# EDGAR Filing Document

**Accession Number:** 0001364924
**File Stem:** 0000035402-26-002683
**Filing Date:** 2026-4
**Character Count:** 3899281
**Document Hash:** 68b7e5dd3bc38734581d81e1668ab5fa
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-26-002683.hdr.sgml**: 20260424

**ACCESSION NUMBER**: 0000035402-26-002683

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260424

**DATE AS OF CHANGE**: 20260424

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Rutland Square Trust II
- **CENTRAL INDEX KEY:** 0001364924

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21991
- **FILM NUMBER:** 26895599

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

## Series and Classes Contracts Data

### Strategic Advisers Fidelity Core Income Fund (Series ID: S000062265)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000201710 | Strategic Advisers Fidelity Core Income Fund | FIWGX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Strategic Advisers® Fidelity® Core Income Fund**

*Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public*

**February 28, 2026**

COI-NPRT3-0426

1.9887941.107 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 4.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 4.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 4.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.2%  |  |  |
| Aimco Clo 17 Ltd / Aimco Clo 17 LLC Series 2024-17A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.0192% 7/20/2037 (b)(c)(o) | 14150000 | 14169286 |
| Aimco Clo 22 Ltd / Aimco Clo 22 LLC Series 2024-22A Class A, CME Term SOFR 3 month Index + 1.5%, 5.1676% 4/19/2037 (b)(c)(o) | 23550000 | 23589612 |
| Ares Lxx Clo Ltd / Ares Lxx Clo LLC Series 2025-70A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.918% 1/25/2039 (b)(c)(o) | 11334000 | 11340268 |
| Bain Cap Cr Clo Ltd / Bain Cap Cr Clo LLC Series 2025-2A Class A1R, CME Term SOFR 3 month Index + 1.32%, 4.9876% 7/18/2038 (b)(c)(o) | 13075000 | 13123887 |
| Bain Capital Credit Clo Ltd Series 2025-4A Class A1R, CME Term SOFR 3 month Index + 1.23%, 4.9597% 1/21/2039 (b)(c)(o) | 13272000 | 13325181 |
| Blueberry Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.35%, 5.0176% 10/20/2037 (b)(c)(o) | 12672000 | 12702704 |
| Flatiron Clo 26 Ltd / Flatiron Clo 26 LLC Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.33%, 5.0022% 1/15/2038 (b)(c)(o) | 11218000 | 11264902 |
| Hamlin Pk Clo Ltd / Hamlin Pk Clo LLC Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.34%, 5.0076% 10/20/2037 (b)(c)(o) | 11370000 | 11408874 |
| Hartwick Park Clo Ltd Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.16%, 4.8276% 1/20/2037 (b)(c)(o) | 10991000 | 11005178 |
| Invesco US CLO Ltd Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.51%, 5.1776% 7/20/2037 (b)(c)(o) | 12220000 | 12254167 |
| Neuberger Berman Ln Advisers Nbla CLO Ltd / Neuberger Berman Ln Series 2026-50A Class AR2, CME Term SOFR 3 month Index + 1.04%, 4.6989% 7/23/2036 (b)(c)(o) | 13300000 | 13301796 |
| OCP Aegis CLO Ltd Series 2024-39A Class D1, CME Term SOFR 3 month Index + 2.8%, 6.4711% 1/16/2037 (b)(c)(o) | 250000 | 250000 |
| Ocp CLO Aegis Ltd Series 2026-39A Class AR, CME Term SOFR 3 month Index + 1.09%, 1.09% 4/16/2038 (b)(c)(o) | 9037000 | 9037000 |
| Valley Stream Pk Clo Ltd / Vy Stream Pk Clo LLC Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.19%, 4.8576% 1/20/2037 (b)(c)(o) | 19200000 | 19215994 |
| TOTAL BAILIWICK OF JERSEY |  | 175988849 |
| BERMUDA - 0.0%  |  |  |
| RR Ltd Series 2026-25A Class A1A2, CME Term SOFR 3 month Index + 1.18%, 4.8491% 4/15/2041 (b)(c)(o) | 8513000 | 8512957 |
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (o) | 2390790 | 2415923 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (o) | 8613732 | 8721954 |
| Evergreen Cr Card Tr Series 2025-CRT5 Class B, 5.24% 5/15/2029 (o) | 980000 | 991925 |
| TOTAL CANADA |  | 12129802 |
| GRAND CAYMAN (UK OVERSEAS TER) - 1.1%  |  |  |
| Aimco CLO 11 Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.34%, 5.0076% 7/17/2037 (b)(c)(o) | 25100000 | 25179115 |
| AIMCO CLO Series 2024-BA Class ARR, CME Term SOFR 3 month Index + 1.5%, 5.1711% 4/16/2037 (b)(c)(o) | 18732000 | 18755040 |
| Allegro Clo Ltd Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.34%, 5.0076% 7/20/2038 (b)(c)(o) | 8250000 | 8276796 |
| Ares LIV CLO Ltd Series 2025-54A Class AR2, CME Term SOFR 3 month Index + 1.31%, 4.9822% 7/15/2038 (b)(c)(o) | 21989000 | 22070117 |
| Ares Lv Clo Ltd Series 2024-55A Class A1R2, CME Term SOFR 3 month Index + 1.37%, 5.0422% 10/15/2037 (b)(c)(o) | 7566000 | 7576562 |
| Ares Lviii Clo Ltd / Ares Lviii Clo LLC Series 2025-58A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 4.9122% 4/15/2038 (b)(c)(o) | 11529000 | 11520030 |
| Ares XLI Clo Ltd Series 2021-41A Class AR2, CME Term SOFR 3 month Index + 1.3316%, 5.0038% 4/15/2034 (b)(c)(o) | 24780000 | 24808299 |
| Babson CLO Ltd/Cayman Islands Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.26%, 4.9322% 1/15/2038 (b)(c)(o) | 7970000 | 7996229 |
| Bain Capital Credit Clo Ltd Series 2025-5A Class ARR, CME Term SOFR 3 month Index + 1.15%, 4.8176% 4/20/2034 (b)(c)(o) | 10140000 | 10149592 |
| Barings Clo Ltd Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.0376% 10/20/2037 (b)(c)(o) | 11089000 | 11117055 |
| Bbam US Clo I Ltd Series 2025-1A Class D1R, CME Term SOFR 3 month Index + 3%, 6.6722% 3/30/2038 (b)(c)(o) | 125000 | 122880 |
| BCRED BSL Static Clo Ltd / LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.918% 7/24/2035 (b)(c)(o) | 8617135 | 8625993 |
| Benefit Str Partners Clo Xxxiii Ltd / Benefit Str Partners Clo Xxxiii LLC Series 2026-33A Class AR, CME Term SOFR 3 month Index + 1.19%, 4.8542% 1/25/2039 (b)(c)(o) | 11297000 | 11317007 |
| Benefit Street Partners Clo 44 Ltd / LLC Series 2025-44A Class A1, CME Term SOFR 3 month Index + 1.22%, 4.944% 1/15/2039 (b)(c)(o) | 11362000 | 11384224 |
| Benefit Street Partners CLO Ltd Series 2025-43A Class A, CME Term SOFR 3 month Index + 1.27%, 5.1875% 10/20/2038 (b)(c)(o) | 12249000 | 12273498 |
| Benefit Street Partners Clo Xxii Ltd Series 2025-22A Class ARR, CME Term SOFR 3 month Index + 1.15%, 4.8176% 4/20/2035 (b)(c)(o) | 10670000 | 10683295 |
| Benefit Street Partners Clo Xxv Ltd Series 2025-25A Class A1R, CME Term SOFR 3 month Index + 1%, 4.6722% 1/15/2035 (b)(c)(o) | 5893000 | 5894137 |
| BETHP Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.0638% 1/15/2035 (b)(c)(o) | 9332000 | 9347958 |
| Buckhorn Park Clo Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.07%, 4.7376% 7/18/2034 (b)(c)(o) | 6900000 | 6906369 |
| Carlyle US CLO Ltd Series 2024-10A Class A1R, CME Term SOFR 3 month Index + 1.31%, 4.9776% 1/20/2038 (b)(c)(o) | 16231000 | 16253512 |
| Carlyle US Clo Ltd Series 2024-6A Class E, CME Term SOFR 3 month Index + 5.75%, 9.418% 10/25/2037 (b)(c)(o) | 150000 | 143771 |
| Carlyle US Clo Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.22%, 4.8789% 1/20/2039 (b)(c)(o) | 12865000 | 12892094 |
| Cedar Fdg Xii Clo Ltd / Cedar Fdg Xii Clo LLC Series 2025-12A Class ARR, CME Term SOFR 3 month Index + 1.2%, 4.868% 1/25/2038 (b)(c)(o) | 10548000 | 10537452 |
| Cedar Fdg Xvii Clo Ltd Series 2025-17A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.0197% 7/20/2038 (b)(c)(o) | 21114000 | 21185809 |
| Cedar Funding Ltd Series 2024-10A Class AR2, CME Term SOFR 3 month Index + 1.36%, 5.0276% 10/20/2037 (b)(c)(o) | 9231000 | 9265321 |
| Cifc Funding 2021-Iii Ltd Series 2025-3A Class A1R, CME Term SOFR 3 month Index + 1.23%, 4.9022% 10/15/2038 (b)(c)(o) | 21027000 | 21029355 |
| Cifc Funding 2025-Vi Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.25%, 5.1098% 10/23/2038 (b)(c)(o) | 7723000 | 7739064 |
| CIFC Funding Ltd Series 2025-4A Class D2R, CME Term SOFR 3 month Index + 3.75%, 7.4176% 1/17/2038 (b)(c)(o) | 100000 | 98496 |
| CIFC Funding Ltd Series 2025-5A Class A1R2, CME Term SOFR 3 month Index + 1.27%, 4.9422% 10/15/2038 (b)(c)(o) | 11640000 | 11655330 |
| Clover Clo Ltd Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1%, 4.6676% 4/18/2035 (b)(c)(o) | 13065000 | 13068109 |
| Dryden 104 Clo Ltd / Dryden 104 Clo LLC Series 2024-104A Class A1R, CME Term SOFR 3 month Index + 1.29%, 4.9456% 8/20/2034 (b)(c)(o) | 6800000 | 6812770 |
| Dryden 68 Clo Ltd Series 2024-68A Class ARR, CME Term SOFR 3 month Index + 1.1%, 4.7722% 7/15/2035 (b)(c)(o) | 5800000 | 5795366 |
| Dryden CLO Ltd Series 2022-98A Class A, CME Term SOFR 3 month Index + 1.3%, 4.9697% 4/20/2035 (b)(c)(o) | 9710000 | 9710000 |
| Dryden CLO Ltd Series 2024-83A Class AR, CME Term SOFR 3 month Index + 1.53%, 5.1976% 4/18/2037 (b)(c)(o) | 12450000 | 12466061 |
| Dryden CLO Ltd Series 2024-85A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.0522% 7/15/2037 (b)(c)(o) | 17132000 | 17149423 |
| Eaton Vance CLO Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.0622% 10/15/2037 (b)(c)(o) | 11494000 | 11528264 |
| Eaton Vance CLO Ltd Series 2024-2A Class AR2, CME Term SOFR 3 month Index + 1.38%, 5.0522% 10/15/2037 (b)(c)(o) | 11970000 | 11987512 |
| Flat Series 2025-30A Class A1, CME Term SOFR 3 month Index + 1.16%, 4.8322% 4/15/2038 (b)(c)(o) | 11507000 | 11507000 |
| Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 4.8956% 11/20/2038 (b)(c)(o) | 23429000 | 23459013 |
| Flatiron Clo 28 Ltd / Flatiron Clo LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.08%, 4.7522% 7/15/2036 (b)(c)(o) | 13800000 | 13825378 |
| Flatiron CLO 31 Ltd Series 2025-31A Class A1, CME Term SOFR 3 month Index + 1.2%, 4.8969% 1/18/2039 (b)(c)(o) | 11335000 | 11357092 |
| Flatiron Clo 32 Ltd Series 2025-32A Class A1, CME Term SOFR 3 month Index + 1.29%, 4.9592% 10/22/2038 (b)(c)(o) | 11629000 | 11661631 |
| Flatiron Clo Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.0276% 10/19/2037 (b)(c)(o) | 15193000 | 15241937 |
| Flatiron Rr Clo 30 Ltd Series 2025-30A Class E, CME Term SOFR 3 month Index + 5.25%, 8.9222% 4/15/2038 (b)(c)(o) | 200000 | 201337 |
| Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (o) | 6219560 | 6172783 |
| Invesco CLO 2021-3 Ltd Series 2025-3A Class A1R, CME Term SOFR 3 month Index + 1.08%, 4.7492% 10/22/2034 (b)(c)(o) | 7000000 | 7008918 |
| Invesco US CLO Series 2024-1RA Class AR, CME Term SOFR 3 month Index + 1.55%, 5.2222% 4/15/2037 (b)(c)(o) | 10990000 | 10987637 |
| Lakeside Pk Clo Ltd / Lakeside Pk Clo LLC Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 4.8222% 4/15/2038 (b)(c)(o) | 8302000 | 8302000 |
| Madison Pk Fdg Lxvii Ltd / Madison Pk Fdg Lxvii LLC Series 2024-67A Class A1, CME Term SOFR 3 month Index + 1.51%, 5.178% 4/25/2037 (b)(c)(o) | 21830000 | 21872481 |
| Madison Pk Fdg Xlv Ltd / Madison Pk Fdg Xlv LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 4.7522% 7/15/2034 (b)(c)(o) | 13160000 | 13169528 |
| Magnetite CLO LTD Series 2025-36A Class AR, CME Term SOFR 3 month Index + 1.32%, 4.988% 7/25/2038 (b)(c)(o) | 11611000 | 11660138 |
| Magnetite Clo Ltd Series 2025-45A Class A1, CME Term SOFR 3 month Index + 1.15%, 4.8222% 4/15/2038 (b)(c)(o) | 8033000 | 8034872 |
| Magnetite Xli Ltd Series 2024-41A Class A, CME Term SOFR 3 month Index + 1.29%, 4.958% 1/25/2038 (b)(c)(o) | 9690000 | 9721415 |
| Magnetite Xxiii Ltd Series 2026-23A Class AR2, CME Term SOFR 3 month Index + 0.99%, 4.6371% 1/25/2035 (b)(c)(o) | 7400000 | 7406379 |
| Magnetite Xxix Ltd / Magnetite Xxix LLC Series 2024-29A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.0222% 7/15/2037 (b)(c)(o) | 13105000 | 13123675 |
| Magnetite Xxvi Ltd / Magnetite Xxvi LLC Series 2025-26A Class AR2, CME Term SOFR 3 month Index + 1.15%, 4.818% 1/25/2038 (b)(c)(o) | 10650000 | 10661236 |
| Magnetite Xxviii Ltd Series 2025-28A Class A1RR, CME Term SOFR 3 month Index + 1.24%, 4.9122% 1/15/2038 (b)(c)(o) | 17202000 | 17237144 |
| Morgan Stanley Eaton Vance CLO Ltd / LLC Series 2025-21A Class A1, CME Term SOFR 3 month Index + 1.17%, 4.8422% 4/15/2038 (b)(c)(o) | 13700000 | 13700000 |
| Neuberger Berman Loan Advisers Clo 25 Ltd Series 2024-25A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.0676% 7/18/2038 (b)(c)(o) | 14150000 | 14166287 |
| Ocp Aegis Clo Ltd Series 2025-47A Class A1, CME Term SOFR 3 month Index + 1.11%, 4.8574% 1/21/2038 (b)(c)(o) | 10296000 | 10307892 |
| OCP Clo Ltd Series 2025-44A Class A, CME Term SOFR 3 month Index + 1.3%, 5.5622% 10/24/2038 (b)(c)(o) | 12276000 | 12304235 |
| OCP CLO Ltd Series 2025-46A Class A, CME Term SOFR 3 month Index + 1.2%, 5.0473% 10/15/2038 (b)(c)(o) | 7990000 | 8003655 |
| Oha Cr Fdg 4 Ltd / Oha Cr Fdg 4 LLC Series 2024-4A Class AR2, CME Term SOFR 3 month Index + 1.29%, 4.9592% 1/22/2038 (b)(c)(o) | 16000000 | 16043984 |
| Oha Credit Funding 14-R Ltd Series 2025-14RA Class A, CME Term SOFR 3 month Index + 1.23%, 4.8976% 4/20/2038 (b)(c)(o) | 7584000 | 7596931 |
| Oha Credit Funding 22 Ltd Series 2025-22A Class A1, CME Term SOFR 3 month Index + 1.33%, 4.9976% 7/20/2038 (b)(c)(o) | 6319000 | 6331701 |
| OHA Credit Funding 6 Ltd Series 2024-6A Class AR2, CME Term SOFR 3 month Index + 1.33%, 4.9976% 10/20/2037 (b)(c)(o) | 16110000 | 16179112 |
| OHA Credit Partners Ltd Series 2024-18A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.1676% 4/20/2037 (b)(c)(o) | 18840000 | 18880921 |
| OHA Credit Partners Ltd Series 2024-18A Class A2, CME Term SOFR 3 month Index + 1.65%, 5.3176% 4/20/2037 (b)(c)(o) | 1300000 | 1301933 |
| Oha Credit Partners VII Ltd Series 2025-7A Class AR4, CME Term SOFR 3 month Index + 1.14%, 5.029% 2/20/2038 (b)(c)(o) | 10336000 | 10328496 |
| Oha Credit Partners VII Ltd Series 2025-7A Class D1R4, CME Term SOFR 3 month Index + 2.5%, 6.389% 2/20/2038 (b)(c)(o) | 150000 | 146424 |
| OHA Credit Partners XVII Ltd Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.32%, 4.9876% 1/18/2038 (b)(c)(o) | 9640000 | 9640000 |
| Palmer Square Clo Ltd Series 2025-5A Class A, CME Term SOFR 3 month Index + 1.21%, 5.0937% 10/20/2038 (b)(c)(o) | 12518000 | 12536527 |
| Palmer Square CLO Ltd Series 2026-1A Class A, CME Term SOFR 3 month Index + 1.19%, 0% 4/20/2039 (b)(c)(d)(o) | 9887000 | 9891489 |
| Palmer Square Ln Fdg 2025-2 Ltd / Palmer Square Ln Fdg 2025-2 LLC Series 2025-2A Class A1, CME Term SOFR 3 month Index + 0.94%, 4.6122% 7/15/2033 (b)(c)(o) | 22149597 | 22163130 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class A1N, CME Term SOFR 3 month Index + 1%, 4.6722% 1/15/2033 (b)(c)(o) | 9622247 | 9622247 |
| Palmer Square Loan Funding Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 0.8%, 4.4525% 2/15/2033 (b)(c)(o) | 10201886 | 10195214 |
| Peace Park Clo Ltd Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.9176% 10/20/2038 (b)(c)(o) | 14148000 | 14133951 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/2044 (o) | 4169923 | 4148281 |
| Rr 34 Ltd Series 2024-34RA Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.0222% 10/15/2039 (b)(c)(o) | 13007000 | 13007000 |
| Rr 7 Ltd Series 2022-7A Class A1AB, CME Term SOFR 3 month Index + 1.34%, 5.0122% 1/15/2037 (b)(c)(o) | 15740000 | 15763846 |
| RR Ltd Series 2025-16A Class A1R, CME Term SOFR 3 month Index + 1.05%, 4.7222% 7/15/2036 (b)(c)(o) | 10300000 | 10300979 |
| RR Ltd Series 2026-44A Class A1A, CME Term SOFR 3 month Index + 1.17%, 0% 4/15/2041 (b)(c)(d)(o) | 12868000 | 12868631 |
| Sixth Street Clo Xix Ltd Series 2025-19A Class A1R, CME Term SOFR 3 month Index + 1.28%, 4.9476% 7/17/2038 (b)(c)(o) | 7550000 | 7578615 |
| Sixth Street Clo Xviii Ltd Series 2025-18A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.9176% 10/17/2038 (b)(c)(o) | 11630000 | 11671275 |
| Sixth Street CLO XX Ltd Series 2025-20A Class A1R, CME Term SOFR 3 month Index + 1.32%, 4.9876% 7/17/2038 (b)(c)(o) | 9562000 | 9597638 |
| SLAM Ltd. / SLAM LLC Series 2021-1A Class A, 2.434% 6/15/2046 (o) | 3580214 | 3433915 |
| Symphony Clo 43 Ltd Series 2024-43A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.1922% 4/15/2037 (b)(c)(o) | 14100000 | 14119303 |
| TCI-Symphony CLO Ltd Series 2021-1A Class AR, CME Term SOFR 3 month Index + 1.1916%, 4.8638% 7/15/2030 (b)(c)(o) | 189388 | 189476 |
| Thunderbolt Aircraft Lease Series 2018-A Class A, 5.96% 9/15/2038 (c)(o) | 820863 | 821264 |
| Thunderbolt III Aircraft Lease Ltd Series 2019-1 Class A, 3.671% 11/15/2039 (o) | 12470547 | 12379001 |
| Trapeza Cdo Xii Ltd Series 2007-12A Class B, CME Term SOFR 3 month Index + 0.8216%, 4.4714% 4/6/2042 (b)(c)(o) | 1380000 | 1092243 |
| Voya Clo 2022-1 Ltd / Voya Clo 2022-1 LLC Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.9176% 4/20/2035 (b)(c)(o) | 8170000 | 8184780 |
| Voya Clo Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.1922% 4/15/2037 (b)(c)(o) | 6280000 | 6297126 |
| Voya CLO Ltd/Voya CLO LLC Series 2025-2A Class A1RR, CME Term SOFR 3 month Index + 1.31%, 4.9776% 1/20/2038 (b)(c)(o) | 3951000 | 3957594 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 1014818595 |
| IRELAND - 0.0%  |  |  |
| Volofin Finance Designated Activity Co Series 2024-1A Class A, 5.935% 6/15/2037 (o) | 6917096 | 7049077 |
| MULTI-NATIONAL - 0.0%  |  |  |
| Allegro Clo Xv Ltd / Allegro Clo Vx LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.18%, 4.8476% 4/20/2038 (b)(c)(o) | 12690000 | 12704670 |
| Ocp Clo 2018-15 Ltd Series 2025-15A Class AR, CME Term SOFR 3 month Index + 1.25%, 4.9176% 1/20/2038 (b)(c)(o) | 7637000 | 7661255 |
| TOTAL MULTI-NATIONAL |  | 20365925 |
| UNITED STATES - 3.4%  |  |  |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A1, 6.261% 5/16/2049 (o) | 17356598 | 17884966 |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A2, 6.261% 5/16/2049 (o) | 15814032 | 16295441 |
| Aaset 2025-1 Ltd / Aaset 2025-1 LLC Series 2025-1A Class A, 5.943% 2/16/2050 (o) | 11162398 | 11488145 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (o) | 4964475 | 4832858 |
| AASET Trust Series 2021-2A Class A, 2.798% 1/15/2047 (o) | 14823747 | 14223844 |
| AASET Trust Series 2022-1A Class A, 6% 5/16/2047 (o) | 4625801 | 4752478 |
| Achv Abs Trust Series 2024-3AL Class A, 5.01% 12/26/2031 (o) | 1643678 | 1659999 |
| Affirm Asset Securitization Trust Series 2024-B Class A, 4.62% 9/15/2029 (o) | 23600000 | 23662070 |
| Affirm Asset Securitization Trust Series 2025-X1 Class A, 5.08% 4/15/2030 (o) | 2258598 | 2261521 |
| Affirm Master Trust Series 2025-2A Class A, 4.67% 7/15/2033 (o) | 23835000 | 24004979 |
