-L3                                          | CUSIP: 61691UBE8<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    5845000 | PA      | $5567257.29    | 0.09%             | 2052-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20110.80      | 0.00%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     540000 | PA      | $506518.16     | 0.01%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1110000 | PA      | $1078503.16    | 0.02%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     390000 | PA      | $387796.99     | 0.01%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   19146000 | PA      | $16835333.97   | 0.26%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   11176000 | PA      | $11609806.27   | 0.18%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   11755000 | PA      | $12019599.76   | 0.19%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7055000 | PA      | $7477655.24    | 0.12%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     160000 | PA      | $166316.05     | 0.00%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   13390000 | PA      | $14228972.28   | 0.22%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     680000 | PA      | $699993.18     | 0.01%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1388000 | PA      | $1431127.84    | 0.02%             | 2031-04-17      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                  | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5023000 | PA      | $5272468.60    | 0.08%             | 2036-04-17      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                             | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29                     | CUSIP: 61766EBE4<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |     170000 | PA      | $169313.85     | 0.00%             | 2049-05-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2020-1 | Morgan Stanley Residential Mortgage Loan Trust 2020-1                           | CUSIP: 61771QAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3750644 | PA      | $3103922.72    | 0.05%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust        | Morgan Stanley Residential Mortgage Loan Trust 2021-1                           | CUSIP: 61772AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2635251 | PA      | $2199199.37    | 0.03%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust        | Morgan Stanley Residential Mortgage Loan Trust 2021-4                           | CUSIP: 61772MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2745290 | PA      | $2291029.86    | 0.04%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust        | Morgan Stanley Residential Mortgage Loan Trust 2021-5                           | CUSIP: 61772NAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8752904 | PA      | $7304571.73    | 0.11%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                               | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    4472000 | PA      | $4533255.44    | 0.07%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust        | Morgan Stanley Residential Mortgage Loan Trust 2024-INV2                        | CUSIP: 617939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     481106 | PA      | $492081.65     | 0.01%             | 2054-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                | Motorola Solutions Inc                                                          | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6357474.97    | 0.10%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust 2022-LPFL               | MTN Commercial Mortgage Trust 2022-LPFL                                         | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     320000 | PA      | $319801.60     | 0.00%             | 2039-03-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| MUFG Bank Ltd/New York NY                             | MUFG Bank Ltd/New York NY                                                       | CUSIP: 62479MA78<br>LEI: C3GTMMZIHMY46P4OIX74 | Long             | STIV             | CORP              | US        |   24000000 | PA      | $23985520.08   | 0.37%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                      | NMEF Funding 2025-A LLC                                                         | CUSIP: 62919VAB7<br>LEI: 549300LKWL3P0UPHKL72 | Long             | ABS-O            | CORP              | US        |     785742 | PA      | $788590.27     | 0.01%             | 2032-07-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                        | NRG Energy Inc                                                                  | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     210000 | PA      | $209777.57     | 0.00%             | 2035-10-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                             | NYCT Trust 2024-3ELV                                                            | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     310000 | PA      | $310386.79     | 0.00%             | 2029-08-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                            | Navient Student Loan Trust 2016-3                                               | CUSIP: 63940HAC7<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |     265870 | PA      | $269713.80     | 0.00%             | 2065-06-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                              | Neuberger Berman Loan Advisers CLO 48 Ltd                                       | CUSIP: 64135GAL2<br>LEI: 549300FC7JRIZ6YLHK36 | Long             | ABS-CBDO         | CORP              | JE        |   29400000 | PA      | $29401058.40   | 0.45%             | 2036-04-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                              | Neuberger Berman Loan Advisers CLO 48 Ltd                                       | CUSIP: 64135GAN8<br>LEI: 549300FC7JRIZ6YLHK36 | Long             | ABS-CBDO         | CORP              | JE        |    2000000 | PA      | $2000062.00    | 0.03%             | 2036-04-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2014-2                                      | CUSIP: 64828YAR2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     128764 | PA      | $124052.06     | 0.00%             | 2054-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2015-2                                      | CUSIP: 64829EAA2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     430528 | PA      | $421612.52     | 0.01%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2015-2                                      | CUSIP: 64829EAB0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     245059 | PA      | $238537.15     | 0.00%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2016-3                                      | CUSIP: 64829HAD9<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     138606 | PA      | $131056.10     | 0.00%             | 2056-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2017-2                                      | CUSIP: 64829KAU4<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     291502 | PA      | $290739.87     | 0.00%             | 2057-03-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2017-4                                      | CUSIP: 64829NAA2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     326818 | PA      | $318761.72     | 0.00%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2018-RPL1                                   | CUSIP: 64829VAA4<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     462468 | PA      | $452452.21     | 0.01%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2017-6                                      | CUSIP: 64830BAA5<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     700359 | PA      | $684326.67     | 0.01%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2022-NQM2                                   | CUSIP: 64831MAA0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     752544 | PA      | $721972.22     | 0.01%             | 2062-03-27      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                              | New York Life Global Funding                                                    | CUSIP: 64953BBF4<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    8900000 | PA      | $8996574.61    | 0.14%             | 2026-09-18      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    6699000 | PA      | $6470540.12    | 0.10%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KDF4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    2923000 | PA      | $3079525.80    | 0.05%             | 2055-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                          | NiSource Inc                                                                    | CUSIP: 65473PAS4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3711499.16    | 0.06%             | 2029-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| NJ Trust 2023-GSP                                     | NJ Trust 2023-GSP                                                               | CUSIP: 65486XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420000 | PA      | $439636.18     | 0.01%             | 2029-01-06      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                              | Northern States Power Co/MN                                                     | CUSIP: 665772CZ0<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3260457.95    | 0.05%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                 | Northrop Grumman Corp                                                           | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     160000 | PA      | $157947.10     | 