| Affirm Master Trust Series 2025-3A Class A, 4.45% 10/16/2034 (o) | 47100000 | 47450396 |
| Affirm Master Trust Series 2026-1A Class A, 4.37% 2/15/2034 (o) | 29940000 | 30111149 |
| Affirm Master Trust Series 2026-1A Class B, 4.57% 2/15/2034 (o) | 7000000 | 7025575 |
| Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/2028  | 10141976 | 10207605 |
| Altde Trust Series 2025-1A Class A, 5.9% 8/15/2050 (o) | 12175807 | 12520627 |
| American Express Credit Account Master Trust Series 2024-2 Class A, 5.24% 4/15/2031  | 7800000 | 8164705 |
| American Tower Trust #1 Series 2023, 5.49% 3/15/2053 (o) | 5029000 | 5126820 |
| Amur Equip Fin Receivables Xv LLC Series 2025-1A Class A2, 4.7% 9/22/2031 (o) | 2763726 | 2793716 |
| Amur Equipment Finance Receivables Xiv LLC Series 2024-2A Class A2, 5.19% 7/21/2031 (o) | 4090841 | 4147309 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (o) | 730036 | 725078 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class B, 4.335% 1/16/2040 (o) | 141336 | 140640 |
| ARI Fleet Lease Trust Series 2023-A Class A3, 5.33% 2/17/2032 (o) | 4663819 | 4689822 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (o) | 2951488 | 2970590 |
| ARI Fleet Lease Trust Series 2024-B Class A3, 5.26% 4/15/2033 (o) | 7820000 | 7971608 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (o) | 5208001 | 5225625 |
| ARI Fleet Lease Trust Series 2025-A Class B, 4.7% 1/17/2034 (o) | 1250000 | 1272005 |
| ARI Fleet Lease Trust Series 2026-A Class A3, 4.09% 11/15/2034 (o) | 2500000 | 2520352 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (o) | 4921452 | 4931008 |
| AutoNation Finance Trust Series 2026-1A Class A3, 4.03% 8/12/2030 (o) | 7700000 | 7743014 |
| Avis Budget Rental Car Funding AESOP LLC Series 2022-1A Class A, 3.83% 8/21/2028 (o) | 53202000 | 53102194 |
| Avis Budget Rental Car Funding AESOP LLC Series 2024-3A Class A, 5.23% 12/20/2030 (o) | 4728000 | 4901237 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-1A Class A, 4.8% 8/20/2029 (o) | 4510000 | 4589337 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-2A Class A, 5.12% 8/20/2031 (o) | 9957000 | 10311698 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-3A Class A, 4.17% 2/20/2030 (o) | 4620000 | 4640513 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-4A Class A, 4.4% 2/20/2032 (o) | 11850000 | 11948495 |
| Bankers Healthcare Group Securitization Trust Series 2025-1CON Class A, 4.82% 4/17/2036 (o) | 1810520 | 1838748 |
| Barings Equipment Finance LLC Series 2025-A Class A3, 4.82% 8/13/2032 (o) | 2500000 | 2568941 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (o) | 7539904 | 7660741 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (o) | 21460178 | 20588116 |
| Blackbird Capital Aircraft Lease Securitization Ltd Series 2016-1A Class A, 4.213% 12/16/2041 (o)(p) | 385785 | 386711 |
| BofA Auto Trust Series 2024-1A Class A3, 5.35% 11/15/2028 (o) | 4298425 | 4336785 |
| BofA Auto Trust Series 2025-1A Class A2A, 4.52% 11/22/2027 (o) | 8250965 | 8264002 |
| BofA Auto Trust Series 2025-1A Class A3, 4.35% 11/20/2029 (o) | 8700000 | 8762391 |
| CarMax Auto Owner Trust Series 2023-4 Class A3, 6% 7/17/2028  | 9247078 | 9353434 |
| CarMax Auto Owner Trust Series 2024-1 Class A3, 4.92% 10/16/2028  | 30604798 | 30818490 |
| CarMax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/2029  | 10307977 | 10435508 |
| CarMax Auto Owner Trust Series 2024-4 Class A2A, 4.67% 12/15/2027  | 2574875 | 2578261 |
| CarMax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  | 5440000 | 5498276 |
| CarMax Auto Owner Trust Series 2025-2 Class A2A, 4.59% 7/17/2028  | 3685916 | 3696971 |
| CarMax Auto Owner Trust Series 2025-3 Class A2A, 4.42% 8/15/2028  | 4552274 | 4561844 |
| Carmax Auto Owner Trust Series 2025-4 Class A3, 3.97% 12/16/2030  | 13400000 | 13466978 |
| Carmax Auto Owner Trust Series 2025-4 Class B, 4.42% 7/15/2031  | 3000000 | 3052869 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  | 368187 | 368603 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  | 4084000 | 4117098 |
| CarMax Select Receivables Trust Series 2025-A Class A3, 4.77% 9/17/2029  | 3500000 | 3535662 |
| Carmax Select Receivables Trust Series 2025-B Class A3, 4.12% 3/15/2030  | 11150000 | 11205517 |
| Carmax Select Receivables Trust Series 2026-A Class A2A, 4.03% 12/17/2029  | 9100000 | 9101294 |
| Carmax Select Receivables Trust Series 2026-A Class A3, 3.99% 5/17/2032  | 4645000 | 4657984 |
| Carmax Series 2026-1 Class A3, 4.04% 3/17/2031  | 17600000 | 17741632 |
| Carvana Auto Receivables Trust Series 2025-N1 Class A3, 4.91% 8/10/2029 (o) | 6600000 | 6654324 |
| Carvana Auto Receivables Trust Series 2025-P3 Class A3, 4.04% 11/11/2030  | 7600000 | 7643998 |
| Carvana Auto Receivables Trust Series 2025-P4 Class A4, 4.25% 11/10/2031  | 5000000 | 5062951 |
| Castlelake Aircraft Securitization Series 2018-1 Class A, 4.125% 6/15/2043 (o) | 689865 | 686423 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class A, 3.967% 4/15/2039 (o) | 2404234 | 2380232 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class B, 5.095% 4/15/2039 (o) | 3098041 | 3059335 |
| Ccg Receivables Trust. Series 2025-1 Class A2, 4.48% 10/14/2032 (o) | 11561251 | 11619159 |
| Chase Auto Owner Trust Series 2024-1A Class A3, 5.13% 5/25/2029 (o) | 9859684 | 9952705 |
| Chase Issuance Trust Series 2023-A2 Class A, 5.08% 9/15/2030  | 11940000 | 12367183 |
| Citibank Credit Card Issuance Trust Series 2018-A7 Class A7, 3.96% 10/13/2030  | 9000000 | 9070616 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/2028 (o) | 9694065 | 9743982 |
| CNH Equipment Trust Series 2026-A Class A3, 4% 5/15/2031  | 10000000 | 10081144 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (o) | 32982920 | 32861623 |
| DB Master Finance LLC Series 2019-1A Class A23, 4.352% 5/20/2049 (o) | 7952175 | 7944594 |
| DB Master Finance LLC Series 2021-1A Class A23, 2.791% 11/20/2051 (o) | 28468390 | 25878450 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (o) | 9370095 | 9228178 |
| DB Master Finance LLC Series 2021-1A Class A2II, 2.493% 11/20/2051 (o) | 16575283 | 15793277 |
| DB Master Finance LLC Series 2025-1A Class A2I, 4.891% 8/20/2055 (o) | 13321613 | 13459592 |
| DB Master Finance LLC Series 2025-1A Class A2II, 5.165% 8/20/2055 (o) | 9241838 | 9372618 |
| Dell Equip Fin Trust Series 2025-1 Class A2, 4.68% 7/22/2027 (o) | 8369719 | 8392502 |
| Dell Equip Fin Trust Series 2025-1 Class A3, 4.61% 2/24/2031 (o) | 8000000 | 8096605 |
| Dell Equipment Finance Trust Series 2025-2 Class A2, 4.1% 2/22/2028 (o) | 60112000 | 60244216 |
| Dell Equipment Finance Trust Series 2025-2 Class A3, 4.12% 3/24/2031 (o) | 11500000 | 11579493 |
| Dext Abs LLC Series 2025-1 Class A2, 4.59% 8/16/2027 (o) | 16763319 | 16801258 |
| Dext Abs LLC Series 2025-2 Class A2, 4.1% 4/17/2028 (o) | 6570000 | 6569300 |
| DLLAA LLC Series 2025-1A Class A3, 4.95% 9/20/2029 (o) | 2300000 | 2350070 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (o) | 4061416 | 4103535 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (o) | 5129470 | 5149030 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/2029 (o) | 4988000 | 5091446 |
| DLLMT LLC Series 2026-1A Class A2, 4.03% 7/20/2028 (o) | 8585000 | 8596992 |
| DLLMT LLC Series 2026-1A Class A3, 4.2% 12/20/2029 (o) | 5410000 | 5447682 |
| Domino's Pizza Master Issuer LLC Series 2017-1A Class A23, 4.118% 7/25/2047 (o) | 30988980 | 30912961 |
| Domino's Pizza Master Issuer LLC Series 2018-1A Class A2II, 4.328% 7/25/2048 (o) | 7988373 | 7978928 |
| Domino's Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/2049 (o) | 36749760 | 35950350 |
| Domino's Pizza Master Issuer LLC Series 2021-1A Class A2I, 2.662% 4/25/2051 (o) | 15137935 | 14536917 |
| Domino's Pizza Master Issuer LLC Series 2021-1A Class A2II, 3.151% 4/25/2051 (o) | 9186235 | 8594088 |
| Domino's Pizza Master Issuer LLC Series 2025-1A Class A2I, 4.93% 7/25/2055 (o) | 10440000 | 10629876 |
| Eaton Vance CLO Ltd Series 2024-1A Class AR2, CME Term SOFR 3 month Index + 1.51%, 5.1822% 7/15/2037 (b)(c)(o) | 12310000 | 12332564 |
| Eff Series 2026-1 Class A2, 4% 10/20/2028 (o) | 21000000 | 21058625 |
| Eff Series 2026-1 Class A3, 4.12% 3/20/2030 (o) | 29500000 | 29759155 |
| Enterprise Fleet Financing LLC Series 2022-3 Class A3, 4.29% 7/20/2029 (o) | 7280000 | 7283963 |
| Enterprise Fleet Financing LLC Series 2023-2 Class A3, 5.5% 4/22/2030 (o) | 6050000 | 6144394 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A2, 6.4% 3/20/2030 (o) | 8890302 | 8993856 |
| Enterprise Fleet Financing LLC Series 2024-1 Class A3, 5.16% 9/20/2030 (o) | 2802000 | 2857650 |
| Enterprise Fleet Financing LLC Series 2024-3 Class A3, 4.98% 8/21/2028 (o) | 8040000 | 8145422 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (o) | 17233000 | 17423824 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (o) | 3010193 | 3017664 |
| Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/2028 (o) | 21731000 | 22053740 |
| Exeter Automobile Receivables Trust Series 2025-3A Class A3, 4.78% 7/16/2029  | 14532000 | 14631309 |
| Exeter Automobile Receivables Trust Series 2025-4A Class A2, 4.53% 3/15/2028  | 3538658 | 3543572 |
| Exeter Automobile Receivables Trust Series 2025-4A Class B, 4.4% 5/15/2030  | 13175000 | 13281277 |
| Exeter Automobile Receivables Trust Series 2026-1A Class A3, 4.03% 3/15/2030  | 6785000 | 6801532 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 1310715 | 1314030 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 9175000 | 9268463 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A2, 4.54% 6/15/2029  | 1416057 | 1419672 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  | 8795000 | 8865643 |
| Exeter Select Automobile Receivables Trust Series 2025-3 Class A3, 4.18% 12/16/2030  | 9320000 | 9372831 |
| Flatiron Clo 23 LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.24%, 4.9076% 4/17/2036 (b)(c)(o) | 8102000 | 8115547 |
| Flatiron Rr Clo 22 LLC Series 2025-2A Class AR, CME Term SOFR 3 month Index + 0.91%, 4.5822% 10/15/2034 (b)(c)(o) | 4400000 | 4397800 |
| Ford Cr Floorplan Mast Own Tr Series 2018-4 Class A, 4.06% 11/15/2030  | 5400000 | 5444353 |
| Ford Credit Auto Owner Trust Series 2021-1 Class A, 1.37% 10/17/2033 (o) | 5000000 | 4983034 |
| Ford Credit Auto Owner Trust Series 2022-D Class A3, 5.27% 5/17/2027  | 105474 | 105692 |
| Ford Credit Auto Owner Trust Series 2023-1 Class A, 4.85% 8/15/2035 (o) | 2600000 | 2653955 |
| Ford Credit Auto Owner Trust Series 2023-2 Class A, 5.28% 2/15/2036 (o) | 10800000 | 11185420 |
| Ford Credit Auto Owner Trust Series 2024-1 Class A, 4.87% 8/15/2036 (o) | 7820000 | 8057646 |
| Ford Credit Floorplan Master Owner Trust A Series 2023-1 Class A1, 4.92% 5/15/2028 (o) | 39470000 | 39548822 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-1 Class A1, 5.29% 4/15/2029 (o) | 25782000 | 26195904 |
| Ford Credit Floorplan Master Owner Trust A Series 2024-1 Class B, 5.48% 4/15/2029 (o) | 6500000 | 6604272 |
| Fordf Series 2025-1 Class A1, 4.63% 4/15/2030  | 4985000 | 5075038 |
| Fordf Series 2025-1 Class B, 4.84% 4/15/2030  | 2515000 | 2552606 |
| Ggam Master Tr Internationa Ltd / LLC Series 2025-1A Class A, 5.923% 9/30/2060 (o) | 29406100 | 30064676 |
| Gilead Aviation LLC Series 2025-1A Class A, 5.789% 3/15/2050 (o) | 20909470 | 21493430 |
| GM Financial Consumer Automobile Receivables Trust Series 2023-3 Class A3, 5.45% 6/16/2028  | 986092 | 993100 |
| GM Financial Revolving Receivables Trust Series 2021-1 Class A, 1.17% 6/12/2034 (o) | 5000000 | 4928686 |
| GM Financial Revolving Receivables Trust Series 2023-1 Class A, 5.12% 4/11/2035 (o) | 6600000 | 6790920 |
| GM Financial Revolving Receivables Trust Series 2023-2 Class A, 5.77% 8/11/2036 (o) | 9800000 | 10306803 |
| GM Financial Revolving Receivables Trust Series 2024-1 Class A, 4.98% 12/11/2036 (o) | 3961000 | 4095911 |
| GM Financial Revolving Receivables Trust Series 2025-1 Class B, 4.8% 12/11/2037 (o) | 750000 | 768529 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class A1, 5.34% 6/15/2028 (o) | 12800000 | 12855002 |
| GMF Floorplan Owner Revolving Trust Series 2023-1 Class B, 5.73% 6/15/2028 (o) | 5700000 | 5724402 |
| GMF Floorplan Owner Revolving Trust Series 2024-1A Class B, 5.33% 3/15/2029 (o) | 3650000 | 3694711 |
| GMF Floorplan Owner Revolving Trust Series 2024-2A Class A, 5.06% 3/15/2031 (o) | 9100000 | 9427148 |
| GMF Floorplan Owner Revolving Trust Series 2024-2A Class B, 5.35% 3/15/2031 (o) | 2600000 | 2683928 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (o) | 20800000 | 21128513 |
| Great America Leasing Receivables Funding LLC Series 2025-1 Series 2025-1 Class A2, 4.52% 10/15/2027 (o) | 9004027 | 9031797 |
| GreatAmerica Leasing Receivables Funding LLC Series 2025-2 Class A2, 4.22% 5/15/2028 (o) | 4700000 | 4720894 |
| Green Lakes Park Clo LLC Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1.18%, 4.848% 1/25/2038 (b)(c)(o) | 23950000 | 23914075 |
| Greensky Home Improvement Series 2025-3A Class A3, 4.52% 12/27/2060 (o) | 3494075 | 3518880 |
| Greensky Home Improvement Trust Series 2024-2 Class A2, 5.25% 10/27/2059 (o) | 605976 | 607179 |
| Horizon Aircraft Finance I Limited Series 2018-1 Class A, 4.458% 12/15/2038 (o) | 6454055 | 6389540 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (o) | 7316702 | 7356376 |
| Hyundai Auto Lease Securitization Trust Series 2024-B Class A3, 5.41% 5/17/2027 (o) | 5212369 | 5232292 |
| Hyundai Auto Lease Securitization Trust Series 2024-C Class A3, 4.62% 4/17/2028 (o) | 21200000 | 21306806 |
| Hyundai Auto Lease Securitization Trust Series 2025-B Class A2A, 4.58% 9/15/2027 (o) | 19063419 | 19132447 |
| Hyundai Auto Receivables Trust Series 2023-B Class A3, 5.48% 4/17/2028  | 911958 | 917700 |
| Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/2029  | 1616906 | 1630321 |
| Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (o) | 21943350 | 22567401 |
| Jersey Mike's Funding Series 2025-1A Class A2, 5.61% 8/16/2055 (o) | 8586850 | 8904280 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  | 11268753 | 11287474 |
| Kubota Credit Owner Trust Series 2024-2A Class A3, 5.26% 11/15/2028 (o) | 2483000 | 2519600 |
| Kubota Credit Owner Trust Series 2025-1A Class A3, 4.67% 6/15/2029 (o) | 8000000 | 8141812 |
| Kubota Credit Owner Trust Series 2026-1A Class A3, 3.87% 5/15/2030 (o) | 14100000 | 14147924 |
| LAD Auto Receivables Trust Series 2026-1A Class A2, 3.75% 5/15/2029 (o) | 5000000 | 4997576 |
| LAD Auto Receivables Trust Series 2026-1A Class A3, 3.92% 4/15/2031 (o) | 5000000 | 5017199 |
| MAPS Trust Series 2021-1A Class A, 2.521% 6/15/2046 (o) | 7562469 | 7310552 |
| Marlette Funding Trust 2025-1 Series 2025-1A Class A, 4.75% 7/16/2035 (o) | 1549895 | 1552180 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A2A, 5.44% 2/16/2027  | 18919 | 18934 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/2028  | 15820000 | 15940778 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A4, 5.32% 2/15/2030  | 7800000 | 7928792 |
| Mercedes-Benz Auto Lease Trust Series 2024-B Class A3, 4.23% 2/15/2028  | 31446448 | 31507552 |
| Mercedes-Benz Auto Receivables Series 2023-1 Class A4, 4.31% 4/16/2029  | 4500000 | 4516418 |
| Mercedes-Benz Auto Receivables Trust Series 2023-2 Class A3, 5.95% 11/15/2028  | 4104875 | 4155443 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (o) | 5674979 | 5693421 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (o) | 21102453 | 21220892 |
| Merchants Fleet Funding LLC Series 2025-1A Class A, 4.49% 1/20/2039 (o) | 29885000 | 30135457 |
| Merchants Fleet Funding LLC Series 2025-1A Class B, 4.91% 1/20/2039 (o) | 600000 | 607468 |
| MetLife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/2058 (o) | 49057 | 48608 |
| MMAF Equipment Finance LLC Series 2023-A Class A3, 5.54% 12/13/2029 (o) | 4592191 | 4651120 |
| Morgan Stanley ABS Capital I Inc Series 2004-HE7 Class B3, CME Term SOFR 1 month Index + 5.3645%, 9.0382% 8/25/2034 (b)(c)(j) | 46597 | 74443 |
| Navigator Aircraft Abs Ltd Series 2025-1 Class A, 5.107% 10/15/2050 (o) | 20803013 | 21029913 |
| Nissan Auto Lease Trust Series 2026-A Class A3, 3.87% 3/15/2029  | 8430000 | 8444827 |
| Nissan Auto Receivables Owner Trust Series 2023-B Class A3, 5.93% 3/15/2028  | 3312142 | 3335764 |
| Nissan Master Owner Tr Receivable Series 2024-B Class A, 5.05% 2/15/2029 (o) | 23189000 | 23438755 |
| OCCU Auto Receivables Trust Series 2025-1A Class A3, 4.81% 11/15/2029 (o) | 5700000 | 5752907 |
| OCP CLO Ltd Series 2025-8RA Class AR2, CME Term SOFR 3 month Index + 1.22%, 4.8876% 10/17/2038 (b)(c)(o) | 11479000 | 11492936 |
| Onemain Financial Issuance Trust 2025-1 Series 2025-1A Class A, 4.82% 7/14/2038 (o) | 2000000 | 2038125 |
| OneMain Financial Issuance Trust Series 2020-2A Class A, 1.75% 9/14/2035 (o) | 26705591 | 26338950 |
| Onemain Financial Issuance Trust Series 2021-1A Class A1, 1.55% 6/16/2036 (o) | 8770000 | 8569809 |
| OneMain Financial Issuance Trust Series 2023-1A Class A, 5.5% 6/14/2038 (o) | 2120000 | 2196303 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (o) | 41322 | 41332 |
| Oportun Funding Trust Series 2025-1 Class A, 4.96% 8/16/2032 (o) | 741622 | 742291 |
| Oportun Issuance Trust 2025-B Series 2025-B Class A, 4.88% 5/9/2033 (o) | 12300000 | 12372063 |
| Oportun Issuance Trust Series 2025-C Class A, 4.49% 7/8/2033 (o) | 8200000 | 8222281 |
| Oportun Issuance Trust Series 2025-D Class A, 4.53% 2/8/2033 (o) | 26700000 | 26783085 |
| Optn Series 2026-A Class A, 4.32% 1/9/2034 (o) | 7265000 | 7288248 |
| OWN Equipment Fund I LLC Series 2024-2M Class A, 5.7% 12/20/2032 (o) | 24296173 | 24795530 |
| PEAC Solutions Receivables LLC Series 2026-1A Class A2, 4.27% 10/20/2028 (o) | 12435000 | 12465057 |
| PEAC Solutions Receivables LLC Series 2026-1A Class A3, 4.39% 7/20/2033 (o) | 4515000 | 4562157 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (o) | 6545071 | 6583965 |
| Phantom Aviation Series 2026-1A Class A, 5.24% 1/15/2051 (o) | 12000000 | 12211795 |
| Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (o) | 3798491 | 3898385 |
| Pk Alift Loan Funding 7 LP Series 2025-2 Class A, 4.75% 3/15/2043 (o) | 4977604 | 5010052 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/2049 (o) | 38139560 | 36946413 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2II, 4.008% 12/5/2051 (o) | 9355500 | 8952678 |
| Planet Fitness Master Issuer LLC Series 2025-1A Class A2I, 5.274% 12/6/2055 (o) | 3085000 | 3134315 |
| Post Road Equipment Finance LLC Series 2025-1A Class A2, 4.9% 5/15/2031 (o) | 5147098 | 5192467 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.1313% 7/25/2054 (b)(c)(o) | 1290673 | 1286971 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (c)(o) | 8290737 | 8240084 |
| Pstat Series 2026-2A Class A1R, CME Term SOFR 3 month Index + 0.82%, 0.82% 1/15/2033 (b)(c)(o) | 13450000 | 13450000 |
| RCKT Trust Series 2025-1A Class A, 4.9% 7/25/2034 (o) | 3143599 | 3151061 |
| Rcktl Series 2025-2A Class A, 4.48% 11/27/2034 (o) | 5487914 | 5493429 |
| RCO VIII Mortgage LLC Series 2025-3 Class A1, 6.4345% 5/25/2030 (c)(o) | 6440822 | 6449835 |
| Reach Abs Trust Series 2025-2A Class A, 4.93% 8/18/2032 (o) | 14708145 | 14775465 |
| Reach Abs Trust Series 2026-1A Class A, 4.32% 2/15/2033 (o) | 3483539 | 3483421 |
| Reach Abs Trust Series 2026-1A Class B, 4.37% 2/15/2033 (o) | 11700000 | 11722479 |
| RKTL Series 2026-1A Class A, 4.07% 2/26/2035 (o) | 1030000 | 1031172 |
| RKTL Series 2026-1A Class B, 4.33% 2/26/2035 (o) | 4830000 | 4830315 |
| Santander Drive Auto Receivables Trust Series 2025-1 Class A3, 4.74% 1/16/2029  | 10456039 | 10482663 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class A3, 4.67% 8/15/2029  | 29300000 | 29481540 |
| Santander Drive Auto Receivables Trust Series 2025-3 Class A3, 4.38% 1/15/2030  | 33220000 | 33423247 |
| Santander Drive Auto Receivables Trust Series 2026-1 Class A3, 3.93% 7/15/2030  | 9860000 | 9880741 |
| Santander Drive Auto Receivables Trust Series 2026-1 Class B, 4.07% 4/15/2032  | 4500000 | 4514710 |
| SBA Tower Trust Series 2020, 2.328% 7/15/2052 (o) | 3269000 | 3158703 |
| SBA Tower Trust Series 2021, 1.631% 5/15/2051 (o) | 5173000 | 5084728 |
| SBNA Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/2027 (o) | 10641559 | 10689018 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (o) | 10373216 | 10392960 |
| Sclp 2025-2 Series 2025-2 Class A, 4.82% 6/25/2034 (o) | 15571634 | 15654109 |
| SCLP Series 2025-4 Class A, 4.24% 8/25/2035 (o) | 3278280 | 3284607 |
| SFAST Series 2025-1A Class A3, 4.75% 7/22/2030 (o) | 11933000 | 12051614 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/2029 (o) | 7436577 | 7520672 |
| SFS Auto Receivables Securitization Trust Series 2024-3A Class A3, 4.55% 6/20/2030 (o) | 39000000 | 39262232 |
| Sfs Auto Receivables Securitization Trust Series 2025-3A Class A3, 4.12% 4/21/2031 (o) | 2640000 | 2661100 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A2A, 3.91% 8/20/2029 (o) | 14200000 | 14209929 |
| SFS Auto Receivables Securitization Trust Series 2026-1A Class A3, 3.96% 7/21/2031 (o) | 10800000 | 10833408 |
| Sfuel Series 2025-BA Class A3, 4.27% 1/22/2029 (o) | 30643000 | 30851529 |
| SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (o) | 10592688 | 10947130 |
| Sofi Consumer Loan Program Series 2025-3 Class A, 4.47% 8/15/2034 (o) | 19743037 | 19798615 |
| Sofi Consumer Loan Program Trust Series 2026-1 Class A, 4.06% 12/26/2035 (o) | 62400000 | 62436492 |
| Sofi Consumer Loan Program Trust Series 2026-1 Class B, 4.44% 12/26/2035 (o) | 10500000 | 10577560 |
| Stellantis Financial Underwritten Enhanced Lease Trust Series 2025-AA Class A2, 4.63% 7/20/2027 (o) | 19056646 | 19110986 |
| Stellantis Financial Underwritten Enhanced Lease Trust Series 2025-CA Class A3, 4.11% 4/20/2029 (o) | 6900000 | 6949242 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/2051 (o) | 10743333 | 10177255 |
| Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (o) | 17366175 | 17987196 |
| Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (o) | 40153725 | 40605724 |
| Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (o) | 21039675 | 21553382 |
| Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (o) | 18249000 | 18248633 |
| Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (o) | 18249000 | 18206069 |
| Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (o) | 9124500 | 9113320 |
| T-Mobile US Trust Series 2025-1A Class A, 4.74% 11/20/2029 (o) | 7000000 | 7099647 |
| Taco Bell Fdg LLC Series 2025-1A Class A2I, 4.821% 8/25/2055 (o) | 19920075 | 20145853 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 month Index + 0.9745%, 4.6482% 9/25/2034 (b)(c) | 42492 | 45717 |
| Toyota Auto Receivables Owner Trust Series 2023-A Class A4, 4.42% 8/15/2028  | 4000000 | 4023575 |
| Toyota Lease Owner Trust Series 2024-A Class A3, 5.25% 4/20/2027 (o) | 309768 | 310300 |
| Toyota Lease Owner Trust Series 2026-A Class A2A, 3.7% 2/22/2028 (o) | 35375000 | 35352746 |
| Upg HI Issuer Trust Series 2025-2 Class A, 5% 9/25/2047 (o) | 18665475 | 18805006 |
| UPX HIL Issuer Trust Series 2025-1 Class B, 6.07% 1/25/2047 (o) | 5393000 | 5493080 |
| USAA Auto Owner Trust Series 2024-A Class A3, 5.03% 3/15/2029 (o) | 14524441 | 14637538 |
| VCAT Asset Securitization LLC Series 2026-NPL1 Class A1, 5.101% 1/25/2056 (c)(o) | 16743595 | 16696953 |
| VCAT Asset Securitization LLC Series 2026-NPL2 Class A1, 4.987% 2/25/2056 (o)(p) | 19400000 | 19399983 |
| Verd Series 2025-1A Class A2, 4.85% 3/13/2028 (o) | 3276795 | 3290873 |
| Verizon Master Trust Series 2023-4 Class A1A, 5.16% 6/20/2029  | 10390000 | 10429452 |
| Verizon Master Trust Series 2024-2 Class A, 4.83% 12/22/2031 (o) | 7800000 | 8016689 |
| Verizon Master Trust Series 2025-6 Class A, 4.62% 6/21/2033 (o) | 10000000 | 10301937 |
| Versus Securitization Trust Series 2026-R1 Class A1, 4.832% 10/25/2067 (c)(o) | 1890118 | 1899866 |
| Volkswagen Auto Loan Enhanced Trust 2023-2 Series 2023-2 Class A3, 5.48% 12/20/2028  | 6089289 | 6161249 |
| Volkswagen Auto Loan Enhanced Trust Series 2023-1 Class A3, 5.02% 6/20/2028  | 2799130 | 2816756 |
| Volvo Financial Equipment LLC Series 2024-1A Class A3, 4.29% 10/16/2028 (o) | 1236000 | 1242301 |
| Volvo Financial Equipment LLC Series 2025-1A Class A2, 4.41% 11/15/2027 (o) | 1207530 | 1209711 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (o) | 18047423 | 18479292 |
| Westlake Automobile Receivables Trust Series 2025-2A Class A3, 4.51% 5/15/2029 (o) | 13722000 | 13830548 |
| Westlake Automobile Receivables Trust Series 2025-3A Class A3, 4.22% 6/15/2029 (o) | 1900000 | 1907859 |
| Westlake Automobile Receivables Trust Series 2025-P1 Class A3, 4.58% 6/15/2029 (o) | 6000000 | 6053018 |
| Westlake Automobile Receivables Trust Series 2026-1A Class A3, 4.01% 7/16/2029 (o) | 33230000 | 33289738 |
| Wheels Fleet Lease Funding LLC Series 2023-2A Class A, 6.46% 8/18/2038 (o) | 5992889 | 6058657 |
| Wheels Fleet Lease Funding LLC Series 2024-1A Class A1, 5.49% 2/18/2039 (o) | 12849501 | 12992913 |
| Wheels Fleet Lease Funding LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (o) | 29691205 | 29998509 |
| Wheels Fleet Lease Funding LLC Series 2024-3A Class A1, 4.8% 9/19/2039 (o) | 18425565 | 18632025 |
| Wheels Fleet Lease Funding LLC Series 2025-1A Class A1, 4.57% 1/18/2040 (o) | 16024190 | 16189469 |
| Wheels Fleet Lease Funding LLC Series 2025-2A Class A1, 4.41% 5/18/2040 (o) | 2474000 | 2498625 |
| Wheels Fleet Lease Funding LLC Series 2025-3A Class A1, 4.08% 9/18/2040 (o) | 10500000 | 10544921 |
| Willis Engine Structured Tr V Series 2020-A Class A, 3.228% 3/15/2045 (o) | 2198099 | 2143198 |
| Willis Engine Structured Tr VII Series 2023-A Class A, 8% 10/15/2048 (o) | 5288006 | 5420964 |
| Willis Engine Structured Trust VII Series 2025-B Class A, 5.159% 12/15/2050 (o) | 21602625 | 21839748 |
| World Financial Network Credit Card Master Trust Series 2024-A Class A, 5.47% 2/15/2031  | 28242000 | 28754084 |
| World Financial Network Credit Card Master Trust Series 2024-B Class A, 4.62% 5/15/2031  | 5978000 | 6041382 |
| World Omni Auto Receivables Trust 2023-B Series 2023-B Class A3, 4.66% 5/15/2028  | 4991203 | 5003398 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 3819012 | 3839797 |
| World Omni Automobile Lease Securitization Trust Series 2024-A Class A3, 5.26% 10/15/2027  | 7062656 | 7096676 |
| World Omni Select Auto Trust Series 2025-A Class A2A, 4.14% 5/15/2030  | 1100000 | 1102463 |
| World Omni Select Auto Trust Series 2025-A Class A3, 4.08% 8/15/2031  | 9295000 | 9343978 |
| TOTAL UNITED STATES |  | 3136272816 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $4,338,277,832) |  | <br> **4375138021** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 0.0%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.0%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| SWITZERLAND - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Consolidated Energy Finance SA 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 0% 11/18/2030 (b)(c)(i)(l) | 265000 | 235850 |
| Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1975% 11/15/2030 (b)(c)(i) | 1335617 | 1194121 |
| TOTAL SWITZERLAND |  | 1429971 |
| UNITED STATES - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Uniti Services LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 10/6/2032 (b)(c)(i) | 750000 | 750000 |
| Consumer Discretionary - 0.0% |  |  |
| Automobile Components - 0.0% |  |  |
| Clarios Global LP Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.75%, 6.423% 1/28/2032 (b)(c)(i) | 144638 | 144155 |
| Broadline Retail - 0.0% |  |  |
| Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 1/23/2032 (b)(c)(i) | 844938 | 842826 |
| Distributors - 0.0% |  |  |
| Solenis Holdings Ltd Tranche B6 1LN, term loan CME Term SOFR 3 month Index + 3%, 6.6719% 6/20/2031 (b)(c)(i) | 306001 | 299691 |
| Diversified Consumer Services - 0.0% |  |  |
| TKC Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 4.5%, 8.1597% 8/19/2030 (b)(c)(i) | 440000 | 438350 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Fertitta Entertainment LLC/NV Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.25%, 6.923% 1/29/2029 (b)(c)(i) | 1225451 | 1217437 |
| MajorDrive Holdings IV LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9336% 6/1/2028 (b)(c)(i) | 713319 | 662410 |
| United PF Holdings LLC 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9285% 12/30/2026 (b)(c)(i) | 632255 | 607596 |
|  |  | 2487443 |
| Specialty Retail - 0.0% |  |  |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.527% 6/6/2031 (b)(c)(i) | 456524 | 375719 |
| LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.677% 6/6/2031 (b)(c)(i) | 213905 | 184583 |
| Wand NewCo 3 Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.173% 1/30/2031 (b)(c)(i) | 160580 | 159554 |
|  |  | 719856 |
| TOTAL CONSUMER DISCRETIONARY |  | 4932321 |
| Consumer Staples - 0.0% |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |
| C&S Wholesale Grocers Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5%, 8.6719% 9/20/2030 (b)(c)(i) | 508725 | 498551 |
| Energy - 0.0% |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |
| New Fortress Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 5.5%, 0% (b)(c)(i)(k) | 1129575 | 536119 |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| Hightower Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 2.75%, 6.4132% 2/3/2032 (b)(c)(i) | 124375 | 122432 |
| Financial Services - 0.0% |  |  |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.173% 7/31/2031 (b)(c)(i) | 653412 | 611555 |
| Nexus Buyer LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.673% 7/31/2031 (b)(c)(i) | 274325 | 261843 |
| WH Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 0% 2/20/2032 (b)(c)(i)(l) | 125000 | 124687 |
| WH Borrower LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.5%, 8.1556% 2/20/2032 (b)(c)(i) | 845750 | 843636 |
|  |  | 1841721 |
| Insurance - 0.0% |  |  |
| Acrisure LLC Tranche B6 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 11/6/2030 (b)(c)(i) | 4950 | 4785 |
| Asurion LLC Tranche B10 1LN, term loan CME Term SOFR 1 month Index + 4%, 0% 8/19/2028 (b)(c)(i)(l) | 1025013 | 1023733 |
|  |  | 1028518 |
| TOTAL FINANCIALS |  | 2992671 |
| Health Care - 0.0% |  |  |
| Health Care Equipment & Supplies - 0.0% |  |  |
| Bausch + Lomb Corp Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3.75%, 7.423% 1/15/2031 (b)(c)(i) | 1432800 | 1432084 |
| Health Care Providers & Services - 0.0% |  |  |
| Cano Health LLC Tranche INITIAL EXCHANGE TERM LOANS 1LN, term loan CME Term SOFR 3 month Index + 10%, 13.6719% 6/28/2029 (b)(c)(i)(j) | 151939 | 118512 |
| Pharmaceuticals - 0.0% |  |  |
| 1261229 BC Ltd Tranche B 1LN, term loan CME Term SOFR 1 month Index + 6.25%, 9.923% 10/8/2030 (b)(c)(i) | 860912 | 837478 |
| TOTAL HEALTH CARE |  | 2388074 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| TransDigm Inc Tranche N 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1596% 2/13/2033 (b)(c)(i) | 40000 | 40030 |
| Commercial Services & Supplies - 0.0% |  |  |
| CSC ServiceWorks East LLC Tranche EXCHANGE FLSO TL 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.671% 9/4/2030 (b)(c)(i) | 1155562 | 892672 |
| CSC ServiceWorks East LLC Tranche INITIAL FL1O 1LN, term loan CME Term SOFR 1 month Index + 5.43%, 9.101% 9/4/2030 (b)(c)(i)(j) | 198253 | 202134 |
|  |  | 1094806 |
| Ground Transportation - 0.0% |  |  |
| Genesee & Wyoming Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 1.75%, 5.4219% 4/10/2031 (b)(c)(i) | 790000 | 788665 |
| Machinery - 0.0% |  |  |
| Beach Acquisition Bidco LLC Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.25%, 6.9219% 9/13/2032 (b)(c)(i) | 60000 | 60075 |
| TOTAL INDUSTRIALS |  | 1983576 |
| Information Technology - 0.0% |  |  |
| IT Services - 0.0% |  |  |
| Constant Contact Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4%, 7.9338% 2/10/2028 (b)(c)(i) | 492102 | 424748 |
| X Corp 1LN, term loan 9.5% 10/26/2029 (i) | 1040000 | 1090440 |
| X Corp Tranche B1 1LN, term loan CME Term SOFR 3 month Index + 6.5%, 10.4475% 10/26/2029 (b)(c)(i) | 1386081 | 1388964 |
|  |  | 2904152 |
| Software - 0.0% |  |  |
| Ascend Learning LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.673% 12/11/2028 (b)(c)(i) | 733712 | 697027 |
| Proofpoint Inc Tranche B 1LN, term loan CME Term SOFR 1 month Index + 3%, 6.6719% 8/31/2028 (b)(c)(i) | 1747413 | 1670142 |
| X.AI LLC 1LN, term loan 12.5% 6/28/2030 (i) | 289061 | 327301 |
| X.AI LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 7.25%, 11.1219% 6/28/2030 (b)(c)(i) | 134437 | 139262 |
|  |  | 2833732 |
| TOTAL INFORMATION TECHNOLOGY |  | 5737884 |
| Materials - 0.0% |  |  |
| Chemicals - 0.0% |  |  |
| Chemours Co/The Tranche B3 1LN, term loan CME Term SOFR 1 month Index + 3.5%, 7.173% 10/15/2032 (b)(c)(i) | 615000 | 612848 |
| Herens US Holdco Corp Tranche B 1LN, term loan CME Term SOFR 3 month Index + 3.925%, 7.6969% 7/3/2028 (b)(c)(i) | 688167 | 612957 |
| Hexion Holdings Corp 1LN, term loan CME Term SOFR 1 month Index + 4%, 7.677% 3/15/2029 (b)(c)(i) | 588083 | 576216 |
| M2S Group Intermediate Holdings Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 4.75%, 8.4168% 8/25/2031 (b)(c)(i) | 859880 | 847696 |
| Tronox Finance LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 2.5%, 6.1724% 9/30/2031 (b)(c)(i) | 733426 | 570238 |
|  |  | 3219955 |
| Containers & Packaging - 0.0% |  |  |
| Clydesdale Acquisition Holdings Inc 1LN, term loan CME Term SOFR 1 month Index + 3.175%, 6.848% 4/13/2029 (b)(c)(i) | 1207576 | 1196732 |
| TOTAL MATERIALS |  | 4416687 |
| Utilities - 0.0% |  |  |
| Electric Utilities - 0.0% |  |  |
| NRG Energy Inc Tranche B 1LN, term loan CME Term SOFR 3 month Index + 1.75%, 5.5203% 4/16/2031 (b)(c)(i) | 59696 | 59799 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Natgasoline LLC Tranche B 1LN, term loan CME Term SOFR 1 month Index + 5.5%, 9.173% 3/29/2030 (b)(c)(i) | 210816 | 211606 |
| TOTAL UTILITIES |  | 271405 |
| TOTAL UNITED STATES |  | 24507288 |
| <br> **TOTAL BANK LOAN OBLIGATIONS**<br> (Cost $26,820,835) |  | <br> **25937259** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| Capital One NA ICE IBA - USD SOFR Spread-Adj ICE Swap Rate 5Y + 1.73%, 5.974% 8/9/2028 (b)(c) | 2954000 | 3080926 |
| Keybank National Association 6.95% 2/1/2028  | 619000 | 649446 |
| Regions Banks 6.45% 6/26/2037  | 5877000 | 6443320 |
| TOTAL UNITED STATES |  | 10173692 |
| <br> **TOTAL BANK NOTES**<br> (Cost $9,980,898) |  | <br> **10173692** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 2.1%  |  |  |
| Ajax Mortgage Loan Trust Series 2021-C Class A, 6.115% 1/25/2061 (o) | 1697510 | 1699119 |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (o) | 10824673 | 9774490 |
| Angel Oak Mortgage Trust 2026-2 Series 2026-2 Class A1, 4.694% 2/25/2071 (o) | 9400000 | 9400000 |
| Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/2066 (o) | 1434485 | 1302574 |
| Binom Securitization Trust Series 2022-RPL1 Class A1, 3% 2/25/2061 (c)(o) | 10937278 | 10414368 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (c)(o) | 15959245 | 16132995 |
| Bravo Residential Funding Trust Series 2020-RPL2 Class A1, 2% 5/25/2059 (o) | 571459 | 541461 |
| Bravo Residential Funding Trust Series 2022-RPL1 Class A1, 2.75% 9/25/2061 (o) | 13441996 | 12561335 |
| Bravo Residential Funding Trust Series 2026-Nqm2 Series 2026-NQM2 Class A1FC, 4.537% 11/25/2065 (c)(o) | 29394490 | 29440663 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (c)(o) | 6692037 | 6630756 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (c)(o) | 3389894 | 3381613 |
| CFMT Series 2025-HB16 Class A, 3% 3/25/2035 (c)(o) | 1904403 | 1874657 |
| Cim Trust Series 2021-R3 Class A1A, 1.951% 6/25/2057 (o) | 2700051 | 2530121 |
| Cross 2026-Nqm2 Mtg Tr Series 2026-NQM2 Class A1FC, 4.735% 3/25/2061 (c)(o) | 17000000 | 17005653 |
| Cross Mortgage Trust Series 2025-H4 Class A1, 5.596% 6/25/2070 (c)(o) | 12901729 | 13067309 |
| CSMC Trust Series 2014-3R Class 2A1, CME Term SOFR 1 month Index + 0.8145%, 0% 5/27/2037 (b)(c)(j)(o) | 556406 | 55 |
| CSMC Trust Series 2014-3R Class 4A1, CME Term SOFR 1 month Index + 0.3945%, 4.3031% 5/27/2037 (b)(c)(o) | 380878 | 370625 |
| CSMC Trust Series 2015-1R Class 6A1, CME Term SOFR 1 month Index + 0.3945%, 4.3031% 5/27/2037 (b)(c)(o) | 7040 | 7014 |
| CSMC Trust Series 2020-RPL4 Class A1, 2% 1/25/2060 (o) | 186028 | 170651 |
| Fannie Mae Guaranteed REMIC Series 1999-17 Class PG, 6% 4/25/2029  | 7813 | 7927 |