0.00%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                 | Northrop Grumman Corp                                                           | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    1060000 | PA      | $1000320.19    | 0.02%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                 | Novartis Capital Corp                                                           | CUSIP: 66989HAY4<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |   12440000 | PA      | $12426744.31   | 0.19%             | 2030-11-05      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2021-NQM2 Trust                                                             | CUSIP: 670857AA9<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |     142662 | PA      | $119054.11     | 0.00%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| OCCU Auto Receivables Trust                           | OCCU Auto Receivables Trust 2025-1                                              | CUSIP: 67098SAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     750000 | PA      | $758627.93     | 0.01%             | 2034-11-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2021-NQM3 Trust                                                             | CUSIP: 67114JAA8<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |     208767 | PA      | $173697.36     | 0.00%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2022-NQM1 Trust                                                             | CUSIP: 67114VAA1<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |     712167 | PA      | $645893.54     | 0.01%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2021-NQM4 Trust                                                             | CUSIP: 67115DAA0<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |     467478 | PA      | $403909.91     | 0.01%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2024-NQM11 Trust                                                            | CUSIP: 67119EAA4<br>LEI: 254900F5LT8CA1U6PK21 | Long             | ABS-MBS          | CORP              | US        |     170452 | PA      | $172356.69     | 0.00%             | 2064-06-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2025-NQM4 Trust                                                             | CUSIP: 67120QAC0<br>LEI: 254900IAVXYLOCPK6W54 | Long             | ABS-MBS          | CORP              | US        |     899109 | PA      | $907074.45     | 0.01%             | 2055-02-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2025-J2 Trust                                                               | CUSIP: 67122EAU5<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |   11007196 | PA      | $11024735.15   | 0.17%             | 2055-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2024-NQM17 Trust                                                            | CUSIP: 673911AE3<br>LEI: 254900HMH8TR6ZSMCB34 | Long             | ABS-MBS          | CORP              | US        |     789629 | PA      | $797557.37     | 0.01%             | 2064-11-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                       | Oaktree CLO 2024-25 Ltd                                                         | CUSIP: 67402PAA5<br>LEI: 254900NTZ5OVNC5X7789 | Long             | ABS-CBDO         | CORP              | KY        |     750000 | PA      | $751704.00     | 0.01%             | 2037-04-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2024-NQM1 Trust                                                             | CUSIP: 67448LAA0<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |     664835 | PA      | $669823.34     | 0.01%             | 2063-11-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                              | Occidental Petroleum Corp                                                       | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      90000 | PA      | $71084.16      | 0.00%             | 2046-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                              | Occidental Petroleum Corp                                                       | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     200000 | PA      | $197674.20     | 0.00%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                              | Occidental Petroleum Corp                                                       | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      40000 | PA      | $30140.68      | 0.00%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                              | Occidental Petroleum Corp                                                       | CUSIP: 674599CS2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     120000 | PA      | $115818.59     | 0.00%             | 2029-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                              | Occidental Petroleum Corp                                                       | CUSIP: 674599DK8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     560000 | PA      | $443534.20     | 0.01%             | 2044-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                      | Ocean Trails Clo X                                                              | CUSIP: 67516CAW9<br>LEI: 635400RMMLHBGDGXBC03 | Long             | ABS-CBDO         | CORP              | KY        |     690000 | PA      | $689385.90     | 0.01%             | 2034-10-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 51 Ltd                    | Octagon Investment Partners 51 Ltd                                              | CUSIP: 675943AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10047000 | PA      | $10052867.45   | 0.15%             | 2034-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| OMNICOM GROUP INC                                     | Omnicom Group Inc                                                               | CUSIP: 681919BK1<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $2872852.45    | 0.04%             | 2031-03-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                               | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     120000 | PA      | $123715.77     | 0.00%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                               | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JDA9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     150000 | PA      | $150862.12     | 0.00%             | 2055-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101076.76     | 0.00%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     160000 | PA      | $168657.68     | 0.00%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     140000 | PA      | $146621.21     | 0.00%             | 2053-09-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680CE1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    2703000 | PA      | $2678863.24    | 0.04%             | 2034-11-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                             | ONEOK Inc                                                                       | CUSIP: 682680CF8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    4421000 | PA      | $4120088.75    | 0.06%             | 2054-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      40000 | PA      | $36926.75      | 0.00%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      90000 | PA      | $56061.97      | 0.00%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     170000 | PA      | $168510.66     | 0.00%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     330000 | PA      | $266895.52     | 0.00%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3530000 | PA      | $3453526.22    | 0.05%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    5015000 | PA      | $4841591.48    | 0.07%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     130000 | PA      | $124550.50     | 0.00%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     340000 | PA      | $307062.10     | 0.00%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                     | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     270000 | PA      | $239223.84     | 0.00%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING                                 | PK Alift Loan Funding 7 LP                                                      | CUSIP: 69291NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2945009 | PA      | $2950560.33    | 0.05%             | 2043-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PFP III                                               | PFP 2024-11 Ltd                                                                 | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     138135 | PA      | $138479.87     | 0.00%             | 2039-09-17      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     370000 | PA      | $383734.43     | 0.01%             | 2029-06-12      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    7074000 | PA      | $8005129.19    | 0.12%             | 2034-10-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    4841000 | PA      | $5103037.28    | 0.08%             | 2035-01-22      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    4530000 | PA      | $4723071.77    | 0.07%             | 2036-01-29      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CD5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    3557000 | PA      | $3640293.27    | 0.06%             | 2031-05-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                 | PRPM 2024-RCF1 LLC                                                              | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189466 | PA      | $187586.47     | 0.00%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                           | PRKCM 2021-AFC2 Trust                                                           | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202963 | PA      | $181754.82     | 0.00%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                           | PRKCM 2024-HOME1 Trust                                                          | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     433035 | PA      | $439976.88     | 0.01%             | 2059-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                        | PMT Loan Trust 2025-J2                                                          | CUSIP: 69392TAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1403271 | PA      | $1407282.90    | 0.02%             | 2056-08-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      50000 | PA      | $48472.55      | 0.00%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     110000 | PA      | $98995.68      | 0.00%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     230000 | PA      | $174099.07     | 0.00%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      50000 | PA      | $33715.06      | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                     | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     350000 | PA      | $351952.16     | 0.01%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                 | Palmer Square CLO 2021-1 Ltd                                                    | CUSIP: 69701WAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     890000 | PA      | $890378.25     | 0.01%             | 2038-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                          | Parallel 2023-1 Ltd                                                             | CUSIP: 69915NAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1070000 | PA      | $1072290.87    | 0.02%             | 2036-07-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                          | Parallel 2020-1 Ltd                                                             | CUSIP: 69917AAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     520000 | PA      | $520725.40     | 0.01%             | 2034-07-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                     | Park Blue CLO 2022-II Ltd                                                       | CUSIP: 70018CAQ9<br>LEI: 2138008W8XU9WO8BZO09 | Long             | ABS-CBDO         | CORP              | KY        |     770000 | PA      | $771761.76     | 0.01%             | 2037-07-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                     | Park Blue Clo 2024-V Ltd                                                        | CUSIP: 70019CAA3<br>LEI: 213800H9UFJ6SS8AMF70 | Long             | ABS-CBDO         | CORP              | KY        |     620000 | PA      | $621680.82     | 0.01%             | 2037-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                           | Paychex Inc                                                                     | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6691843.60    | 0.10%             | 2030-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                   | Peru Government International Bonds                                             | CUSIP: 715638DS8<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      70000 | PA      | $54047.00      | 0.00%             | 2041-03-11      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                   | Peru Government International Bonds                                             | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     160000 | PA      | $111856.00     | 0.00%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                      | Peruvian Government International Bond                                          | CUSIP: 715638FC1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1250000 | PA      | $1274500.00    | 0.02%             | 2036-03-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                              | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAC3<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |     310000 | PA      | $309039.84     | 0.00%             | 2027-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                              | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |     200000 | PA      | $204838.20     | 0.00%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                              | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAF6<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |     890000 | PA      | $903880.44     | 0.01%             | 2048-05-21      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                   | Petroleos Mexicanos                                                             | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    4103000 | PA      | $3373501.90    | 0.05%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                            | Pfizer Inc                                                                      | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    1030000 | PA      | $932943.74     | 0.01%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                | Philip Morris International Inc                                                 | CUSIP: 718172AP4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     560000 | PA      | $500551.42     | 0.01%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                | Philip Morris International Inc                                                 | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     250000 | PA      | $229003.93     | 0.00%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                | Philip Morris International Inc                                                 | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     130000 | PA      | $133068.39     | 0.00%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                | Philip Morris International Inc                                                 | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      30000 | PA      | $31086.09      | 0.00%             | 2031-02-13      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                | Philip Morris International Inc                                                 | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103361.17     | 0.00%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                | Philip Morris International Inc                                                 | CUSIP: 718172DY2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   18000000 | PA      | $17836578.18   | 0.27%             | 2030-10-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                  | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $2956144.80    | 0.05%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Point Au Roche Park CLO, Ltd                          | Point Au Roche Park CLO Ltd                                                     | CUSIP: 73052VAA3<br>LEI: 5493000RMLD359CPH591 | Long             | ABS-CBDO         | CORP              | KY        |    2050000 | PA      | $2051683.05    | 0.03%             | 2034-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Porsche Innovative Lease Owner Trust                  | Porsche Innovative Lease Owner Trust 2024-1                                     | CUSIP: 73328AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18267000 | PA      | $18339934.65   | 0.28%             | 2027-11-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                           | RCKT Mortgage Trust 2021-1                                                      | CUSIP: 749350AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2750022 | PA      | $2294978.87    | 0.04%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                           | RCKT Mortgage Trust 2024-INV1                                                   | CUSIP: 74938QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     226394 | PA      | $232408.02     | 0.00%             | 2054-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                           | RCKT Mortgage Trust 2021-6                                                      | CUSIP: 74939KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5793185 | PA      | $4834593.23    | 0.07%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Radian Mortgage Capital Trust                         | Radian Mortgage Capital Trust 2025-J3                                           | CUSIP: 75024RBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5400488 | PA      | $5419588.32    | 0.08%             | 2055-12-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                              | Regeneron Pharmaceuticals Inc                                                   | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $5798761.74    | 0.09%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds                | Uruguay Government International Bonds                                          | CUSIP: 760942AS1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |      80000 | PA      | $96652.00      | 0.00%             | 2036-03-21      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                 | Reynolds American Inc                                                           | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      50000 | PA      | $49191.91      | 0.00%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                | Rockford Tower CLO 2021-2 Ltd                                                   | CUSIP: 77341LAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2700000 | PA      | $2700126.90    | 0.04%             | 