| Fannie Mae Guaranteed REMIC Series 1999-25 Class Z, 6% 6/25/2029  | 7262 | 7326 |
| Fannie Mae Guaranteed REMIC Series 1999-32 Class PL, 6% 7/25/2029  | 11731 | 11950 |
| Fannie Mae Guaranteed REMIC Series 1999-33 Class PK, 6% 7/25/2029  | 8797 | 8956 |
| Fannie Mae Guaranteed REMIC Series 2001-20 Class Z, 6% 5/25/2031  | 12322 | 12559 |
| Fannie Mae Guaranteed REMIC Series 2001-31 Class ZC, 6.5% 7/25/2031  | 4829 | 4901 |
| Fannie Mae Guaranteed REMIC Series 2001-52 Class YZ, 6.5% 10/25/2031  | 2081 | 2157 |
| Fannie Mae Guaranteed REMIC Series 2002-16 Class ZD, 6.5% 4/25/2032  | 6430 | 6701 |
| Fannie Mae Guaranteed REMIC Series 2002-18 Class FD, U.S. 30-Day Avg. SOFR Index + 0.9145%, 4.5817% 2/25/2032 (b)(c) | 1103 | 1109 |
| Fannie Mae Guaranteed REMIC Series 2002-39 Class FD, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7727% 3/18/2032 (b)(c) | 2025 | 2046 |
| Fannie Mae Guaranteed REMIC Series 2002-60 Class FV, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7817% 4/25/2032 (b)(c) | 2110 | 2129 |
| Fannie Mae Guaranteed REMIC Series 2002-63 Class FN, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7817% 10/25/2032 (b)(c) | 2529 | 2554 |
| Fannie Mae Guaranteed REMIC Series 2002-7 Class FC, U.S. 30-Day Avg. SOFR Index + 0.8645%, 4.5317% 1/25/2032 (b)(c) | 1001 | 1004 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class SV, 7.4355% - U.S. 30-Day Avg. SOFR Index 3.7683% 11/25/2032 (c)(r) | 1564 | 32 |
| Fannie Mae Guaranteed REMIC Series 2003-118 Class S, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.3183% 12/25/2033 (c)(r) | 49623 | 6143 |
| Fannie Mae Guaranteed REMIC Series 2003-21 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.3183% 3/25/2033 (c)(r) | 3218 | 339 |
| Fannie Mae Guaranteed REMIC Series 2005-102 Class CO, 0% 11/25/2035 (s) | 5739 | 5060 |
| Fannie Mae Guaranteed REMIC Series 2005-39 Class TE, 5% 5/25/2035  | 8261 | 8468 |
| Fannie Mae Guaranteed REMIC Series 2005-47 Class SW, 6.6055% - U.S. 30-Day Avg. SOFR Index 2.9383% 6/25/2035 (c)(r) | 59507 | 4091 |
| Fannie Mae Guaranteed REMIC Series 2005-72 Class ZC, 5.5% 8/25/2035  | 171744 | 178878 |
| Fannie Mae Guaranteed REMIC Series 2005-73 Class SA, U.S. 30-Day Avg. SOFR Index x 17.2524%, 7.7176% 8/25/2035 (b)(c) | 1166 | 1245 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  | 119722 | 121662 |
| Fannie Mae Guaranteed REMIC Series 2005-81 Class PC, 5.5% 9/25/2035  | 21941 | 22650 |
| Fannie Mae Guaranteed REMIC Series 2006-104 Class GI, 6.5655% - U.S. 30-Day Avg. SOFR Index 2.8983% 11/25/2036 (c)(r) | 33558 | 2912 |
| Fannie Mae Guaranteed REMIC Series 2006-116 Class SG, 6.5255% - U.S. 30-Day Avg. SOFR Index 2.8583% 12/25/2036 (c)(r) | 21471 | 2194 |
| Fannie Mae Guaranteed REMIC Series 2006-12 Class BO, 0% 10/25/2035 (s) | 24642 | 22459 |
| Fannie Mae Guaranteed REMIC Series 2006-15 Class OP, 0% 3/25/2036 (s) | 43431 | 38209 |
| Fannie Mae Guaranteed REMIC Series 2006-37 Class OW, 0% 5/25/2036 (s) | 4951 | 4200 |
| Fannie Mae Guaranteed REMIC Series 2007-40 Class SE, 6.3255% - U.S. 30-Day Avg. SOFR Index 2.6583% 5/25/2037 (c)(r) | 13730 | 1311 |
| Fannie Mae Guaranteed REMIC Series 2007-57 Class SA, U.S. 30-Day Avg. SOFR Index x 39.9331%, 17.9299% 6/25/2037 (b)(c) | 12558 | 17181 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SA, U.S. 30-Day Avg. SOFR Index x 38.9131%, 16.9099% 7/25/2037 (b)(c) | 13255 | 17918 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SB, U.S. 30-Day Avg. SOFR Index x 38.9131%, 16.9099% 7/25/2037 (b)(c) | 1778 | 2050 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  | 68011 | 65942 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  | 544587 | 540771 |
| Fannie Mae Guaranteed REMIC Series 2011-39 Class ZA, 6% 11/25/2032  | 50021 | 51979 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  | 225444 | 225233 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (r) | 54667 | 798 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  | 47731 | 44923 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  | 65959 | 62635 |
| Fannie Mae Guaranteed REMIC Series 2012-154 Class F, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.0817% 1/25/2043 (b)(c) | 369578 | 364232 |
| Fannie Mae Guaranteed REMIC Series 2012-67 Class AI, 4.5% 7/25/2027 (r) | 27 | 0 |
| Fannie Mae Guaranteed REMIC Series 2013-100 Class PJ, 3% 3/25/2043  | 5967183 | 5789059 |
| Fannie Mae Guaranteed REMIC Series 2013-123 Class PZ, 2.7% 3/25/2043  | 6954802 | 6420516 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 2.2683% 1/25/2044 (c)(r) | 61564 | 7146 |
| Fannie Mae Guaranteed REMIC Series 2013-16 Class GP, 3% 3/25/2033  | 118359 | 117110 |
| Fannie Mae Guaranteed REMIC Series 2013-44 Class DJ, 1.85% 5/25/2033  | 4131471 | 3933282 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (r) | 308754 | 42727 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  | 369685 | 358116 |
| Fannie Mae Guaranteed REMIC Series 2016-3 Class PL, 2.5% 2/25/2046  | 9397954 | 8393942 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (r) | 168970 | 22018 |
| Fannie Mae Guaranteed REMIC Series 2017-32 Class PA, 2.7% 5/25/2047  | 6868790 | 6424725 |
| Fannie Mae Guaranteed REMIC Series 2017-36 Class FB, U.S. 30-Day Avg. SOFR Index + 0.4645%, 4.1317% 5/25/2047 (b)(c) | 787596 | 774865 |
| Fannie Mae Guaranteed REMIC Series 2017-37 Class AB, 2.55% 9/25/2046  | 1308800 | 1222025 |
| Fannie Mae Guaranteed REMIC Series 2018-32 Class FB, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.0817% 5/25/2048 (b)(c) | 425278 | 417197 |
| Fannie Mae Guaranteed REMIC Series 2018-38 Class FG, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.0817% 6/25/2048 (b)(c) | 1019303 | 997344 |
| Fannie Mae Guaranteed REMIC Series 2019-23 Class FC, U.S. 30-Day Avg. SOFR Index + 0.5645%, 4.2317% 5/25/2049 (b)(c) | 6568768 | 6502503 |
| Fannie Mae Guaranteed REMIC Series 2020-39 Class MG, 1.5% 6/25/2040  | 19094260 | 16773303 |
| Fannie Mae Guaranteed REMIC Series 2020-45 Class JC, 1.5% 7/25/2040  | 19633827 | 17247144 |
| Fannie Mae Guaranteed REMIC Series 2021-21 Class HG, 2% 11/25/2047  | 4515875 | 4124825 |
| Fannie Mae Guaranteed REMIC Series 2021-45 Class DA, 3% 7/25/2051  | 7626200 | 6966001 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 5492577 | 4805310 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 5837036 | 5106668 |
| Fannie Mae Guaranteed REMIC Series 2021-69 Class JK, 1.5% 10/25/2051  | 4263528 | 3725685 |
| Fannie Mae Guaranteed REMIC Series 2021-77 Class CH, 1.5% 8/25/2050  | 1718005 | 1465395 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 4824677 | 4409570 |
| Fannie Mae Guaranteed REMIC Series 2021-95 Class BA, 2.5% 6/25/2049  | 13842097 | 12610391 |
| Fannie Mae Guaranteed REMIC Series 2021-95, 2.5% 9/25/2048  | 9146354 | 8388031 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class AH, 2.5% 3/25/2049  | 19015810 | 17381786 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 7589679 | 6904499 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 4751057 | 4523727 |
| Fannie Mae Guaranteed REMIC Series 2022-11 Class B, 3% 6/25/2049  | 5240949 | 4964203 |
| Fannie Mae Guaranteed REMIC Series 2022-12 Class EA, 2.25% 9/25/2046  | 5556295 | 5222458 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class HA, 3% 8/25/2046  | 6349754 | 6126401 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 3502368 | 3337931 |
| Fannie Mae Guaranteed REMIC Series 2022-15 Class GC, 3% 1/25/2047  | 5613379 | 5409575 |
| Fannie Mae Guaranteed REMIC Series 2022-17 Class BH, 3% 5/25/2047  | 6098694 | 5891747 |
| Fannie Mae Guaranteed REMIC Series 2022-18 Class DL, 3.25% 7/25/2046  | 10397409 | 10059572 |
| Fannie Mae Guaranteed REMIC Series 2022-2 Class TH, 2.5% 2/25/2052  | 2333238 | 2195239 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class D, 2% 2/25/2048  | 13416605 | 12329861 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 56630684 | 51845550 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 5509580 | 5023908 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 3952651 | 3931571 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class DA, 2.25% 11/25/2047  | 15677329 | 14447739 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 8/25/2052 (b)(c) | 16638285 | 16585480 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FH, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.3672% 9/25/2052 (b)(c) | 33112770 | 32923514 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 9/25/2052 (b)(c) | 35707172 | 35593848 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 10/25/2052 (b)(c) | 11604912 | 11564076 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.4672% 10/25/2052 (b)(c) | 41688159 | 41555745 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 6715713 | 6395888 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class E, 2.5% 11/25/2047  | 13118363 | 12226206 |
| Fannie Mae Guaranteed REMIC Series 2022-9 Class DJ, 3.25% 3/25/2049  | 5885326 | 5608206 |
| Fannie Mae Guaranteed REMIC Series 2023-51 Class FB, U.S. 30-Day Avg. SOFR Index + 1.55%, 5.2172% 11/25/2053 (b)(c) | 24069255 | 24375457 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FD, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 11/25/2053 (b)(c) | 16168623 | 16363927 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FP, U.S. 30-Day Avg. SOFR Index + 1.55%, 5.2172% 11/25/2053 (b)(c) | 38531563 | 39021388 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 11/25/2053 (b)(c) | 4923681 | 4983723 |
| Fannie Mae Guaranteed REMIC Series 2023-56 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.1672% 11/25/2053 (b)(c) | 20669712 | 20917771 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.1972% 7/25/2054 (b)(c) | 5783828 | 5860602 |
| Fannie Mae Guaranteed REMIC Series 2024-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 9/25/2053 (b)(c) | 11641414 | 11725353 |
| Fannie Mae Guaranteed REMIC Series 2024-70 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 10/25/2054 (b)(c) | 18873999 | 18965034 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 12/25/2054 (b)(c) | 38465232 | 38747197 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 12/25/2054 (b)(c) | 9639947 | 9695124 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-41 Class J, 7.5% 6/18/2027  | 548 | 555 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-45 Class OP, 0% 6/25/2036 (s) | 14259 | 12381 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-62 Class KP, 0% 4/25/2036 (s) | 23044 | 19952 |
| Fannie Mae Mortgage pass-thru certificates Series 2013-51 Class GI, 3% 10/25/2032 (r) | 33099 | 981 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-59 Class MC, 1.5% 8/25/2040  | 21635127 | 18995322 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (b)(c) | 17300137 | 17441113 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-31 Class FN, U.S. 30-Day Avg. SOFR Index + 1.65%, 5.3172% 6/25/2054 (b)(c) | 31015611 | 31446583 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-33 Class FC, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.2672% 8/25/2054 (b)(c) | 18617310 | 18864542 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-37 Class DF, U.S. 30-Day Avg. SOFR Index + 1.65%, 5.3172% 8/25/2054 (b)(c) | 30559841 | 30988812 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 9/25/2054 (b)(c) | 8270046 | 8328872 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 2/25/2055 (b)(c) | 10862548 | 10977841 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.0672% 9/25/2054 (b)(c) | 12568512 | 12697901 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (b)(c) | 18616311 | 18792172 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (b)(c) | 8404500 | 8474318 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  | 1118907 | 1106293 |
| Fannie Mae Series 2022-28 Class A, 2.5% 2/25/2052  | 11634225 | 11236030 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 12932376 | 13019768 |
| Fannie Mae Series 2022-9 Class BA, 3% 5/25/2048  | 5650528 | 5380002 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-339 Class 5, 5.5% 7/25/2033 (r) | 10993 | 1422 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-343 Class 16, 5.5% 5/25/2034 (r) | 10386 | 1382 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-348 Class 14, 6.5% 8/25/2034 (c)(r) | 8718 | 1454 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 12, 5.5% 4/25/2034 (c)(r) | 5328 | 749 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 13, 6% 3/25/2034 (r) | 8331 | 1316 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2005-359 Class 19, 6% 7/25/2035 (c)(r) | 4917 | 824 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-384 Class 6, 5% 7/25/2037 (r) | 48889 | 7417 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class CJ, 6.5% 4/15/2028  | 906 | 917 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class ZH, 6% 4/15/2028  | 1821 | 1850 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2056 Class Z, 6% 5/15/2028  | 6983 | 7098 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  | 578294 | 578809 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2018-4795 Class FA, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.0727% 5/15/2048 (b)(c) | 702130 | 685809 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5148 Class D, 1.75% 10/25/2051  | 10454832 | 8662394 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class EA, 2.5% 8/25/2048  | 4073585 | 3726308 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 4328374 | 3934680 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5164 Class M, 2.5% 7/25/2048  | 4160462 | 3809391 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5165 Class PC, 1.5% 11/25/2051  | 5293925 | 4666181 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2121 Class MG, 6% 2/15/2029  | 4536 | 4631 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2131 Class BG, 6% 3/15/2029  | 26703 | 27169 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2135 Class JE, 6% 3/15/2029  | 2581 | 2626 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2137 Class PG, 6% 3/15/2029  | 3735 | 3809 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2154 Class PT, 6% 5/15/2029  | 9651 | 9860 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2218 Class ZB, 6% 3/15/2030  | 4855 | 4959 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2274 Class ZM, 6.5% 1/15/2031  | 3118 | 3167 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2303 Class ZV, 6% 4/15/2031  | 2836 | 2895 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2357 Class ZB, 6.5% 9/15/2031  | 32682 | 33979 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2380 Class SY, 8.0855% - U.S. 30-Day Avg. SOFR Index 4.4273% 11/15/2031 (c)(r) | 1156 | 55 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2412 Class FK, U.S. 30-Day Avg. SOFR Index + 0.9145%, 4.5727% 1/15/2032 (b)(c) | 881 | 885 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2423 Class FA, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 3/15/2032 (b)(c) | 1193 | 1200 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2424 Class FM, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.7727% 3/15/2032 (b)(c) | 1154 | 1164 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FE, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 6/15/2031 (b)(c) | 1691 | 1701 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FG, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.6727% 3/15/2032 (b)(c) | 620 | 624 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2502 Class ZC, 6% 9/15/2032  | 10324 | 10720 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2519 Class ZD, 5.5% 11/15/2032  | 11880 | 12194 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2520 Class BE, 6% 11/15/2032  | 24171 | 25094 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2587 Class IM, 6.5% 3/15/2033 (r) | 1361 | 184 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2693 Class MD, 5.5% 10/15/2033  | 102385 | 105426 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class OB, 6% 5/15/2034  | 14118 | 14565 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  | 262402 | 267992 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2947 Class XZ, 6% 3/15/2035  | 105003 | 109594 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  | 160648 | 163236 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3002 Class NE, 5% 7/15/2035  | 54436 | 56201 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3115 Class SM, 6.4855% - U.S. 30-Day Avg. SOFR Index 2.8273% 2/15/2036 (c)(r) | 17295 | 1642 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3119 Class PO, 0% 2/15/2036 (s) | 53085 | 44881 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3121 Class KO, 0% 3/15/2036 (s) | 7436 | 6679 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3123 Class LO, 0% 3/15/2036 (s) | 29033 | 24875 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3145 Class GO, 0% 4/15/2036 (s) | 33697 | 28975 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3189 Class PD, 6% 7/15/2036  | 57084 | 60025 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  | 212767 | 219007 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3244 Class SG, 6.5455% - U.S. 30-Day Avg. SOFR Index 2.8873% 11/15/2036 (c)(r) | 71646 | 6789 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3258 Class PM, 5.5% 12/15/2036  | 14215 | 14710 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3336 Class LI, 6.4655% - U.S. 30-Day Avg. SOFR Index 2.8073% 6/15/2037 (c)(r) | 53753 | 5486 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3366 Class FD, U.S. 30-Day Avg. SOFR Index + 0.3645%, 4.0227% 5/15/2037 (b)(c) | 55980 | 55362 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3415 Class PC, 5% 12/15/2037  | 25953 | 26507 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3832 Class PE, 5% 3/15/2041  | 267828 | 275125 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 97119 | 97895 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4116 Class AP, 1.35% 8/15/2042  | 9187319 | 8336441 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  | 51919 | 49440 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4149 Class IO, 3% 1/15/2033 (r) | 22415 | 1367 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (r) | 5 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (r) | 92526 | 2247 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  | 96600 | 96451 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  | 436468 | 426247 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4709 Class FE, U.S. 30-Day Avg. SOFR Index + 0.4645%, 4.1227% 8/15/2047 (b)(c) | 384225 | 378190 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-4954 Class KE, 1.5% 2/25/2050  | 2366126 | 1968490 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5000 Class BA, 2% 4/25/2045  | 11504183 | 10831366 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5001 Class A, 2% 1/25/2045  | 6928654 | 6622966 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5002 Class TJ, 2% 7/25/2050  | 5904402 | 5063904 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5041 Class LA, 1.5% 11/25/2040  | 2941710 | 2529595 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5046 Class PT, 1.5% 11/25/2040  | 2225454 | 1949369 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5059 Class GA, 1% 1/25/2051  | 1472899 | 1171496 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5066 Class A, 1.5% 11/25/2044  | 3091814 | 2842273 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5077 Class ME, 2% 8/15/2048  | 3877229 | 3370965 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5141 Class JM, 1.5% 4/25/2051  | 4276945 | 3743173 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class AD, 1.5% 10/25/2051  | 4222697 | 3712980 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class PC, 1.5% 10/25/2051  | 4156386 | 3625410 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class TP, 2.5% 6/25/2049  | 4133690 | 3756743 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 27426927 | 24668247 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 5399740 | 5019570 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 36888754 | 33798720 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 3838060 | 3493579 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 3726899 | 3392333 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 3586910 | 3331114 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 3129869 | 2848134 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 6393384 | 5745320 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5196 Class ME, 1.75% 2/25/2052  | 20258319 | 18447610 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 3129885 | 2848141 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 2720008 | 2527710 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 13097902 | 12214091 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5201 Class EB, 3% 2/25/2048  | 6909530 | 6600169 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 2926631 | 2780473 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 2915203 | 2712032 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class UA, 3% 4/25/2050  | 5073420 | 4752141 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5207 Class PA, 3% 6/25/2051  | 9307245 | 8587582 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EA, 3% 8/25/2050  | 8472938 | 8008090 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5209 Class EJ, 3% 8/25/2050  | 8472938 | 8008090 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5210 Class TA, 3.5% 11/25/2046  | 3850347 | 3743938 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CB, 3.25% 4/25/2052  | 15659393 | 15126643 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5236 Class P, 5% 4/25/2048  | 4934040 | 5004982 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5237 Class FP, U.S. 30-Day Avg. SOFR Index + 0.55%, 4.2172% 7/25/2052 (b)(c) | 3142492 | 3115795 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5250 Class FA, U.S. 30-Day Avg. SOFR Index + 0.67%, 4.3372% 8/25/2052 (b)(c) | 8616514 | 8552795 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5254 Class FG, U.S. 30-Day Avg. SOFR Index + 0.75%, 4.4172% 9/25/2052 (b)(c) | 14544935 | 14480290 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5255 Class FA, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.3672% 9/25/2052 (b)(c) | 9302351 | 9190041 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5256 Class FA, U.S. 30-Day Avg. SOFR Index + 0.65%, 4.3172% 9/25/2052 (b)(c) | 5553224 | 5517458 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5266 Class CD, 4.5% 10/25/2044  | 8724475 | 8765772 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 8/25/2053 (b)(c) | 8048180 | 8103072 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5354 Class FC, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 10/25/2053 (b)(c) | 12458477 | 12640519 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5357 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.1172% 11/25/2053 (b)(c) | 39635919 | 40081748 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 6/25/2054 (b)(c) | 5671419 | 5723734 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 4.6672% 10/25/2054 (b)(c) | 7274344 | 7304033 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5476 Class FB, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.7672% 11/25/2054 (b)(c) | 14186261 | 14267719 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (b)(c) | 23424499 | 23592572 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 4.8672% 2/25/2055 (b)(c) | 6918029 | 6954723 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 4.9172% 10/25/2054 (b)(c) | 12658832 | 12761103 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 4.8172% 2/25/2055 (b)(c) | 12118035 | 12219743 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5517 Class HF, U.S. 30-Day Avg. SOFR Index + 1.35%, 5.0172% 3/25/2055 (b)(c) | 9885723 | 9964139 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.7172% 4/25/2055 (b)(c) | 7255423 | 7296473 |
| Freddie Mac Non Gold Pool Series 1998-2095 Class PE, 6% 11/15/2028  | 10507 | 10708 |
| Freddie Mac Non Gold Pool Series 1998-2101 Class PD, 6% 11/15/2028  | 749 | 763 |
| Freddie Mac Non Gold Pool Series 1998-2104 Class PG, 6% 12/15/2028  | 838 | 855 |
| Freddie Mac Non Gold Pool Series 1999-2114 Class ZM, 6% 1/15/2029  | 372 | 380 |
| Freddie Mac Non Gold Pool Series 1999-2162 Class PH, 6% 6/15/2029  | 1467 | 1491 |
| Freddie Mac Non Gold Pool Series 2006-3225 Class EO, 0% 10/15/2036 (s) | 16427 | 13931 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/2057  | 249289 | 240119 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class MA, 3.5% 8/25/2057  | 4000183 | 3911261 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4 Class MA, 3.5% 3/25/2058  | 1597967 | 1558557 |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1 Class MA, 3.5% 7/25/2058  | 2773737 | 2701632 |
| Gcat 2021-Nqm7 Tr Series 2021-NQM7 Class A1, 1.915% 8/25/2066 (o) | 676252 | 638321 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H10 Class FA, CME Term SOFR 1 month Index + 0.4445%, 4.1159% 5/20/2060 (b)(c)(q) | 38523 | 38450 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.0969% 8/20/2060 (b)(c)(q) | 15239 | 15190 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H27 Class FA, CME Term SOFR 1 month Index + 0.38%, 4.1769% 12/20/2060 (b)(c)(q) | 54380 | 53987 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H05 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 12/20/2060 (b)(c)(q) | 37865 | 37873 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H07 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 2/20/2061 (b)(c)(q) | 42306 | 42315 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H12 Class FA, CME Term SOFR 1 month Index + 0.6045%, 4.2869% 2/20/2061 (b)(c)(q) | 52345 | 52349 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 4/20/2061 (b)(c)(q) | 34031 | 34041 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FB, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 5/20/2061 (b)(c)(q) | 44947 | 44959 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 5/20/2061 (b)(c)(q) | 37893 | 37900 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H17 Class FA, CME Term SOFR 1 month Index + 0.6445%, 4.3269% 6/20/2061 (b)(c)(q) | 37743 | 37767 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H20 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.3469% 9/20/2061 (b)(c)(q) | 112226 | 112325 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H21 Class FA, CME Term SOFR 1 month Index + 0.7145%, 4.3969% 10/20/2061 (b)(c)(q) | 44547 | 44631 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H01 Class FA, CME Term SOFR 1 month Index + 0.8145%, 4.4969% 11/20/2061 (b)(c)(q) | 43409 | 43520 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H03 Class FA, CME Term SOFR 1 month Index + 0.8145%, 4.4969% 1/20/2062 (b)(c)(q) | 27974 | 28054 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H06 Class FA, CME Term SOFR 1 month Index + 0.7445%, 4.4269% 1/20/2062 (b)(c)(q) | 58716 | 58844 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H07 Class FA, CME Term SOFR 1 month Index + 0.7445%, 4.4269% 3/20/2062 (b)(c)(q) | 34368 | 34418 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 4.4469% 5/20/2061 (b)(c)(q) | 264 | 265 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H03 Class FA, CME Term SOFR 1 month Index + 0.7145%, 4.3969% 1/20/2064 (b)(c)(q) | 24642 | 24689 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H05 Class FB, CME Term SOFR 1 month Index + 0.7145%, 4.3969% 12/20/2063 (b)(c)(q) | 56387 | 56478 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H11 Class BA, CME Term SOFR 1 month Index + 0.6145%, 4.2969% 6/20/2064 (b)(c)(q) | 30351 | 30359 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class FL, CME Term SOFR 1 month Index + 0.3945%, 4.0769% 5/20/2063 (b)(c)(q) | 1266 | 1261 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (q) | 2218 | 2107 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H19 Class FA, CME Term SOFR 1 month Index + 0.3145%, 3.9969% 4/20/2063 (b)(c)(q) | 2430 | 2413 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H13 Class FB, 1 year U.S. Treasury Index + 0.5%, 3.98% 5/20/2066 (b)(c)(q) | 100241 | 100346 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H20 Class FM, CME Term SOFR 1 month Index + 0.5145%, 4.1969% 12/20/2062 (b)(c)(q) | 8521 | 8507 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 81144 | 76046 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 3.83% 8/20/2066 (b)(c)(q) | 143438 | 143280 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 83242 | 84957 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.7259% 5/16/2034 (c)(r) | 19518 | 1138 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-73 Class AL, 7.0855% - CME Term SOFR 1 month Index 3.4259% 8/17/2034 (c)(r) | 15623 | 1554 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.9159% 6/16/2037 (c)(r) | 31232 | 2813 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-116 Class QB, 4% 9/16/2040  | 53359 | 53130 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 762047 | 758566 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 168381 | 167609 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-H03 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.3359% 3/20/2060 (b)(c)(q) | 93394 | 93484 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (r) | 4930 | 133 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-52 Class HI, 7% 4/16/2041 (r) | 13616 | 1401 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-94 Class SA, 5.9855% - CME Term SOFR 1 month Index 2.3183% 7/20/2041 (c)(r) | 65414 | 6949 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 186931 | 185300 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-2 Class BA, 3% 1/20/2044  | 1357994 | 1284959 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-21 Class HA, 3% 2/20/2044  | 525332 | 497539 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-25 Class HC, 3% 2/20/2044  | 884833 | 830175 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-5 Class A, 3% 1/20/2044  | 714668 | 676136 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 221334 | 210896 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 2307687 | 2144951 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-153 Class GA, 3% 9/20/2047  | 748563 | 697429 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-182 Class KA, 3% 10/20/2047  | 605404 | 565767 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-186 Class HK, 3% 11/16/2045  | 757259 | 716984 |
| Ginnie Mae REMIC pass-thru certificates Series 2018-13 Class Q, 3% 4/20/2047  | 679371 | 650841 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.2317% 2/20/2049 (b)(c) | 1560522 | 1552980 |
| Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.1423% 5/20/2065 (c)(q) | 20304 | 20089 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (o) | 6808187 | 6694304 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL4 Class A1, 3.9% 9/25/2061 (o)(p) | 2711473 | 2684705 |
| JPMorgan Mortgage Trust Series 2025-NQM2 Class A1, 5.567% 9/25/2065 (c)(o) | 9861104 | 9984619 |
| Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 6.25% 7/25/2067 (c)(o) | 1733614 | 1741422 |
| MFA Trust Series 2022-RPL1 Class A1, 3.3% 8/25/2061 (o) | 36814190 | 35308813 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (c)(o) | 666479 | 645096 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3 Series 2025-NQM3 Class A1, 5.53% 5/25/2070 (c)(o) | 12114487 | 12259315 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-Nqm4 Series 2025-NQM4 Class A1, 5.588% 6/25/2070 (o) | 5804672 | 5881307 |
| New Residential Mortgage Loan Trust Series 2019-1A Class A1B, 3.5% 10/25/2059 (o) | 2631278 | 2516044 |
| New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/2059 (o) | 255098 | 246199 |
| New Residential Mortgage Loan Trust Series 2024-RPL1 Class A, 3.8% 1/25/2064 (c)(o) | 7734233 | 7449531 |
| New Residential Mortgage Loan Trust Series 2025-NQM7 Class A1FC, 4.949% 10/26/2065 (c)(o) | 26050792 | 26145346 |
| New Residential Mtg Ln Tr 2020-Rpl1 Series 2020-RPL1 Class A1, 2.75% 11/25/2059 (c)(o) | 2259892 | 2194833 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (o) | 10292812 | 9789686 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (o) | 7476623 | 7182292 |
| NYMT Loan Trust Series 2025-CP1 Class A1, 3.75% 11/25/2069 (o) | 11482322 | 11244478 |
| OBX Series 2025-NQM14 Class A1, 5.162% 7/25/2065 (o)(p) | 5795251 | 5836676 |
| OBX Trust Series 2025-NQM1 Class A1FC, 4.731% 11/25/2065 (c)(o) | 9771602 | 9781064 |
| OBX Trust Series 2025-NQM10 Class A1, 5.453% 5/25/2065 (o)(p) | 17497699 | 17687301 |
| Obx Trust Series 2025-NQM19 Class A1, 4.869% 10/25/2065 (c)(o) | 11849506 | 11886851 |
| OBX Trust Series 2025-NQM8 Class A1, 5.472% 3/25/2065 (c)(o) | 3967018 | 4011005 |
| Oceanview Mortgage Loan Trust Series 2020-1 Class A1A, 1.7329% 5/28/2050 (o) | 24302 | 23176 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (o) | 209398 | 209118 |
| Ocwen Loan Investment Trust Series 2024-HB1 Class A, 3% 2/25/2037 (o) | 886137 | 874725 |
| Ocwen Loan Investment Trust Series 2025-HB1 Class A, 3% 6/25/2038 (c)(o) | 5186066 | 5106455 |
| Ocwen Loan Investment Trust Series 2025-HB2 Class A, 3% 11/25/2038 (c)(o) | 5493675 | 5325019 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (o) | 3350214 | 3350212 |
| Preston Ridge Partners Mortgage Series 2025-RCF1 Class A1, 4.845% 1/25/2056 (c)(o) | 27067304 | 27303870 |
| Pret 2025-Rpl3 Series 2025-RPL3 Class A1, 4.15% 4/25/2065 (o)(p) | 13771544 | 13581414 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (o) | 1371937 | 1334078 |
| Prpm 2023-Rcf1 LLC Series 2023-RCF1 Class A1, 4% 6/25/2053 (o) | 4313422 | 4288321 |
| Prpm 2025-Rcf3 LLC Series 2025-RCF3 Class A1, 5.25% 7/25/2055 (c)(o) | 7672568 | 7711313 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (o) | 3365385 | 3340255 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2064 (c)(o) | 6888821 | 6825937 |
| PRPM LLC Series 2024-RPL1 Class A1, 4.2% 12/25/2064 (c)(o) | 5399089 | 5355108 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (c)(o) | 17969788 | 17603970 |
| PRPM LLC Series 2024-RPL4 Class A1, 4% 12/25/2054 (o)(p) | 1046421 | 1031317 |
| Prpm LLC Series 2025-RCF5 Class A1, 4.839% 10/25/2055 (o) | 3402978 | 3408492 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (o) | 1632715 | 1550168 |
| Santander Mtg Asset Receivables Tr 2025-Nqm3 Series 2025-NQM3 Class A1, 5.599% 5/25/2065 (o) | 14691713 | 14882253 |
| Sequoia Mortgage Trust Series 2004-6 Class A3B, CME Term SOFR 6 month Index + 1.3083%, 4.9277% 7/20/2034 (b)(c) | 1329 | 1248 |
| Thornburg Mortgage Securities Trust Series 2003-4 Class A1, CME Term SOFR 1 month Index + 0.7545%, 4.4282% 9/25/2043 (b)(c) | 31614 | 30738 |
| TOWD Point Mortgage Trust Series 2018-1 Class A2, 3.25% 1/25/2058 (o) | 6426920 | 6319975 |
| Towd Point Mortgage Trust Series 2020-1 Class A1, 2.71% 1/25/2060 (o) | 491382 | 478133 |
| Towd Point Mortgage Trust Series 2021-1 Class A1, 2.25% 11/25/2061 (c)(o) | 19680284 | 18688563 |
| Towd Point Mortgage Trust Series 2022-1 Class A1, 3.75% 7/25/2062 (o) | 35378309 | 34481646 |
| Versus Securitization Trust Series 2026-1 Class A1FC, 4.743% 1/25/2071 (o)(p) | 13472196 | 13491605 |
| Versus Securitization Trust Series 2026-R1 Class A1FC, 4.675% 10/25/2067 (c)(o) | 9874831 | 9905335 |
| Verus Securitization Trust 2026-2 Series 2026-2 Class A1, 4.59% 2/25/2071 (c)(o) | 7252000 | 7242724 |
| Verus Securitization Trust 2026-2 Series 2026-2 Class A1FC, 4.507% 2/25/2071 (o)(p) | 6300000 | 6302280 |
| Verus Securitization Trust Series 2025-4 Class A1, 5.448% 5/25/2070 (o) | 2088514 | 2110261 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (c)(o) | 16815441 | 16987753 |
| Verus Securitization Trust Series 2025-6 Class A1, 5.417% 7/25/2070 (o)(p) | 12081620 | 12212902 |
| Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 6.3385% 9/25/2033 (c) | 3307 | 3293 |
| TOTAL UNITED STATES |  | 1932191091 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $1,897,100,374) |  | <br> **1932191091** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 4.3%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.3%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 4.3%  |  |  |