2034-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                              | Rogers Communications Inc                                                       | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   10060000 | PA      | $10136476.82   | 0.16%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                              | Rogers Communications Inc                                                       | CUSIP: 775109DH1<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    5800000 | PA      | $6107353.14    | 0.09%             | 2055-04-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                     | NatWest Group PLC                                                               | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $203364.39     | 0.00%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                    | Royalty Pharma PLC                                                              | CUSIP: 78081BAJ2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    6297000 | PA      | $6064515.07    | 0.09%             | 2027-09-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                    | Royalty Pharma PLC                                                              | CUSIP: 78081BAQ6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    5800000 | PA      | $5960587.62    | 0.09%             | 2029-09-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                    | Royalty Pharma PLC                                                              | CUSIP: 78081BAU7<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    2775000 | PA      | $2789034.31    | 0.04%             | 2035-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                          | State Street Institutional US Government Money Market Fund                      | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |   17989715 | NS      | $17989715.19   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| SG Capital Partners                                   | SG Residential Mortgage Trust 2022-1                                            | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     728534 | PA      | $698620.01     | 0.01%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                               | SCF Equipment Leasing 2025-1 LLC                                                | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1030000 | PA      | $1051418.75    | 0.02%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FI                              | SMBC Aviation Capital Finance DAC                                               | CUSIP: 78448TAL6<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    6500000 | PA      | $6677531.84    | 0.10%             | 2029-04-03      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2024-E                                         | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     517033 | PA      | $525059.28     | 0.01%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| SMRT                                                  | SMRT 2022-MINI                                                                  | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     540000 | PA      | $539156.41     | 0.01%             | 2039-01-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                               | Sagard-Halseypoint Clo 8 Ltd                                                    | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |     460000 | PA      | $460579.60     | 0.01%             | 2038-01-30      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                       | Sands China Ltd                                                                 | CUSIP: 80007RAL9<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     600000 | PA      | $591118.26     | 0.01%             | 2030-06-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                | Santander Drive Auto Receivables Trust 2025-1                                   | CUSIP: 80288DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7078000 | PA      | $7188367.25    | 0.11%             | 2031-03-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                | Sempra                                                                          | CUSIP: 816851BT5<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   14791000 | PA      | $15044362.43   | 0.23%             | 2054-10-01      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                | Sequoia Mortgage Trust 2013-4                                                   | CUSIP: 81744YAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     282305 | PA      | $274077.15     | 0.00%             | 2043-04-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                | Sequoia Mortgage Trust 2015-1                                                   | CUSIP: 81745QCB6<br>LEI: 5493007E0SBYHIR7SU85 | Long             | ABS-MBS          | CORP              | US        |     474818 | PA      | $464823.05     | 0.01%             | 2045-01-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                | Sequoia Mortgage Trust 2020-4                                                   | CUSIP: 81748RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2265891 | PA      | $1882459.01    | 0.03%             | 2050-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                          | 7-Eleven Inc                                                                    | CUSIP: 817826AD2<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6134344.19    | 0.09%             | 2028-02-10      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                          | 7-Eleven Inc                                                                    | CUSIP: 817826AE0<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $5691905.25    | 0.09%             | 2031-02-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| SHRN Trust                                            | SHRN Trust 2025-MF18                                                            | CUSIP: 82556AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8967000 | PA      | $8966999.10    | 0.14%             | 2040-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                  | Signal Peak CLO 5 Ltd                                                           | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3653000 | PA      | $3662355.33    | 0.06%             | 2037-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                 | Silver Point CLO 8 Ltd                                                          | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500188.00     | 0.01%             | 2038-04-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                              | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    6800000 | PA      | $6897788.28    | 0.11%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                     | Southern Power Co                                                               | CUSIP: 843646AX8<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    2525000 | PA      | $2518251.53    | 0.04%             | 2030-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                     | Southern Power Co                                                               | CUSIP: 843646AY6<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    4550000 | PA      | $4500970.16    | 0.07%             | 2035-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                               | Southwestern Electric Power Co                                                  | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   16298000 | PA      | $16286577.87   | 0.25%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                   | Sprint Capital Corp                                                             | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    8800000 | PA      | $9443535.38    | 0.15%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                    | Station Place Securitization Trust Series 2025-7                                | CUSIP: 85779XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21115000 | PA      | $20926696.43   | 0.32%             | 2026-11-24      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     210000 | PA      | $188715.01     | 0.00%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                           | Truist Bank                                                                     | CUSIP: 86787GAJ1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    6594000 | PA      | $6575255.57    | 0.10%             | 2026-05-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                   | Suzano Austria GmbH                                                             | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     380000 | PA      | $339924.74     | 0.01%             | 2032-01-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| SWEDBANK                                              | Swedbank AB                                                                     | CUSIP: 87020XC65<br>LEI: M312WZV08Y7LYUC71685 | Long             | STIV             | CORP              | SE        |    8000000 | PA      | $7946045.60    | 0.12%             | 2026-03-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                                 | Sycamore Tree CLO 2025-6 Ltd                                                    | CUSIP: 87122HAA0<br>LEI: 2138001M3BAXCUCAUG38 | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $797897.60     | 0.01%             | 2038-04-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                          | Synopsys Inc                                                                    | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     160000 | PA      | $163416.45     | 0.00%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                          | Synopsys Inc                                                                    | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     130000 | PA      | $132744.45     | 0.00%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                          | Synopsys Inc                                                                    | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     110000 | PA      | $111798.01     | 0.00%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                          | Synopsys Inc                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    4398000 | PA      | $4362768.68    | 0.07%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                                     | Sysco Corp                                                                      | CUSIP: 871829BU0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    4210000 | PA      | $4346988.47    | 0.07%             | 2030-09-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   12132000 | PA      | $12093886.11   | 0.19%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1910000 | PA      | $1878246.12    | 0.03%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    6133000 | PA      | $4569993.24    | 0.07%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      60000 | PA      | $40108.56      | 0.00%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     450000 | PA      | $429518.62     | 0.01%             | 2029-02-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     220000 | PA      | $194854.28     | 0.00%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     130000 | PA      | $118765.86     | 0.00%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ADC6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3046000 | PA      | $3226981.90    | 0.05%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     190000 | PA      | $194222.76     | 0.00%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2471000 | PA      | $2542836.99    | 0.04%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    7934000 | PA      | $7925535.69    | 0.12%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                | Taco Bell Funding LLC                                                           | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1210000 | PA      | $1203213.96    | 0.02%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                          | Tapestry Inc                                                                    | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6672935.69    | 0.10%             | 2030-03-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                              | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10782000 | PA      | $10784680.08   | 0.17%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                  | Targa Resources Corp                                                            | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      70000 | PA      | $59831.29      | 0.00%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12998000 | PA      | $12257744.79   | 0.19%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                | Williams Cos Inc/The                                                            | CUSIP: 88339WAC0<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     380000 | PA      | $386368.29     | 0.01%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                 | Time Warner Cable LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      60000 | PA      | $61227.53      | 0.00%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                 | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   13600000 | PA      | $14568055.34   | 0.22%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                 | Time Warner Cable LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    5494000 | PA      | $5556960.36    | 0.09%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                 | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     170000 | PA      | $169670.19     | 0.00%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                 | Toronto-Dominion Bank/The                                                       | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    2200000 | PA      | $2319996.40    | 0.04%             | 2082-10-31      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| TORONTO DOMINION BANK                                 | Toronto-Dominion Bank/The                                                       | CUSIP: 89119BAF3<br>LEI: PT3QB789TSUIDF371261 | Long             | STIV             | CORP              | CA        |   15000000 | PA      | $14978241.60   | 0.23%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TORONTO DOMINION BANK                                 | Toronto-Dominion Bank/The                                                       | CUSIP: 89119BAN6<br>LEI: PT3QB789TSUIDF371261 | Long             | STIV             | CORP              | CA        |    4000000 | PA      | $3990760.00    | 0.06%             | 2026-01-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2018-1                                                | CUSIP: 89176EAA8<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |     117463 | PA      | $116752.54     | 0.00%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2019-HY2                                              | CUSIP: 89177HAD4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $303672.24     | 0.00%             | 2058-05-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                             | Towd Point Mortgage Trust 2025-HE2                                              | CUSIP: 89183PAA4<br>LEI: 254900HCCXAYNB40M417 | Long             | ABS-O            | CORP              | US        |    7658848 | PA      | $7674744.05    | 0.12%             | 2065-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                   | Toyota Auto Receivables 2024-B Owner Trust                                      | CUSIP: 89237NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25941676 | PA      | $26211951.55   | 0.40%             | 2029-01-16      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| TOYOTA CRED PUERTO RICO                               | Toyota Credit de Puerto Rico Corp                                               | CUSIP: 8923A1CP4<br>LEI: 549300C3PZBB11ZOEC65 | Long             | STIV             | CORP              | PR        |   10000000 | PA      | $9912731.00    | 0.15%             | 2026-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                               | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AP8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     180000 | PA      | $172447.16     | 0.00%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                               | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AS2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    3610000 | PA      | $3634553.56    | 0.06%             | 2036-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                      | Trestles CLO VII Ltd                                                            | CUSIP: 89532XAC1<br>LEI: 254900F81BZ53L0B6092 | Long             | ABS-CBDO         | CORP              | KY        |     650000 | PA      | $651545.05     | 0.01%             | 2037-10-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                      | Trinitas CLO XIV Ltd                                                            | CUSIP: 89641QAY6<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |   29000000 | PA      | $28980077.00   | 0.45%             | 2034-01-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                      | Trinitas CLO XVI Ltd                                                            | CUSIP: 89642DAQ1<br>LEI: 5493004FCKEPFTK2QI86 | Long             | ABS-CBDO         | CORP              | KY        |     860000 | PA      | $859840.90     | 0.01%             | 2034-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                      | Trinitas CLO XVII Ltd                                                           | CUSIP: 89642JAN5<br>LEI: 254900E0LENORBQRRG46 | Long             | ABS-CBDO         | CORP              | KY        |   14700000 | PA      | $14715920.10   | 0.23%             | 2034-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Triumph Rail LLC                                      | Triumph Rail Holdings LLC                                                       | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     403374 | PA      | $389924.69     | 0.01%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                 | Truist Financial Corp                                                           | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     250000 | PA      | $252011.56     | 0.00%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     410000 | PA      | $413315.89     | 0.01%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     271000 | PA      | $271456.90     | 0.00%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 902613BN7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   12828000 | PA      | $13116937.87   | 0.20%             | 2029-09-10      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    6763000 | PA      | $7032487.22    | 0.11%             | 2036-05-09      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| US BANK NA CINCINNATI                                 | US Bank NA/Cincinnati