| 3650r Commercial Mortgage Trust Series 2021-PF1 Class A1, 1.122% 11/15/2054  | 2064127 | 2041066 |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 5.4026% 6/15/2040 (b)(c)(o) | 69558000 | 69906972 |
| Ares Commercial Mortgage Trust Series 2026-GCP Class A, CME Term SOFR 1 month Index + 1.25%, 4.95% 2/15/2043 (b)(c)(o) | 4846000 | 4847511 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (o) | 4657581 | 4506337 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class BNM, 3.465% 11/5/2032 (o) | 858000 | 818821 |
| BANK Series 2017-BNK5 Class A4, 3.131% 6/15/2060  | 2612067 | 2586115 |
| BANK Series 2017-BNK5 Class A5, 3.39% 6/15/2060  | 10059000 | 9964075 |
| BANK Series 2017-BNK6 Class ASB, 3.289% 7/15/2060  | 513507 | 511734 |
| BANK Series 2017-BNK8 Class A3, 3.229% 11/15/2050  | 3740736 | 3685759 |
| BANK Series 2018-BN10 Class A4, 3.428% 2/15/2061  | 7238339 | 7165285 |
| BANK Series 2018-BN12 Class ASB, 4.165% 5/15/2061  | 657996 | 657849 |
| BANK Series 2018-BN13 Class A4, 3.953% 8/15/2061  | 5905385 | 5880170 |
| BANK Series 2018-BN13 Class A5, 4.217% 8/15/2061  | 11000000 | 11035676 |
| BANK Series 2018-BN14 Class ASB, 4.185% 9/15/2060  | 2890872 | 2892813 |
| BANK Series 2018-BN15 Class ASB, 4.285% 11/15/2061  | 648289 | 650114 |
| BANK Series 2019-BN16 Class AS, 4.267% 2/15/2052  | 1400000 | 1381891 |
| BANK Series 2019-BN21 Class A5, 2.851% 10/17/2052  | 1112000 | 1065126 |
| BANK Series 2019-BN21 Class ASB, 2.808% 10/17/2052  | 4712296 | 4636252 |
| BANK Series 2019-BN23 Class ASB, 2.846% 12/15/2052  | 2526115 | 2474992 |
| BANK Series 2020-BN25 Class ASB, 2.613% 1/15/2063  | 2023981 | 1975613 |
| BANK Series 2020-BN25 Class XB, 0.4361% 1/15/2063 (c)(r) | 30600000 | 510383 |
| BANK Series 2020-BN26 Class A3, 2.155% 3/15/2063  | 6000000 | 5620765 |
| BANK Series 2020-BN26 Class ASB, 2.313% 3/15/2063  | 18262875 | 17761442 |
| BANK Series 2021-BN33 Class XA, 1.0239% 5/15/2064 (c)(r) | 100565222 | 3613429 |
| BANK Series 2022-BNK39 Class ASB, 2.82% 2/15/2055  | 4000000 | 3843728 |
| BANK Series 2022-BNK44 Class A5, 5.7432% 11/15/2055 (c) | 5700000 | 6151969 |
| BANK Series 2023-BNK46 Class A4, 5.745% 8/15/2056  | 10050000 | 10819802 |
| BANK Series 2024-BNK47 Class A5, 5.716% 6/15/2057  | 3400000 | 3663571 |
| BANK Series 2024-BNK48 Class A5, 5.053% 10/15/2057  | 20574000 | 21311240 |
| BANK Series 2025-BNK49 Class AS, 6.025% 3/15/2058  | 7000000 | 7519565 |
| Bank Series 2025-BNK50 Class A4, 5.354% 5/15/2068  | 10200000 | 10711804 |
| BANK5 Series 2023-5YR1 Class A2, 5.779% 4/15/2056  | 7633718 | 7789626 |
| BANK5 Series 2023-5YR2 Class A3, 6.656% 7/15/2056  | 8522000 | 8960030 |
| BANK5 Series 2024-5YR12 Class A3, 5.902% 12/15/2057  | 3370000 | 3571807 |
| BANK5 Series 2024-5YR7 Class AS, 6.489% 6/15/2057 (c) | 5000000 | 5298156 |
| BANK5 Series 2024-5YR9 Class AS, 6.1822% 8/15/2057 (c) | 5000000 | 5268814 |
| BANK5 Series 2025-5YR14 Class A3, 5.646% 4/15/2058  | 8000000 | 8437614 |
| BANK5 Series 2025-5YR18 Class A1, 4.284% 12/15/2058  | 2922397 | 2934485 |
| BANK5 Series 2025-5YR19 Class A3, 5.27% 12/15/2058  | 11739000 | 12288482 |
| BANK5 Series 2025-5YR19 Class XB, 0.5998% 12/15/2058 (c)(r) | 46717000 | 1336349 |
| BANK5 Series 2026-5YR20 Class A3, 5.104% 2/15/2059  | 36000000 | 37366895 |
| Barings Issuer LLC Series 2026-SBP Class A, 4.82% 2/25/2059 (o) | 26835000 | 26871785 |
| Bayview Commercial Asset Trust Series 2005-3A Class A2, CME Term SOFR 1 month Index + 0.7145%, 4.4462% 11/25/2035 (b)(c)(o) | 17161 | 17031 |
| Bayview Commercial Asset Trust Series 2005-3A Class M1, CME Term SOFR 1 month Index + 0.7745%, 4.5062% 11/25/2035 (b)(c)(o) | 4657 | 4663 |
| Bayview Commercial Asset Trust Series 2005-4A Class A2, CME Term SOFR 1 month Index + 0.6995%, 4.4312% 1/25/2036 (b)(c)(o) | 41510 | 39934 |
| Bayview Commercial Asset Trust Series 2005-4A Class M1, CME Term SOFR 1 month Index + 0.7895%, 4.5212% 1/25/2036 (b)(c)(o) | 13401 | 12905 |
| Bayview Commercial Asset Trust Series 2005-4A Class M2, CME Term SOFR 1 month Index + 0.8195%, 4.5512% 1/25/2036 (b)(c)(o) | 5053 | 4815 |
| Bayview Commercial Asset Trust Series 2005-4A Class M3, CME Term SOFR 1 month Index + 0.8645%, 4.5962% 1/25/2036 (b)(c)(o) | 7354 | 6959 |
| Bayview Commercial Asset Trust Series 2006-1A Class A2, CME Term SOFR 1 month Index + 0.6545%, 4.3282% 4/25/2036 (b)(c)(o) | 6775 | 6476 |
| Bayview Commercial Asset Trust Series 2006-1A Class M1, CME Term SOFR 1 month Index + 0.6845%, 4.3582% 4/25/2036 (b)(c)(o) | 4096 | 3870 |
| Bayview Commercial Asset Trust Series 2006-1A Class M2, CME Term SOFR 1 month Index + 0.7145%, 4.3882% 4/25/2036 (b)(c)(o) | 4333 | 4081 |
| Bayview Commercial Asset Trust Series 2006-1A Class M6, CME Term SOFR 1 month Index + 1.0745%, 4.7482% 4/25/2036 (b)(c)(o) | 4096 | 3855 |
| Bayview Commercial Asset Trust Series 2006-2A Class M1, CME Term SOFR 1 month Index + 0.5795%, 4.2532% 7/25/2036 (b)(c)(o) | 6118 | 5966 |
| Bayview Commercial Asset Trust Series 2006-2A Class M2, CME Term SOFR 1 month Index + 0.6095%, 4.2832% 7/25/2036 (b)(c)(o) | 4347 | 4269 |
| Bayview Commercial Asset Trust Series 2006-2A Class M4, CME Term SOFR 1 month Index + 0.7445%, 4.4182% 7/25/2036 (b)(c)(o) | 4105 | 3973 |
| Bayview Commercial Asset Trust Series 2006-4A Class A2, CME Term SOFR 1 month Index + 0.5195%, 4.1932% 12/25/2036 (b)(c)(o) | 86615 | 83352 |
| Bayview Commercial Asset Trust Series 2006-4A Class M1, CME Term SOFR 1 month Index + 0.5495%, 4.2232% 12/25/2036 (b)(c)(o) | 6961 | 6742 |
| Bayview Commercial Asset Trust Series 2006-4A Class M3, CME Term SOFR 1 month Index + 0.6245%, 4.2982% 12/25/2036 (b)(c)(o) | 4719 | 4426 |
| Bayview Commercial Asset Trust Series 2007-1 Class A2, CME Term SOFR 1 month Index + 0.5195%, 4.1932% 3/25/2037 (b)(c)(o) | 21386 | 20613 |
| Bayview Commercial Asset Trust Series 2007-2A Class A1, CME Term SOFR 1 month Index + 0.3845%, 4.1932% 7/25/2037 (b)(c)(o) | 73778 | 69660 |
| Bayview Commercial Asset Trust Series 2007-2A Class A2, CME Term SOFR 1 month Index + 0.4345%, 4.2682% 7/25/2037 (b)(c)(o) | 69055 | 63881 |
| Bayview Commercial Asset Trust Series 2007-2A Class M1, CME Term SOFR 1 month Index + 0.4845%, 4.3432% 7/25/2037 (b)(c)(o) | 23523 | 21388 |
| Bayview Commercial Asset Trust Series 2007-2A Class M2, CME Term SOFR 1 month Index + 0.5245%, 4.4032% 7/25/2037 (b)(c)(o) | 15326 | 15443 |
| Bayview Commercial Asset Trust Series 2007-2A Class M3, CME Term SOFR 1 month Index + 0.6045%, 4.5232% 7/25/2037 (b)(c)(j)(o) | 23262 | 22001 |
| Bayview Commercial Asset Trust Series 2007-3 Class A2, CME Term SOFR 1 month Index + 0.5495%, 4.2232% 7/25/2037 (b)(c)(o) | 24342 | 23306 |
| Bayview Commercial Asset Trust Series 2007-3 Class M1, CME Term SOFR 1 month Index + 0.5795%, 4.2532% 7/25/2037 (b)(c)(o) | 12912 | 11963 |
| Bayview Commercial Asset Trust Series 2007-3 Class M2, CME Term SOFR 1 month Index + 0.6245%, 4.2982% 7/25/2037 (b)(c)(o) | 13777 | 12641 |
| Bayview Commercial Asset Trust Series 2007-3 Class M3, CME Term SOFR 1 month Index + 0.6695%, 4.3432% 7/25/2037 (b)(c)(o) | 22241 | 20817 |
| Bayview Commercial Asset Trust Series 2007-3 Class M4, CME Term SOFR 1 month Index + 0.8645%, 4.5382% 7/25/2037 (b)(c)(o) | 34968 | 32676 |
| Bayview Commercial Asset Trust Series 2007-3 Class M5, CME Term SOFR 1 month Index + 1.0145%, 4.6882% 7/25/2037 (b)(c)(j)(o) | 27117 | 26906 |
| BBCMS Mortgage Trust Series 2019-C3 Class ASB, 3.458% 5/15/2052  | 3776991 | 3746748 |
| BBCMS Mortgage Trust Series 2019-C5 Class ASB, 2.99% 11/15/2052  | 1301544 | 1284132 |
| BBCMS Mortgage Trust Series 2020-C7 Class A5, 2.037% 4/15/2053  | 3222000 | 2949613 |
| BBCMS Mortgage Trust Series 2020-C8 Class ASB, 1.867% 10/15/2053  | 1320007 | 1266742 |
| BBCMS Mortgage Trust Series 2021-C11 Class ASB, 2.108% 9/15/2054  | 2000000 | 1908160 |
| BBCMS Mortgage Trust Series 2023-C21 Class A3, 6.2961% 9/15/2056 (c) | 13794000 | 14841938 |
| BBCMS Mortgage Trust Series 2024-C26 Class A5, 5.829% 5/15/2057  | 20004000 | 21708885 |
| BBCMS Mortgage Trust Series 2024-C28 Class A5, 5.403% 9/15/2057  | 8450000 | 8941878 |
| BBCMS Mortgage Trust Series 2024-C30 Class A5, 5.532% 11/15/2057  | 8047000 | 8606180 |
| BBCMS Mortgage Trust Series 2024-C30 Class AS, 5.831% 11/15/2057  | 633000 | 678946 |
| BBCMS Mortgage Trust Series 2025-C35 Class A5, 5.586% 7/15/2058 (c) | 15070000 | 16193761 |
| BBCMS Mortgage Trust Series 2026-5C40 Class AS, 5.5286% 2/15/2059  | 5000000 | 5229310 |
| BBCMS Mortgage Trust Series 2026-5C40 Class XB, 0.7483% 2/15/2059 (c)(o)(r) | 35100000 | 1266766 |
| BCP Trust Series 2021-330N Class A, CME Term SOFR 1 month Index + 0.9135%, 4.5735% 6/15/2038 (b)(c)(o) | 4207067 | 3794944 |
| Benchmark Mortgage Trust Series 2018-B1 Class ASB, 3.602% 1/15/2051  | 1223357 | 1216483 |
| Benchmark Mortgage Trust Series 2018-B2 Class ASB, 3.7802% 2/15/2051  | 1124469 | 1120421 |
| Benchmark Mortgage Trust Series 2018-B4 Class A5, 4.121% 7/15/2051  | 1260000 | 1259465 |
| Benchmark Mortgage Trust Series 2018-B6 Class A3, 3.995% 10/10/2051  | 4700000 | 4671409 |
| Benchmark Mortgage Trust Series 2018-B7 Class A2, 4.377% 5/15/2053  | 791836 | 790719 |
| Benchmark Mortgage Trust Series 2018-B8 Class A5, 4.2317% 1/15/2052  | 15369000 | 15312868 |
| Benchmark Mortgage Trust Series 2019-B10 Class A4, 3.717% 3/15/2062  | 2683000 | 2647460 |
| Benchmark Mortgage Trust Series 2019-B10 Class ASB, 3.615% 3/15/2062  | 5635054 | 5606882 |
| Benchmark Mortgage Trust Series 2019-B12 Class XA, 1.0157% 8/15/2052 (c)(r) | 73564492 | 1757397 |
| Benchmark Mortgage Trust Series 2019-B13 Class A4, 2.952% 8/15/2057  | 12263000 | 11758423 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.7596% 12/15/2062 (c)(r) | 111717903 | 2123601 |
| Benchmark Mortgage Trust Series 2020-B17 Class A4, 2.0422% 3/15/2053  | 6600000 | 6102937 |
| Benchmark Mortgage Trust Series 2020-B17 Class A5, 2.289% 3/15/2053  | 14415000 | 13220214 |
| Benchmark Mortgage Trust Series 2020-B17 Class XA, 1.3751% 3/15/2053 (c)(r) | 23441008 | 941829 |
| Benchmark Mortgage Trust Series 2020-B18 Class A5, 1.925% 7/15/2053  | 775000 | 697802 |
| Benchmark Mortgage Trust Series 2020-B18 Class XA, 1.7367% 7/15/2053 (c)(r) | 15528278 | 806550 |
| Benchmark Mortgage Trust Series 2020-B19 Class A5, 1.85% 9/15/2053  | 7500000 | 6779144 |
| Benchmark Mortgage Trust Series 2020-B19 Class B, 2.351% 9/15/2053  | 1100000 | 876340 |
| Benchmark Mortgage Trust Series 2020-B19 Class XA, 1.6588% 9/15/2053 (c)(r) | 9464261 | 417463 |
| Benchmark Mortgage Trust Series 2020-B21 Class AAB, 1.7975% 12/17/2053  | 9886676 | 9496914 |
| Benchmark Mortgage Trust Series 2020-IG1 Class A1, 2.7018% 9/15/2043  | 965194 | 919323 |
| Benchmark Mortgage Trust Series 2021-B23 Class AAB, 1.766% 2/15/2054  | 4915821 | 4684884 |
| Benchmark Mortgage Trust Series 2021-B24 Class ASB, 2.2559% 3/15/2054  | 6662000 | 6399475 |
| Benchmark Mortgage Trust Series 2021-B27 Class XA, 1.232% 7/15/2054 (c)(r) | 34370245 | 1561320 |
| Benchmark Mortgage Trust Series 2022-B33 Class A5, 3.4582% 3/15/2055  | 5700000 | 5401753 |
| Benchmark Mortgage Trust Series 2023-V2 Class AS, 6.5374% 5/15/2055  | 500000 | 521162 |
| Benchmark Mortgage Trust Series 2023-V3 Class AS, 7.0967% 7/15/2056  | 7450000 | 7879847 |
| Benchmark Mortgage Trust Series 2024-V11 Class A3, 5.909% 11/15/2057  | 7000000 | 7408753 |
| Benchmark Mortgage Trust Series 2024-V9 Class A3, 5.6019% 8/15/2057  | 15300000 | 15989475 |
| Benchmark Mortgage Trust Series 2025-B41 Class A5, 5.4072% 7/15/2068  | 7648000 | 8121178 |
| Benchmark Mortgage Trust Series 2026-B42 Class AS, 5.3274% 3/15/2059  | 16000000 | 16571829 |
| Benchmark Mortgage Trust Series 2026-V20 Class A3, 5.184% 2/15/2059  | 29300000 | 30564746 |
| BLOX Trust Series 2021-BLOX Class A, CME Term SOFR 1 month Index + 1.1145%, 4.7745% 9/15/2026 (b)(c)(o) | 21008136 | 20878400 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.0018% 3/15/2041 (b)(c)(o) | 28712534 | 28712534 |
| BMO Mortgage Trust Series 2023-C6 Class XA, 0.7915% 9/15/2056 (c)(r) | 221315490 | 10869578 |
| BMO Mortgage Trust Series 2024-5C3 Class AS, 6.2858% 2/15/2057 (c) | 11050000 | 11588681 |
| BMO Mortgage Trust Series 2024-5C5 Class A3, 5.8574% 2/15/2057  | 5100000 | 5358387 |
| BMO Mortgage Trust Series 2024-C9 Class A5, 5.7592% 7/15/2057  | 23060000 | 24916521 |
| BMO Mortgage Trust Series 2025-5C10 Class A3, 5.5784% 5/15/2058  | 23850000 | 25058761 |
| BMO Mortgage Trust Series 2025-5C12 Class XB, 0.7492% 10/15/2058 (c)(r) | 20300000 | 683355 |
| BMO Mortgage Trust Series 2025-5C13 Class A2, 4.7355% 12/15/2058  | 12600000 | 12863996 |
| BMO Mortgage Trust Series 2025-5C13 Class A3, 5.227% 12/15/2058  | 20400000 | 21247206 |
| BMO Mortgage Trust Series 2025-5C9 Class A3, 5.7785% 4/15/2058 (c) | 31400000 | 33137148 |
| BMO Mortgage Trust Series 2026-C14 Class A1, 4.3597% 2/15/2059  | 10000000 | 10068262 |
| BMO Series 2024-C8 Class A5, 5.598% 3/15/2057  | 13179000 | 14102261 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.0316% 6/15/2041 (b)(c)(o) | 29711000 | 29720285 |
| BMP Series 2024-MF23 Class B, CME Term SOFR 1 month Index + 1.6416%, 5.3012% 6/15/2041 (b)(c)(o) | 7175000 | 7179484 |
| BMP Series 2024-MF23 Class C, CME Term SOFR 1 month Index + 1.8413%, 5.5009% 6/15/2041 (b)(c)(o) | 3540000 | 3543319 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class A, 5.3919% 11/5/2039 (c)(o) | 13519000 | 13907813 |
| BPR Commercial Mortgage Trust Series 2024-PARK Class C, 6.3894% 11/5/2039 (c)(o) | 1858000 | 1932015 |
| BX Commercial Mortgage Trust 2021-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.1507% 4/15/2037 (b)(c)(o) | 9702335 | 9702335 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.0513% 3/15/2041 (b)(c)(o) | 60942131 | 60961175 |
| BX Commercial Mortgage Trust 2025-SPOT Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.103% 4/15/2040 (b)(c)(o) | 32119610 | 32159759 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.301% 5/15/2041 (c)(o) | 31063524 | 31082938 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 4.7063% 4/15/2034 (b)(c)(o) | 4547307 | 4524571 |
| BX Commercial Mortgage Trust Series 2019-IMC Class B, CME Term SOFR 1 month Index + 1.3463%, 5.0063% 4/15/2034 (b)(c)(o) | 4437000 | 4398176 |
| BX Commercial Mortgage Trust Series 2019-IMC Class C, CME Term SOFR 1 month Index + 1.6463%, 5.3063% 4/15/2034 (b)(c)(o) | 2933000 | 2903670 |
| BX Commercial Mortgage Trust Series 2019-IMC Class D, CME Term SOFR 1 month Index + 1.9463%, 5.6063% 4/15/2034 (b)(c)(o) | 3079000 | 3044361 |
| BX Commercial Mortgage Trust Series 2020-VIV2 Class C, 3.5424% 3/9/2044 (c)(o) | 5286000 | 5020628 |
| BX Commercial Mortgage Trust Series 2020-VIV4 Class A, 2.843% 3/9/2044 (o) | 11697000 | 11001779 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 4.4636% 10/15/2036 (b)(c)(o) | 33219512 | 33157225 |
| BX Commercial Mortgage Trust Series 2021-PAC Class B, CME Term SOFR 1 month Index + 1.0133%, 4.6733% 10/15/2036 (b)(c)(o) | 9701000 | 9676779 |
| BX Commercial Mortgage Trust Series 2021-PAC Class C, CME Term SOFR 1 month Index + 1.2131%, 4.8731% 10/15/2036 (b)(c)(o) | 10186000 | 10154209 |
| BX Commercial Mortgage Trust Series 2021-PAC Class D, CME Term SOFR 1 month Index + 1.4128%, 5.0728% 10/15/2036 (b)(c)(o) | 3579000 | 3567830 |
| BX Commercial Mortgage Trust Series 2021-PAC Class E, CME Term SOFR 1 month Index + 2.062%, 5.722% 10/15/2036 (b)(c)(o) | 11390000 | 11361560 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 4.6726% 2/15/2039 (b)(c)(o) | 1511338 | 1510865 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class B, CME Term SOFR 1 month Index + 1.3123%, 4.972% 2/15/2039 (b)(c)(o) | 7546700 | 7544341 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class C, CME Term SOFR 1 month Index + 1.5617%, 5.2214% 2/15/2039 (b)(c)(o) | 5089000 | 5087410 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class D, CME Term SOFR 1 month Index + 1.9608%, 5.6205% 2/15/2039 (b)(c)(o) | 5089000 | 5087410 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 5.4211% 12/9/2040 (b)(c)(o) | 10134774 | 10134774 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 5.8505% 12/9/2040 (b)(c)(o) | 3506300 | 3506300 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class C, CME Term SOFR 1 month Index + 2.6402%, 6.2998% 12/9/2040 (b)(c)(o) | 1899800 | 1899800 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 4.9525% 12/15/2039 (b)(c)(o) | 18572002 | 18577806 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 3/15/2043 (b)(c)(o) | 56753000 | 56788698 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class B, CME Term SOFR 1 month Index + 1.45%, 5.12% 3/15/2043 (b)(c)(o) | 5348000 | 5354713 |
| BX Commercial Mortgage Trust Series 2026-XL6 Class C, CME Term SOFR 1 month Index + 1.6%, 5.27% 3/15/2043 (b)(c)(o) | 4709000 | 4711953 |
| BX Trust 2019-OC11 Series 2019-OC11 Class A, 3.202% 12/9/2041 (o) | 13636000 | 13106980 |
| BX Trust 2019-OC11 Series 2019-OC11 Class C, 3.856% 12/9/2041 (o) | 800000 | 776040 |
| BX Trust 2021 Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 4.8245% 2/15/2036 (b)(c)(o) | 12055000 | 12047568 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.1015% 4/15/2041 (b)(c)(o) | 39851493 | 39863947 |
| BX Trust 2024-CNY Series 2024-CNYN Class B, CME Term SOFR 1 month Index + 1.6915%, 5.3512% 4/15/2041 (b)(c)(o) | 5825610 | 5829251 |
| BX Trust 2024-CNY Series 2024-CNYN Class C, CME Term SOFR 1 month Index + 1.9412%, 5.6008% 4/15/2041 (b)(c)(o) | 4865251 | 4868291 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 4.8035% 3/15/2030 (b)(c)(o) | 88459262 | 88348688 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.0531% 3/15/2030 (b)(c)(o) | 6424135 | 6408075 |
| BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.2029% 3/15/2030 (b)(c)(o) | 8687515 | 8665841 |
| BX Trust Series 2021-ACNT Class A, CME Term SOFR 1 month Index + 0.9645%, 4.6245% 11/15/2038 (b)(c)(o) | 1157980 | 1157618 |
| BX Trust Series 2021-ACNT Class B, CME Term SOFR 1 month Index + 1.3645%, 5.0245% 11/15/2038 (b)(c)(o) | 2136572 | 2135904 |
| BX Trust Series 2021-BXMF Class A, CME Term SOFR 1 month Index + 0.7504%, 4.4104% 10/15/2026 (b)(c)(o) | 3913524 | 3912301 |
| BX Trust Series 2021-XL2 Class A, CME Term SOFR 1 month Index + 0.6885%, 4.463% 10/15/2038 (b)(c)(o) | 5510848 | 5509126 |
| BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 5.5997% 4/15/2037 (b)(c)(o) | 8004500 | 8007002 |
| BX Trust Series 2022-IND Class C, CME Term SOFR 1 month Index + 2.29%, 5.9497% 4/15/2037 (b)(c)(o) | 2241400 | 2244195 |
| BX Trust Series 2022-IND Class D, CME Term SOFR 1 month Index + 2.839%, 6.4987% 4/15/2037 (b)(c)(o) | 1512000 | 1514835 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.1017% 2/15/2039 (b)(c)(o) | 49813720 | 49813720 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 5.4512% 2/15/2039 (b)(c)(o) | 3454869 | 3454869 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 5.3509% 3/15/2041 (b)(c)(o) | 10124800 | 10124800 |
| BX Trust Series 2024-XL5 Class C, CME Term SOFR 1 month Index + 1.9409%, 5.6005% 3/15/2041 (b)(c)(o) | 12509000 | 12509000 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 4.8097% 2/15/2035 (b)(c)(o) | 35345000 | 35297228 |
| BX Trust Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.0597% 6/15/2035 (b)(c)(o) | 8702000 | 8702000 |
| CCUBS Commercial Mortgage Trust Series 2017-C1 Class ASB, 3.462% 11/15/2050  | 430125 | 427586 |
| CD Mortgage Trust Series 2017-CD5 Class A3, 3.171% 8/15/2050  | 17699115 | 17446400 |
| CD Mortgage Trust Series 2017-CD5 Class AAB, 3.22% 8/15/2050  | 183979 | 182850 |
| CD Mortgage Trust Series 2017-CD6 Class ASB, 3.332% 11/13/2050  | 5279076 | 5242712 |
| Cent Trust Series 2025-CITY Class A, 4.92% 7/10/2040 (c)(o) | 23210000 | 23793502 |
| Cent Trust Series 2025-CITY Class X, 0.2082% 7/10/2040 (o) | 258988000 | 1693160 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A1, 1.69% 7/15/2060 (o) | 27830061 | 23584343 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A2, 1.99% 7/15/2060 (o) | 9859123 | 8043121 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (o) | 15107770 | 12354888 |
| CFCRE Commercial Mortgage Trust Series 2016-C4 Class A4, 3.283% 5/10/2058  | 576865 | 575429 |
| CFCRE Commercial Mortgage Trust Series 2016-C7 Class A2, 3.5853% 12/10/2054  | 8445777 | 8390414 |
| CFCRE Commercial Mortgage Trust Series 2017-C8 Class A3, 3.3048% 6/15/2050  | 18660421 | 18485513 |
| CGMS Commercial Mortgage Trust Series 2017-B1 Class A3, 3.197% 8/15/2050  | 761274 | 753100 |
| CGMS Commercial Mortgage Trust Series 2017-B1 Class A4, 3.458% 8/15/2050  | 2800000 | 2776316 |
| Citigroup Commercial Mortgage Trust Series 2016-P6 Class XA, 0.5388% 12/10/2049 (c)(r) | 1118227 | 2276 |
| Citigroup Commercial Mortgage Trust Series 2017-C4 Class A4, 3.471% 10/12/2050  | 5056000 | 5013511 |
| Citigroup Commercial Mortgage Trust Series 2017-P7 Class AAB, 3.509% 4/14/2050  | 1233547 | 1230306 |
| Citigroup Commercial Mortgage Trust Series 2019-C7 Class A4, 3.102% 12/15/2072  | 9335374 | 8985821 |
| Citigroup Commercial Mortgage Trust Series 2019-GC41 Class XA, 1.0051% 8/10/2056 (c)(r) | 18561698 | 525506 |
| Citigroup Commercial Mortgage Trust Series 2020-GC46 Class AAB, 2.614% 2/15/2053  | 887332 | 865743 |
| Citigroup Commercial Mortgage Trust Series 2023-PRM3 Class A, 6.3597% 7/10/2028 (c)(o) | 15287000 | 15924219 |
| COMM Mortgage Trust Series 2017-CD4 Class A4, 3.514% 5/10/2050  | 7919000 | 7847035 |
| COMM Mortgage Trust Series 2017-COR2 Class ASB, 3.317% 9/10/2050  | 300361 | 298825 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052  | 3836000 | 3860305 |
| Computershare Corporate Trust Series 2018-C48 Class ASB, 4.245% 1/15/2052  | 3593697 | 3599137 |
| CSAIL Commercial Mortgage Trust Series 2016-C6 Class A5, 3.0898% 1/15/2049  | 883925 | 881400 |
| CSAIL Commercial Mortgage Trust Series 2019-C18 Class AS, 3.3214% 12/15/2052  | 7124559 | 6831668 |
| CSAIL Commercial Mortgage Trust Series 2020-C19 Class ASB, 2.5501% 3/15/2053  | 5521890 | 5351297 |
| CSAIL Commercial Mortgage Trust Series 2021-C20 Class A2, 2.4862% 3/15/2054  | 3126752 | 2937543 |
| CSTL Commercial Mortgage Trust Series 2026-GATE3 Class A, 4.6945% 2/10/2043 (c)(o) | 8100000 | 8198586 |
| DBJPM Mortgage Trust Series 2017-C6 Class ASB, 3.121% 6/10/2050  | 1083508 | 1076606 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 6.038% 1/15/2041 (c)(o) | 9373000 | 9667458 |
| ELP Series 2025-ELP Class A, 4.7573% 11/13/2042 (o) | 9257000 | 9329958 |
| EQT Trust Series 2024-EXTR Class A, 5.3308% 7/5/2041 (c)(o) | 7260000 | 7443337 |
| Extended Stay America Trust Series 2025-ESH Class A, CME Term SOFR 1 month Index + 1.3%, 4.9597% 10/15/2042 (b)(c)(o) | 32203000 | 32243254 |
| Extended Stay America Trust Series 2025-ESH Class B, CME Term SOFR 1 month Index + 1.6%, 5.2597% 10/15/2042 (b)(c)(o) | 8175000 | 8190314 |
| Extended Stay America Trust Series 2025-ESH Class C, CME Term SOFR 1 month Index + 1.85%, 5.5097% 10/15/2042 (b)(c)(o) | 2440000 | 2446116 |
| Extended Stay America Trust Series 2026-ESH2 Class A, CME Term SOFR 1 month Index + 1.2%, 4.87% 2/15/2043 (b)(c)(o) | 66445000 | 66465764 |
| Extended Stay America Trust Series 2026-ESH2 Class B, CME Term SOFR 1 month Index + 1.4%, 5.0597% 2/15/2043 (b)(c)(o) | 7273000 | 7286637 |
| Extended Stay America Trust Series 2026-ESH2 Class C, CME Term SOFR 1 month Index + 1.6%, 5.2597% 2/15/2043 (b)(c)(o) | 1749000 | 1753372 |
| Fannie Mae Guaranteed REMIC Series 2018-M10 Class A2, 3.3527% 7/25/2028 (c) | 919360 | 913746 |
| Fannie Mae Guaranteed REMIC Series 2021-M2S Class A2, 1.8072% 10/25/2031 (c) | 2023230 | 1826069 |
| Fannie Mae Guaranteed REMIC Series 2023-M1S Class A2, 4.497% 4/25/2033 (c) | 4130000 | 4248311 |
| Fannie Mae Guaranteed REMIC Series 2023-M8 Class A2, 4.4759% 3/25/2033 (c) | 5204812 | 5345813 |
| Fannie Mae Guaranteed REMIC Series 2025-M4 Class A2, 4.389% 8/25/2035  | 23000000 | 23293085 |
| Fannie Mae Mortgage pass-thru certificates Series 2018-M13 Class A2, 3.7513% 9/25/2030 (c) | 3302663 | 3304464 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-M2 Class A2, 4.62% 4/25/2030  | 77705000 | 79932655 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K063 Class A2, 3.43% 1/25/2027  | 6082899 | 6057105 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K067 Class A2, 3.194% 7/25/2027  | 6723000 | 6672976 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 21500000 | 21338868 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K069 Class A2, 3.187% 9/25/2027  | 12069282 | 11976772 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  | 27454000 | 27269635 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K071 Class A2, 3.286% 11/25/2027  | 13265000 | 13162704 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K072 Class A2, 3.444% 12/25/2027  | 28327000 | 28188580 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K073 Class A2, 3.35% 1/25/2028  | 22090000 | 21970336 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  | 51254973 | 51134227 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K076 Class A2, 3.9% 4/25/2028  | 9900000 | 9938374 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K077 Class A2, 3.85% 5/25/2028  | 33650000 | 33756459 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K081 Class A2, 3.9% 8/25/2028  | 7532000 | 7570130 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K083 Class A2, 4.05% 9/25/2028  | 9405000 | 9486435 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K086 Class A2, 3.859% 11/25/2028  | 4600000 | 4619387 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K087 Class A2, 3.771% 12/25/2028  | 1090665 | 1093131 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K740 Class A2, 1.47% 9/25/2027  | 19600000 | 18960579 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K135 Class A2, 2.154% 10/25/2031  | 1500000 | 1371618 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K746 Class A2, 2.031% 9/25/2028  | 3140000 | 3013688 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K141 Class A2, 2.25% 2/25/2032  | 55000000 | 50257163 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K753 Class A2, 4.4% 10/25/2030  | 14050000 | 14393576 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K521 Class AS, U.S. 30-Day Avg. SOFR Index + 0.52%, 4.1992% 3/25/2029 (b)(c) | 33997855 | 33940208 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K755 Class A2, 5.203% 2/25/2031  | 10200000 | 10798497 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K543 Class A2, 4.329% 6/25/2030 (c) | 18082000 | 18458959 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K544 Class A2, 4.266% 7/25/2030 (c) | 21856000 | 22262546 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K545 Class A2, 4.29% 7/25/2030  | 7513000 | 7661494 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class A2, 4.361% 5/25/2030 (c) | 6600000 | 6743704 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class AS, U.S. 30-Day Avg. SOFR Index + 0.53%, 4.2092% 3/25/2030 (b)(c) | 32072752 | 32072729 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K547 Class A2, 4.421% 5/25/2030  | 38837000 | 39752563 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K548 Class A2, 4.32% 9/25/2030 (c) | 33150000 | 33847927 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K549 Class A2, 4.34% 9/25/2030 (c) | 5510000 | 5630308 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K550 Class A2, 4.163% 10/25/2030 (c) | 51000000 | 51755045 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class A2, 4.165% 11/25/2030 (c) | 11200000 | 11367297 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class AS, 4.2292% 10/25/2030 (c) | 76787597 | 76755608 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K552 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.2192% 10/25/2030 (b)(c) | 62485890 | 62485846 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K761 Class A2, 4.4% 6/25/2032  | 17700000 | 18131138 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K762 Class A2, 4.36% 9/25/2032  | 25900000 | 26406713 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K763 Class A2, 4.17% 10/25/2032 (c) | 26200000 | 26446471 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-177 Class A1, 4.203% 9/25/2035  | 33934000 | 34092608 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K553 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.2192% 10/25/2030 (b)(c) | 40597094 | 40597066 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K554 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1792% 10/25/2030 (b)(c) | 56094667 | 56094628 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K555 Class AS, U.S. 30-Day Avg. SOFR Index + 0.5%, 4.1792% 11/25/2030 (b)(c) | 74600000 | 74611183 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2026-K556 Class AS, U.S. 30-Day Avg. SOFR Index + 0.49%, 4.1692% 12/25/2030 (b)(c) | 45300000 | 45314143 |
| FREMF Mortgage Trust Series 2019-KF68 Class B, U.S. 30-Day Avg. SOFR Index + 2.3145%, 5.9937% 7/25/2026 (b)(c)(o) | 458375 | 454670 |
| GS Mortgage Securities Trust Series 2013-GC13 Class AS, 3.858% 7/10/2046 (c)(o) | 615475 | 609321 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  | 3972643 | 3927445 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A4, 3.89% 7/10/2051  | 15685681 | 15613210 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 5912000 | 5913460 |
| GS Mortgage Securities Trust Series 2018-GS10 Class AAB, 4.106% 7/10/2051  | 873172 | 872182 |
| GS Mortgage Securities Trust Series 2019-GSA1 Class A4, 3.0479% 11/10/2052  | 1000000 | 963580 |
| GS Mortgage Securities Trust Series 2020-GC45 Class AAB, 2.8428% 2/13/2053  | 7286553 | 7131036 |
| HAVN Trust Series 2025-MOB Class A, CME Term SOFR 1 month Index + 1.7%, 5.3597% 10/15/2035 (b)(c)(o) | 5244000 | 5234168 |
| Hilton USA Trust Series 2016-HHV Class B, 4.1935% 11/5/2038 (c)(o) | 5510000 | 5498101 |
| ILPT Trust Series 2019-SURF Class A, 4.145% 2/11/2041 (o) | 15819000 | 15714247 |
| Int Commercial Mortgage Trust Series 2025-PLAZA Class A, 5.0415% 11/5/2037 (c)(o) | 18991000 | 19384203 |
| JPMCC Commercial Mortgage Securities Trust Series 2019-COR4 Class A5, 4.0291% 3/10/2052  | 850000 | 824300 |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C4 Class ASB, 2.9941% 12/15/2049  | 262769 | 261845 |
| JPMDB Commercial Mortgage Securities Trust Series 2017-C5 Class ASB, 3.4919% 3/15/2050  | 3543561 | 3522704 |
| JPMDB Commercial Mortgage Securities Trust Series 2018-C8 Class ASB, 4.145% 6/15/2051  | 3775080 | 3774650 |
| JPMDB Commercial Mortgage Securities Trust Series 2019-COR6 Class A4, 3.0565% 11/13/2052  | 2872000 | 2653128 |
| JPMDB Commercial Mortgage Securities Trust Series 2020-COR7 Class A5, 2.1798% 5/13/2053  | 3450000 | 3036139 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-JP2 Class A4, 2.8218% 8/15/2049  | 2830047 | 2816541 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-AON Class D, 4.6132% 7/5/2031 (c)(o) | 1846000 | 567645 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (o) | 4282147 | 4084098 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class CFX, 4.9498% 7/5/2033 (o) | 767000 | 521905 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class DFX, 5.3503% 7/5/2033 (j)(o) | 1370000 | 790060 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-BKWD Class A, CME Term SOFR 1 month Index + 1.6145%, 5.2745% 9/15/2029 (b)(c)(o) | 2806374 | 2751065 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2021-2NU Class A, 1.9739% 1/5/2040 (o) | 12100000 | 11230407 |
| LCCM Mortgage Trust Series 2017-LC26 Class A3, 3.289% 7/12/2050 (o) | 4874074 | 4817854 |
| Life Financial Services Trust Series 2022-BMR2 Class A1, CME Term SOFR 1 month Index + 1.2952%, 4.9549% 5/15/2039 (b)(c)(o) | 43080997 | 41627013 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 5.4536% 5/15/2039 (b)(c)(o) | 22757000 | 21394593 |
| Life Financial Services Trust Series 2022-BMR2 Class C, CME Term SOFR 1 month Index + 2.0931%, 5.7528% 5/15/2039 (b)(c)(o) | 8790000 | 8003538 |
| Life Financial Services Trust Series 2022-BMR2 Class D, CME Term SOFR 1 month Index + 2.5419%, 6.2016% 5/15/2039 (b)(c)(o) | 8790000 | 7436561 |
| LIFE Mortgage Trust Series 2021-BMR Class C, CME Term SOFR 1 month Index + 1.2145%, 4.8745% 3/15/2038 (b)(c)(o) | 217658 | 216025 |
| LIFE Mortgage Trust Series 2021-BMR Class D, CME Term SOFR 1 month Index + 1.5145%, 5.1745% 3/15/2038 (b)(c)(o) | 1983800 | 1963962 |
| LIFE Mortgage Trust Series 2021-BMR Class E, CME Term SOFR 1 month Index + 1.8645%, 5.5245% 3/15/2038 (b)(c)(o) | 1733200 | 1700703 |
| LS Series 2026-HTL6 Class A, 5.1597% 12/15/2040 (c)(o) | 36000000 | 35820000 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 4.4745% 7/15/2038 (b)(c)(o) | 11210236 | 11201812 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.1597% 9/15/2040 (b)(c)(o) | 6192000 | 6197142 |
| Morgan Stanley Capital I Trust Series 2017-H1 Class A4, 3.259% 6/15/2050  | 16730000 | 16554477 |
| Morgan Stanley Capital I Trust Series 2017-HR2 Class A3, 3.33% 12/15/2050  | 6533883 | 6469327 |
| Morgan Stanley Capital I Trust Series 2018-BOP Class A, CME Term SOFR 1 month Index + 0.897%, 4.557% 8/15/2033 (b)(c)(o) | 134441 | 109362 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 4191000 | 4219309 |
| Morgan Stanley Capital I Trust Series 2018-L1 Class ASB, 4.238% 10/15/2051  | 2658568 | 2665540 |
| Morgan Stanley Capital I Trust Series 2019-H6 Class A4, 3.417% 6/15/2052  | 4961000 | 4852856 |
| Morgan Stanley Capital I Trust Series 2019-H6 Class ASB, 3.224% 6/15/2052  | 2282779 | 2256497 |
| Morgan Stanley Capital I Trust Series 2019-L2 Class A3, 3.806% 3/15/2052  | 17904493 | 17758398 |
| Morgan Stanley Capital I Trust Series 2019-NUGS Class A, CME Term SOFR 1 month Index + 1.0645%, 4.7245% 12/15/2036 (b)(c)(o) | 9700000 | 7435923 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.1406% 6/15/2054 (c)(r) | 25773831 | 949902 |
| Morgan Stanley Capital I Trust Series 2021-L7 Class ASB, 2.336% 10/15/2054  | 5000000 | 4762135 |
| Morgan Stanley Capital I Trust Series 2024-BPR2 Class A, 7.291% 5/5/2029 (o) | 4807363 | 5094921 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class A, 3.9% 9/24/2057 (c)(o) | 37095161 | 36624034 |
| Msbam Series 2025-5C2 Class A3, 5.107% 11/15/2058  | 1890000 | 1959102 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class XD, 3.0109% 12/15/2056 (c)(o)(r) | 12148000 | 2201714 |
| Natixis Commercial Mortgage Securities Trust Series 2020-2PAC Class A, 2.966% 12/15/2038 (o) | 7469322 | 7280212 |
| NYT Mortgage Trust Series 2019-NYT Class A, CME Term SOFR 1 month Index + 1.497%, 5.157% 12/15/2035 (b)(c)(o) | 20822000 | 20587753 |
| Plym Commercial Mortgage Trust Series 2026-IND Class A, CME Term SOFR 1 month Index + 1.25%, 4.9% 3/15/2043 (b)(c)(o) | 53644000 | 53644001 |
| Plym Commercial Mortgage Trust Series 2026-IND Class B, CME Term SOFR 1 month Index + 1.45%, 5.1% 3/15/2043 (b)(c)(o) | 7582000 | 7586746 |
| Plym Commercial Mortgage Trust Series 2026-IND Class C, CME Term SOFR 1 month Index + 1.65%, 5.3% 3/15/2043 (b)(c)(o) | 4407000 | 4409754 |
| SCG Trust Series 2025-FLWR Class A, CME Term SOFR 1 month Index + 1.25%, 4.9097% 8/15/2042 (b)(c)(o) | 12800000 | 12831927 |
| SCMS Series 2025-BNC1 Class A2, 4.5016% 12/15/2057 (o) | 32814000 | 32942641 |
| SLG Office Trust Series 2021-OVA Class X, 0.258% 7/15/2041 (c)(o)(r) | 213942750 | 2373417 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 4.5049% 11/15/2038 (b)(c)(o) | 45505581 | 45491361 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 4.8539% 11/15/2038 (b)(c)(o) | 21261276 | 21254632 |
| SREIT Trust Series 2021-MFP Class C, CME Term SOFR 1 month Index + 1.4435%, 5.1031% 11/15/2038 (b)(c)(o) | 5225983 | 5224350 |
| SREIT Trust Series 2021-MFP Class D, CME Term SOFR 1 month Index + 1.6927%, 5.3523% 11/15/2038 (b)(c)(o) | 3607019 | 3608363 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 4.9026% 12/15/2039 (b)(c)(o) | 42253000 | 42305850 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class B, CME Term SOFR 1 month Index + 1.5924%, 5.2521% 12/15/2039 (b)(c)(o) | 9610000 | 9634027 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class C, CME Term SOFR 1 month Index + 1.9919%, 5.6515% 12/15/2039 (b)(c)(o) | 5436000 | 5463188 |
| UBS Commercial Mortgage Trust Series 2017-C1 Class A3, 3.196% 6/15/2050  | 982593 | 974027 |
| UBS Commercial Mortgage Trust Series 2017-C5 Class ASB, 3.345% 11/15/2050  | 699599 | 694206 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class ASB, 3.586% 12/15/2050  | 310029 | 308532 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 0.9635% 12/15/2050 (c)(r) | 24482012 | 348994 |