OH                                                        | CUSIP: 90331HPS6<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | DBT              | CORP              | US        |    6238000 | PA      | $6300984.15    | 0.10%             | 2028-05-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     286000 | PA      | $286121.84     | 0.00%             | 2026-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                          | UBS Group AG                                                                    | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     890000 | PA      | $890102.20     | 0.01%             | 2028-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                    | Union Pacific Corp                                                              | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      90000 | PA      | $64928.00      | 0.00%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                    | Union Pacific Corp                                                              | CUSIP: 907818FH6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     160000 | PA      | $149780.72     | 0.00%             | 2030-02-05      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                    | Union Pacific Corp                                                              | CUSIP: 907818FJ2<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     170000 | PA      | $166968.01     | 0.00%             | 2027-02-05      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                    | Union Pacific Corp                                                              | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     220000 | PA      | $148272.57     | 0.00%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                   | United Airlines Inc                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    1040000 | PA      | $1035489.10    | 0.02%             | 2029-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                           | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2010000 | PA      | $1737645.00    | 0.03%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    4284000 | PA      | $3738950.71    | 0.06%             | 2036-11-03      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      40000 | PA      | $39285.92      | 0.00%             | 2028-01-27      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJK7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   14825000 | PA      | $15010308.20   | 0.23%             | 2029-02-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     270000 | PA      | $280639.01     | 0.00%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     100000 | PA      | $106689.10     | 0.00%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJP6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    3430000 | PA      | $3504973.11    | 0.05%             | 2027-10-26      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    2283000 | PA      | $2364472.05    | 0.04%             | 2030-01-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    5083000 | PA      | $5367155.66    | 0.08%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    6676000 | PA      | $6857259.81    | 0.11%             | 2031-02-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                            | US Bancorp                                                                      | CUSIP: 91159HJU5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    3599000 | PA      | $3740549.14    | 0.06%             | 2036-02-12      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21600000 | PA      | $14981625.00   | 0.23%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50310000 | PA      | $33108303.64   | 0.51%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24860000 | PA      | $19669503.97   | 0.30%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  224110000 | PA      | $143946904.08  | 2.22%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26410000 | PA      | $16756938.74   | 0.26%             | 2040-05-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13300000 | PA      | $12809043.00   | 0.20%             | 2054-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6280000 | PA      | $5763617.20    | 0.09%             | 2044-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  180122000 | PA      | $176505488.87  | 2.72%             | 2044-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  182268000 | PA      | $179106789.38  | 2.76%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   96927000 | PA      | $99501623.44   | 1.53%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                             | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37160000 | PA      | $36532925.00   | 0.56%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   82320000 | PA      | $72239015.42   | 1.11%             | 2030-05-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CBB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      10000 | PA      | $9453.13       | 0.00%             | 2027-12-31      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  224160000 | PA      | $210579055.69  | 3.25%             | 2028-08-31      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  168510000 | PA      | $159663225.00  | 2.46%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33000000 | PA      | $32725429.77   | 0.50%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      12000 | PA      | $12339.38      | 0.00%             | 2028-09-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21740000 | PA      | $22628282.92   | 0.35%             | 2031-05-31      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12000000 | PA      | $12126093.72   | 0.19%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  141139000 | PA      | $142307807.34  | 2.19%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  203705000 | PA      | $205240744.22  | 3.16%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13577000 | PA      | $13691555.94   | 0.21%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CPC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55830000 | PA      | $55773297.94   | 0.86%             | 2028-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   97670000 | PA      | $97692891.89   | 1.51%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16290000 | PA      | $16055831.25   | 0.25%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                             | CUSIP: 91282CPL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   62750000 | PA      | $62629892.74   | 0.97%             | 2027-11-30      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      50000 | PA      | $40916.05      | 0.00%             | 2048-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PDP4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      70000 | PA      | $69946.00      | 0.00%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      40000 | PA      | $33615.91      | 0.00%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PDU3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     560000 | PA      | $415791.61     | 0.01%             | 2049-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     160000 | PA      | $114846.82     | 0.00%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      70000 | PA      | $69931.38      | 0.00%             | 2026-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     230000 | PA      | $209767.46     | 0.00%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     120000 | PA      | $76620.79      | 0.00%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      20000 | PA      | $12070.20      | 0.00%             | 2060-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      40000 | PA      | $36072.42      | 0.00%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     200000 | PA      | $199800.96     | 0.00%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                | UnitedHealth Group Inc                                                          | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     240000 | PA      | $236946.24     | 0.00%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| VNO Mortgage Trust                                    | VNDO Trust 2016-350P                                                            | CUSIP: 91831UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1080000 | PA      | $1072556.21    | 0.02%             | 2035-01-10      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| SWAP CCPC JP MORGAN COC                               | SWAP CCPC JP MORGAN COC                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    5463085 | NS      | $5463084.90    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| SWAP CCPC JP MORGAN COC                               | SWAP CCPC JP MORGAN COC                                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -5605454 | NS      | $-5605453.66   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Venture CDO Ltd                                       | Venture 42 CLO Ltd                                                              | CUSIP: 923260AC7<br>LEI: 5493005OM8P21GK6YE73 | Long             | ABS-CBDO         | CORP              | KY        |   13700000 | PA      | $13706069.10   | 0.21%             | 2034-04-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                              | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    6969000 | PA      | $5975303.04    | 0.09%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                       | Venture 34 CLO Ltd                                                              | CUSIP: 92332CAE9<br>LEI: 549300MYRV6PEDBLPL32 | Long             | ABS-CBDO         | CORP              | KY        |    3270915 | PA      | $3271880.36    | 0.05%             | 2031-10-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     530000 | PA      | $424958.65     | 0.01%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      20000 | PA      | $17764.85      | 0.00%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     220000 | PA      | $212260.68     | 0.00%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     130000 | PA      | $130854.14     | 0.00%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VDV3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      30000 | PA      | $28872.45      | 0.00%             | 2047-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     840000 | PA      | $826691.50     | 0.01%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     210000 | PA      | $160029.07     | 0.00%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     170000 | PA      | $162799.62     | 0.00%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     840000 | PA      | $739398.00     | 0.01%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     100000 | PA      | $71373.84      | 0.00%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     398000 | PA      | $363451.00     | 0.01%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      60000 | PA      | $46980.98      | 0.00%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     296000 | PA      | $291433.39     | 0.00%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5010000 | PA      | $5092103.58    | 0.08%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VHF4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    4945000 | PA      | $4941127.67    | 0.08%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                      | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2240000 | PA      | $2213123.02    | 0.03%             | 2055-11-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                  | Verizon Master Trust                                                            | CUSIP: 92348KCQ4<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   15527000 | PA      | $15829725.26   | 0.24%             | 2030-04-22      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| TBA MORGAN STANLEY COC                                | TBA MORGAN STANLEY COC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1206000 | NS      | $1206000.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA MORGAN STANLEY COC                                | TBA MORGAN STANLEY COC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -755000 | NS      | $-755000.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA MERRILL LYNCH COC                                 | TBA MERRILL LYNCH COC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -105000 | NS      | $-105000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA GOLDMAN SACHS COC                                 | TBA GOLDMAN SACHS COC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    3130000 | NS      | $3130000.00    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA GOLDMAN SACHS COC                                 | TBA GOLDMAN SACHS COC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -2010000 | NS      | $-2010000.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA GOLDMAN SACHS BOC                                 | TBA GOLDMAN SACHS BOC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    7000000 | NS      | $7000000.00    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA GOLDMAN SACHS BOC                                 | TBA GOLDMAN SACHS BOC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -1850000 | NS      | $-1850000.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA JP MORGAN BOC                                     | TBA JP MORGAN BOC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -2908000 | NS      | $-2908000.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA CITIGROUP BOC                                     | TBA CITIGROUP BOC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     862000 | NS      | $862000.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA CITIGROUP BOC                                     | TBA CITIGROUP BOC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -114000 | NS      | $-114000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA CITIGROUP COC                                     | TBA CITIGROUP COC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      24000 | NS      | $24000.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA CITIGROUP COC                                     | TBA CITIGROUP COC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |  -11897000 | NS      | $-11897000.00  | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA CITIBANK BOC                                      | TBA CITIBANK BOC                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     752000 | NS      | $752000.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA CITIBANK BOC                                      | TBA CITIBANK BOC                                                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -452000 | NS      | $-452000.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA JP MORGAN COC                                     | TBA JP MORGAN COC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1048000 | NS      | $1048000.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA MERRILL LYNCH BOC                                 | TBA MERRILL LYNCH BOC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |      61000 | NS      | $61000.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA MORGAN STANLEY BOC                                | TBA MORGAN STANLEY BOC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1759000 | NS      | $1759000.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA MORGAN STANLEY BOC                                | TBA MORGAN STANLEY BOC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -613000 | NS      | $-613000.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA WELLS FARGO BOC                                   | TBA WELLS FARGO BOC                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     340000 | NS      | $340000.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA WELLS FARGO BOC                                   | TBA WELLS FARGO BOC                                                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -226000 | NS      | $-226000.37    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA TBA COC                                        | NOMURA TBA COC                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     385000 | NS      | $385000.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NOMURA TBA COC                                        | NOMURA TBA COC                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -255000 | NS      | $-255000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA BANK OF AMERICA COC                               | TBA BANK OF AMERICA COC                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1701000 | NS      | $1701000.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA BANK OF AMERICA COC                               | TBA BANK OF AMERICA COC                                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -1714000 | NS      | $-1714000.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA BARCLAYS BANK COC                                 | TBA BARCLAYS BANK COC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     540000 | NS      | $540000.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA BARCLAYS BANK COC                                 | TBA BARCLAYS BANK COC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -840000 | NS      | $-840000.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TBA CITIBANK COC                                      | TBA CITIBANK COC                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   11662000 | NS      | $11662000.00   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| VERTIV GROUP CORPORATION                              | Vertiv Group Corp                                                               | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |    7417000 | PA      | $7325844.33    | 0.11%             | 2028-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                            | Verus Securitization Trust 2024-6                                               | CUSIP: 92540JAC6<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |     177337 | PA      | $179304.99     | 0.00%             | 2069-07-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                            | Verus Securitization Trust 2025-1                                               | CUSIP: 92540TAC4<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |     283167 | PA      | $285988.54     | 0.00%             | 2070-01-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              |  | US        |    2690000 | PA      | $2684750.22    | 0.04%             | 2029-12-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                    | VICI Properties LP                                                              | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    7877000 | PA      | $7971548.97    | 0.12%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                    | VICI Properties LP                                                              | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    3192000 | PA      | $3259634.94    | 0.05%             | 2035-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| TBA NOMURA BOC USD                                    | TBA NOMURA BOC USD                                                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -106000 | NS      | $-106000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| VIPER ENERGY PARTNERS LL                              | Viper Energy Partners LLC                                                       | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |    1945000 | PA      | $1967309.15    | 0.03%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LL                              | Viper Energy Partners LLC                                                       | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     200000 | PA      | $204106.00     | 0.00%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                              | Virginia Electric and Power Co                                                  | CUSIP: 927804GV0<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    3250000 | PA      | $3234604.46    | 0.05%             | 2035-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                              | Vistra Operations Co LLC                                                        | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   16079000 | PA      | $17917440.70   | 0.28%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                              | Vistra Operations Co LLC                                                        | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    2790000 | PA      | $2936009.07    | 0.05%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                              | Vistra Operations Co LLC                                                        | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    3425000 | PA      | $3423612.19    | 0.05%             | 2030-10-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| VLS Commercial Mortgage Trust                         | VLS Commercial Mortgage Trust 2020-LAB                                          | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     480000 | PA      | $411495.70     | 0.01%             | 2042-10-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Lease Trust                           | Volkswagen Auto Lease Trust 2024-A                                              | CUSIP: 92866EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   31053000 | PA      | $31217984.59   | 0.48%             | 2027-06-21      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| TBA BONY BOC USD                                      | TBA BONY BOC USD                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     142000 | NS      | $142000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA STATE STREET BANK COC                             | TBA STATE STREET BANK COC                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     539000 | NS      | $539000.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TBA STATE STREET BANK BOC                             | TBA STATE STREET BANK BOC                                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -7438000 | NS      | $-7438000.00   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Warwick Capital CLO Ltd                               | Warwick Capital CLO 7 Ltd                                                       | CUSIP: 93656JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     760000 | PA      | $760829.92     | 0.01%             | 2038-10-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                 | Waste Connections Inc                                                           | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    6740000 | PA      | $6882776.12    | 0.11%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TBA BOC STONEX USD                                    | TBA BOC STONEX USD                                                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -222000 | NS      | $-222000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     330000 | PA      | $327586.85     | 0.01%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      10000 | PA      | $8762.59       | 0.00%             | 2044-11-04      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     204000 | PA      | $204795.17     | 0.00%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     360000 | PA      | $324041.50     | 0.00%             | 2045-11-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     610000 | PA      | $509668.47     | 0.01%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     580000 | PA      | $509624.11     | 0.01%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2024-C63                                  | CUSIP: 94990FAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     350000 | PA      | $361943.75     | 0.01%             | 2057-08-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                 | CUSIP: 95000GAY0<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |    7211000 | PA      | $7134372.31    | 0.11%             | 2049-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                 | CUSIP: 95000GBB9<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |    3530300 | PA      | $4205.65       | 0.00%             | 2049-08-15      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2016-C36                                  | CUSIP: 95000MBS9<br>LEI: 549300BSYX29G4VVM177 | Long             | ABS-MBS          | CORP              | US        |    7474325 | PA      | $28365.81      | 0.00%             | 2059-11-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     410000 | PA      | $410950.59     | 0.01%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     430000 | PA      | $409055.99     | 0.01%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     390000 | PA      | $392577.13     | 0.01%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2310000 | PA      | $2111019.42    | 0.03%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     230000 | PA      | $224731.61     | 0.00%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     640000 | PA      | $597335.57     | 0.01%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5156000 | PA      | $5339140.76    | 0.08%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    9622000 | PA      | $10084931.45   | 0.16%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    7069000 | PA      | $7296643.93    | 0.11%             | 2031-04-23      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust          | Wells Fargo Mortgage Backed Securities 2020-1 Trust                             | CUSIP: 95002KAA1<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |     532756 | PA      | $461617.83     | 0.01%             | 2049-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2020-C58                                  | CUSIP: 95002UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2991000 | PA      | $2682065.59    | 0.04%             | 2053-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2025-5C6                                  | CUSIP: 95004TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   76014533 | PA      | $4224477.28    | 0.07%             | 2058-10-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| TBBC INTL FC STONE BOC                                | TBBC INTL FC STONE BOC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     222000 | NS      | $222000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WILLIAMS COMPANIES INC                                | Williams Cos Inc/The                                                            | CUSIP: 969457BM1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     120000 | PA      | $145582.52     | 0.00%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                | Williams Cos Inc/The                                                            | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     190000 | PA      | $174373.76     | 0.00%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                | Williams Cos Inc/The                                                            | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      50000 | PA      | $43796.59      | 0.00%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                | Williams Cos Inc/The                                                            | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     270000 | PA      | $241632.30     | 0.00%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Woodmont Trust                                        | Woodmont 2023-12 Trust                                                          | CUSIP: 979926AN2<br>LEI: 254900XKHBCNXQQ84W37 | Long             | ABS-CBDO         | CORP              | KY        |     930049 | PA      | $931022.79     | 0.01%             | 2032-10-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                       | Xcel Energy Inc                                                                 | CUSIP: 98389BBE9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6731185.05    | 0.10%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                            | Zoetis Inc                                                                      | CUSIP: 98978VAX1<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6571222.13    | 0.10%             | 2035-08-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SWAP GOLDMAN SACHS COC                                | SWAP GOLDMAN SACHS COC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |        100 | NS      | $100.21        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-15

**Name of Applicant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

**Signature:** James Hoffmayer

**Name of Signer:** James Hoffmayer

**Title:** VP