| UBS Commercial Mortgage Trust Series 2018-C12 Class ASB, 4.1945% 8/15/2051  | 525408 | 525412 |
| UBS Commercial Mortgage Trust Series 2018-C8 Class ASB, 3.903% 2/15/2051  | 1031997 | 1028860 |
| UBS Commercial Mortgage Trust Series 2018-C9 Class A4, 4.117% 3/15/2051  | 9714061 | 9647690 |
| UBS Commercial Mortgage Trust Series 2019-C17 Class ASB, 2.8655% 10/15/2052  | 8362349 | 8213965 |
| UBS Commercial Mortgage Trust Series 2019-C18 Class ASB, 2.9872% 12/15/2052  | 2976584 | 2927641 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class A, 2.13% 10/10/2042 (o) | 14678994 | 12752758 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class B, 2.453% 10/10/2042 (o) | 470000 | 390709 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class X, 0.4294% 10/10/2042 (c)(o) | 58746457 | 994719 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C35 Class A4, 2.931% 7/15/2048  | 11005000 | 10938995 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C35 Class A4FL, CME Term SOFR 1 month Index + 1.1645%, 4.8285% 7/15/2048 (b)(c)(o) | 5200000 | 5200892 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C37 Class A4, 3.525% 12/15/2049  | 2576703 | 2562307 |
| Wells Fargo Commercial Mortgage Trust Series 2016-LC25 Class A3, 3.374% 12/15/2059  | 13445517 | 13384694 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C40 Class ASB, 3.395% 10/15/2050  | 272022 | 270543 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C41 Class ASB, 3.39% 11/15/2050  | 43854 | 43604 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C42 Class XA, 0.8156% 12/15/2050 (c)(r) | 1169690 | 14576 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C44 Class A5, 4.212% 5/15/2051  | 9285000 | 9297654 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C44 Class ASB, 4.167% 5/15/2051  | 423250 | 423987 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 0.9038% 8/15/2051 (c)(r) | 27283384 | 402659 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C47 Class ASB, 4.365% 9/15/2061  | 5705709 | 5712680 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C49 Class ASB, 3.933% 3/15/2052  | 4949024 | 4940343 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C50 Class ASB, 3.635% 5/15/2052  | 4823795 | 4785022 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C51 Class A4, 3.311% 6/15/2052  | 1470000 | 1420248 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C51 Class ASB, 3.16% 6/15/2052  | 1858637 | 1833080 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C52 Class A5, 2.892% 8/15/2052  | 3829000 | 3662888 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C54 Class A4, 3.146% 12/15/2052  | 2390000 | 2305770 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C54 Class ASB, 3.063% 12/15/2052  | 1386855 | 1367100 |
| Wells Fargo Commercial Mortgage Trust Series 2019-C54 Class XA, 0.8293% 12/15/2052 (c)(r) | 57119336 | 1527799 |
| Wells Fargo Commercial Mortgage Trust Series 2020-C55 Class ASB, 2.651% 2/15/2053  | 675769 | 659621 |
| Wells Fargo Commercial Mortgage Trust Series 2020-C56 Class ASB, 2.422% 6/15/2053  | 1882435 | 1823318 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C60 Class A4, 2.342% 8/15/2054  | 5000000 | 4544103 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C61 Class A4, 2.658% 11/15/2054  | 5000000 | 4572691 |
| Wells Fargo Commercial Mortgage Trust Series 2021-C61 Class ASB, 2.525% 11/15/2054  | 5380000 | 5162512 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 4.9745% 5/15/2031 (b)(c)(o) | 16435000 | 16427419 |
| Wells Fargo Commercial Mortgage Trust Series 2024-5C1 Class A3, 5.928% 7/15/2057  | 11703000 | 12330490 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 5.451% 10/15/2041 (b)(c)(o) | 7200000 | 7190627 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class B, CME Term SOFR 1 month Index + 2.2906%, 5.9503% 10/15/2041 (b)(c)(o) | 3750000 | 3751304 |
| Wells Fargo Commercial Mortgage Trust Series 2025-5C4 Class XA, 1.1212% 5/15/2058 (c)(r) | 15980183 | 665742 |
| Wells Fargo Commercial Mortgage Trust Series 2025-5C4 Class XB, 0.5147% 5/15/2058 (c)(r) | 40000000 | 871900 |
| Wells Fargo Commercial Mortgage Trust Series 2026-5C8 Class A3, 5.034% 3/15/2059  | 29000000 | 29995460 |
| Wells Fargo Commercial Mortgage Trust Series 2026-5C8 Class AS, 5.25% 3/15/2059  | 3022000 | 3120696 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.2704% 3/15/2038 (c)(o) | 8466000 | 8546683 |
| TOTAL UNITED STATES |  | 3983896790 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $3,973,218,622) |  | <br> **3983896790** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** | &nbsp;&nbsp;**Common Stocks - 0.0%** |
|  | Shares | Value ($)<br>|
| FRANCE - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Media - 0.0% |  |  |
| Altice France Holding SA (j) | 5999 | 109019 |
| UNITED STATES - 0.0%  |  |  |
| Health Care - 0.0% |  |  |
| Health Care Providers & Services - 0.0% |  |  |
| Cano Health LLC (j)(t) | 22175 | 187157 |
| Cano Health LLC warrants 6/28/2029 (j)(t) | 681 | 947 |
| TOTAL UNITED STATES |  | 188104 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $542,771) |  | <br> **297123** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 48.6%** | &nbsp;&nbsp;**Fixed-Income Funds - 48.6%** | &nbsp;&nbsp;**Fixed-Income Funds - 48.6%** |
|  | Shares | Value ($)<br>|
| Fidelity Advisor Floating Rate High Income Fund - Class Z (v) | 172091913 | 1538501700 |
| Fidelity Advisor New Markets Income Fund - Class Z (v) | 146691701 | 2063952234 |
| Fidelity Advisor Real Estate Income Fund - Class Z (v) | 153203591 | 1918108964 |
| Fidelity SAI Enhanced Core Bond Fund (v) | 220002177 | 2250622273 |
| Fidelity SAI High Income Fund (v) | 70273938 | 670413372 |
| Fidelity SAI Inflation-Protected Bond Index Fund (v) | 60504780 | 620173991 |
| Fidelity SAI Intermediate Treasury Bond Index Fund (v) | 422767140 | 4257265096 |
| Fidelity SAI International Credit Fund (v) | 192727652 | 2106513234 |
| Fidelity SAI Long-Term Treasury Bond Index Fund (v) | 372701779 | 2601458420 |
| Fidelity SAI Municipal Income Fund (v) | 18798516 | 189677027 |
| Fidelity SAI Short-Term Treasury Bond Index Fund (v) | 28986387 | 294211826 |
| Fidelity SAI Total Bond Fund (v) | 2121430125 | 19665657259 |
| Fidelity SAI U.S. Treasury Bond Index Fund (v) | 633153599 | 5685719317 |
| Fidelity Sustainability Bond Index Fund (v) | 2711781 | 25816155 |
| Fidelity U.S. Bond Index Fund (v) | 150649560 | 1610443795 |
| <br> **TOTAL FIXED-INCOME FUNDS**<br> (Cost $46,794,110,525) |  | **45498534663** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.1%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.0%  |  |  |  |
| Australian Commonwealth 1.75% 11/21/2032 (m) | AUD | 365000 | 219558 |
| CANADA - 0.0%  |  |  |  |
| Canadian Government 1.5% 12/1/2031  | CAD | 1140000 | 778120 |
| Canadian Government 1.5% 6/1/2031  | CAD | 455000 | 313188 |
| Canadian Government 2% 6/1/2032  | CAD | 575000 | 401062 |
| Canadian Government 2.75% 6/1/2033  | CAD | 690000 | 499631 |
| Canadian Government 3% 6/1/2034  | CAD | 435000 | 318585 |
| Canadian Government 3.25% 12/1/2033  | CAD | 5700000 | 4257711 |
| TOTAL CANADA |  |  | 6568297 |
| COLOMBIA - 0.1%  |  |  |  |
| Colombian Republic 5.375% 1/21/2029  |  | 6215000 | 6202570 |
| Colombian Republic 6.125% 1/21/2031  |  | 1890000 | 1885275 |
| Colombian Republic 7.375% 4/25/2030  |  | 14080000 | 14789632 |
| Colombian Republic 8% 11/14/2035  |  | 3578000 | 3818621 |
| TOTAL COLOMBIA |  |  | 26696098 |
| GERMANY - 0.0%  |  |  |  |
| German Federal Republic 3.25% 7/4/2042 (m) | EUR | 95000 | 114833 |
| JAPAN - 0.0%  |  |  |  |
| Japan Government 0.1% 9/20/2028  | JPY | 382050000 | 2374452 |
| Japan Government 0.2% 3/1/2026  | JPY | 1282500000 | 8212193 |
| Japan Government Treasury Bills 0% 3/2/2026 (n) | JPY | 1000000000 | 6403484 |
| Japan Government Treasury Bills 0% 3/23/2026 (n) | JPY | 265250000 | 1697879 |
| TOTAL JAPAN |  |  | 18688008 |
| MEXICO - 0.0%  |  |  |  |
| United Mexican States 3.25% 4/16/2030  |  | 1247000 | 1186988 |
| United Mexican States 3.5% 2/12/2034  |  | 1035000 | 906143 |
| United Mexican States 4.5% 4/22/2029  |  | 3114000 | 3134163 |
| United Mexican States 6% 5/13/2030  |  | 3370000 | 3545240 |
| TOTAL MEXICO |  |  | 8772534 |
| MULTI-NATIONAL - 0.0%  |  |  |  |
| European Union 3.375% 12/12/2035 (m) | EUR | 6900000 | 8434401 |
| European Union 3.75% 10/12/2045 (m) | EUR | 1200000 | 1436228 |
| European Union 4% 4/4/2044 (m) | EUR | 1980000 | 2465210 |
| TOTAL MULTI-NATIONAL |  |  | 12335839 |
| ROMANIA - 0.0%  |  |  |  |
| Romanian Republic 2.124% 7/16/2031 (m) | EUR | 275000 | 293664 |
| Romanian Republic 4.625% 3/4/2033 (o) | EUR | 1030000 | 1214005 |
| Romanian Republic 5.875% 7/11/2032 (m) | EUR | 1125000 | 1423016 |
| Romanian Republic 6.375% 9/18/2033 (m) | EUR | 800000 | 1035412 |
| TOTAL ROMANIA |  |  | 3966097 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $75,212,482) |  |  | <br> **77361264** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Municipal Securities - 0.0%** | &nbsp;&nbsp;**Municipal Securities - 0.0%** | &nbsp;&nbsp;**Municipal Securities - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| California - 0.0%  |  |  |
| General Obligations - 0.0% |  |  |
| State of California 7.625% 3/1/2040  | 190000 | 234183 |
| Ohio - 0.0%  |  |  |
| Electric Utilities - 0.0% |  |  |
| American Mun Pwr Rev 8.084% 2/15/2050  | 870000 | 1121670 |
| <br> **TOTAL MUNICIPAL SECURITIES**<br> (Cost $1,409,709) |  | <br> **1355853** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 11.7%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 11.7%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 11.7%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 11.7%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.1%  |  |  |  |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Australia & New Zealand Banking Group Ltd 5.1454% 8/18/2036 (c)(m) | GBP | 1400000 | 1903577 |
| Commonwealth Bank of Australia 2.688% 3/11/2031 (o) |  | 4532000 | 4190952 |
| Commonwealth Bank of Australia 3.61% 9/12/2034 (c)(o) |  | 3723000 | 3628312 |
| Commonwealth Bank of Australia 3.784% 3/14/2032 (o) |  | 16472000 | 15906678 |
| Commonwealth Bank of Australia 3.788% 8/26/2037 (c)(m) | EUR | 1000000 | 1188536 |
| National Australia Bank Ltd 3.612% 1/22/2036 (c)(m) | EUR | 1100000 | 1306919 |
| Westpac Banking Corp 4.11% 7/24/2034 (c) |  | 5791000 | 5741206 |
| Westpac Banking Corp 5.405% 8/10/2033 (c) |  | 12205000 | 12724013 |
|  |  |  | 46590193 |
| Financial Services - 0.0% |  |  |  |
| Cimic Finance Ltd 1.5% 5/28/2029 (m) | EUR | 1075000 | 1207031 |
| Insurance - 0.0% |  |  |  |
| QBE Insurance Group Ltd 2.5% 9/13/2038 (c)(m) | GBP | 1405000 | 1803548 |
| TOTAL FINANCIALS |  |  | 49600772 |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Fortescue Treasury Pty Ltd 4.375% 4/1/2031 (o) |  | 196000 | 189896 |
| Fortescue Treasury Pty Ltd 4.5% 9/15/2027 (o) |  | 790000 | 789672 |
| Fortescue Treasury Pty Ltd 6.125% 4/15/2032 (o) |  | 160000 | 167595 |
| Glencore Funding LLC 5.186% 4/1/2030 (o) |  | 4520000 | 4677069 |
| Glencore Funding LLC 6.125% 10/6/2028 (o) |  | 2000000 | 2095258 |
| Glencore Funding LLC 6.375% 10/6/2030 (o) |  | 5000000 | 5411989 |
| Mineral Resources Ltd 7% 4/1/2031 (o) |  | 230000 | 241962 |
| Mineral Resources Ltd 8% 11/1/2027 (o) |  | 2075000 | 2120578 |
| TOTAL MATERIALS |  |  | 15694019 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| AusNet Services Holdings Pty Ltd 6.134% 5/31/2033  | AUD | 1430000 | 1056941 |
| TOTAL AUSTRALIA |  |  | 66351732 |
| AUSTRIA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Mondi Finance PLC 3.375% 5/23/2031 (m) | EUR | 470000 | 556688 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Supernova Invest GmbH 5% 6/24/2030 (m) | EUR | 275000 | 336936 |
| TOTAL AUSTRIA |  |  | 893624 |
| BELGIUM - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Food Products - 0.0% |  |  |  |
| Barry Callebaut Services NV 4.25% 8/19/2031 (m) | EUR | 1500000 | 1845835 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Fluxys SA 4% 11/28/2030 (m) | EUR | 1700000 | 2063552 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| KBC Group NV 4.932% 10/16/2030 (c)(o) |  | 22400000 | 22973393 |
| KBC Group NV 5.796% 1/19/2029 (c)(o) |  | 6314000 | 6520182 |
| KBC Group NV 6.324% 9/21/2034 (c)(o) |  | 9860000 | 10863245 |
| TOTAL FINANCIALS |  |  | 40356820 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Shurgard Luxembourg Sarl 4% 5/27/2035 (m) | EUR | 800000 | 955453 |
| TOTAL BELGIUM |  |  | 45221660 |
| BRAZIL - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| ERO Copper Corp 6.5% 2/15/2030 (o) |  | 1040000 | 1045200 |
| Vale Overseas Ltd 6.4% 6/28/2054  |  | 11975000 | 12487889 |
| TOTAL BRAZIL |  |  | 13533089 |
| CANADA - 0.3%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| TELUS Corp 6.375% 6/9/2056 (c) |  | 520000 | 527679 |
| TELUS Corp 6.625% 10/15/2055 (c) |  | 330000 | 340764 |
| TELUS Corp 6.625% 6/9/2056 (c) |  | 345000 | 347789 |
| TELUS Corp 7% 10/15/2055 (c) |  | 495000 | 522351 |
|  |  |  | 1738583 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Rogers Communications Inc 3.2% 3/15/2027  |  | 2876000 | 2854941 |
| Rogers Communications Inc 3.8% 3/15/2032  |  | 7438000 | 7119546 |
| Rogers Communications Inc 4.55% 3/15/2052  |  | 9856000 | 8047945 |
|  |  |  | 18022432 |
| TOTAL COMMUNICATION SERVICES |  |  | 19761015 |
| Consumer Discretionary - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| 1011778 BC ULC / New Red Finance Inc 4% 10/15/2030 (o) |  | 1325000 | 1272406 |
| 1011778 BC ULC / New Red Finance Inc 6.125% 6/15/2029 (o) |  | 2190000 | 2252334 |
|  |  |  | 3524740 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |  |
| Gildan Activewear Inc 4.7% 10/7/2030 (o) |  | 1720000 | 1731027 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 5255767 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| Alimentation Couche-Tard Inc 2.95% 1/25/2030 (o) |  | 3940000 | 3771007 |
| Alimentation Couche-Tard Inc 5.077% 9/29/2035 (o) |  | 22000000 | 22342478 |
| TOTAL CONSUMER STAPLES |  |  | 26113485 |
| Energy - 0.2% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |  |
| Canadian Natural Resources Ltd 2.95% 7/15/2030  |  | 8571000 | 8192162 |
| Canadian Natural Resources Ltd 5% 12/15/2029  |  | 7200000 | 7430729 |
| Canadian Natural Resources Ltd 5.85% 2/1/2035  |  | 296000 | 316766 |
| Canadian Natural Resources Ltd 6.25% 3/15/2038  |  | 8834000 | 9538693 |
| Canadian Natural Resources Ltd 6.5% 2/15/2037  |  | 6400000 | 7035616 |
| Cenovus Energy Inc 2.65% 1/15/2032  |  | 768000 | 698058 |
| Cenovus Energy Inc 3.75% 2/15/2052  |  | 2379000 | 1723652 |
| Cenovus Energy Inc 4.65% 3/20/2031  |  | 8552000 | 8660519 |
| Cenovus Energy Inc 5.25% 6/15/2037  |  | 657000 | 654841 |
| Cenovus Energy Inc 5.4% 3/20/2036  |  | 3191000 | 3250397 |
| Cenovus Energy Inc 5.4% 6/15/2047  |  | 1485000 | 1396430 |
| Cenovus Energy Inc 6.75% 11/15/2039  |  | 3025000 | 3381661 |
| Enbridge Inc 4.9% 6/20/2030  |  | 11871000 | 12229033 |
| Enbridge Inc 5.55% 6/20/2035  |  | 9900000 | 10380785 |
| Enbridge Inc 5.7% 3/8/2033  |  | 8000000 | 8502648 |
| Enbridge Inc 5.95% 4/5/2054  |  | 12809000 | 13208298 |
| Enbridge Inc 6% 11/15/2028  |  | 6027000 | 6349227 |
| Enbridge Inc 6.7% 11/15/2053  |  | 2200000 | 2474016 |
| Enbridge Inc 7.2% 6/27/2054 (c) |  | 5400000 | 5819510 |
| South Bow Canadian Infrastructure Holdings Ltd 7.5% 3/1/2055 (c) |  | 157000 | 166646 |
| South Bow USA Infrastructure Holdings LLC 4.911% 9/1/2027  |  | 8200000 | 8288569 |
| TOTAL ENERGY |  |  | 119698256 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Bank of Nova Scotia/The 3.375% 3/5/2033 (c)(m) | EUR | 3200000 | 3813098 |
| Bank of Nova Scotia/The 4.247% 2/2/2030 (c) |  | 11000000 | 11054279 |
| Bank of Nova Scotia/The 4.338% 9/15/2031 (c) |  | 7090000 | 7115249 |
| Bank of Nova Scotia/The 4.813% 2/2/2034 (c) |  | 5000000 | 5057635 |
| Bank of Nova Scotia/The 5.13% 2/14/2031 (c) |  | 3300000 | 3416905 |
| Royal Bank of Canada 3.125% 9/27/2031 (c)(m) | EUR | 1440000 | 1712853 |
| Toronto Dominion Bank 3.357% 9/22/2032 (m) | EUR | 1300000 | 1538418 |
|  |  |  | 33708437 |
| Insurance - 0.0% |  |  |  |
| Empower Finance 2020 LP 1.357% 9/17/2027 (o) |  | 1474000 | 1417591 |
| Empower Finance 2020 LP 3.075% 9/17/2051 (o) |  | 3522000 | 2353546 |
| Intact Financial Corp 5.459% 9/22/2032 (o) |  | 7368000 | 7747585 |
|  |  |  | 11518722 |
| TOTAL FINANCIALS |  |  | 45227159 |
| Industrials - 0.0% |  |  |  |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Wrangler Holdco Corp 6.625% 4/1/2032 (o) |  | 1805000 | 1880288 |
| Information Technology - 0.0% |  |  |  |
| Software - 0.0% |  |  |  |
| Open Text Corp 3.875% 12/1/2029 (o) |  | 335000 | 301515 |
| Open Text Corp 3.875% 2/15/2028 (o) |  | 420000 | 400362 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 701877 |
| Materials - 0.0% |  |  |  |
| Chemicals - 0.0% |  |  |  |
| Methanex Corp 5.125% 10/15/2027  |  | 820000 | 823212 |
| Methanex Corp 5.25% 12/15/2029  |  | 90000 | 90761 |
| NOVA Chemicals Corp 5.25% 6/1/2027 (o) |  | 204000 | 205085 |
| NOVA Chemicals Corp 8.5% 11/15/2028 (o) |  | 970000 | 1015444 |
|  |  |  | 2134502 |
| Metals & Mining - 0.0% |  |  |  |
| Capstone Copper Corp 6.75% 3/31/2033 (o) |  | 620000 | 640731 |
| Champion Iron Canada Inc 7.875% 7/15/2032 (o) |  | 410000 | 436070 |
| Hudbay Minerals Inc 4.5% 4/1/2026 (o) |  | 620000 | 619597 |
| New Gold Inc 6.875% 4/1/2032 (o) |  | 405000 | 430406 |
|  |  |  | 2126804 |
| TOTAL MATERIALS |  |  | 4261306 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Emera US Finance LP 2.639% 6/15/2031  |  | 7893000 | 7242203 |
| Emera US Finance LP 3.55% 6/15/2026  |  | 9123000 | 9104515 |
| Emera US Finance LP 4.75% 6/15/2046  |  | 5449000 | 4711217 |
| TransAlta Corp 5.875% 2/1/2034  |  | 435000 | 437719 |
| TransAlta Corp 6.5% 3/15/2040  |  | 515000 | 520008 |
| TOTAL UTILITIES |  |  | 22015662 |
| TOTAL CANADA |  |  | 244914815 |
| CHINA - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Broadline Retail - 0.0% |  |  |  |
| Alibaba Group Holding Ltd 2.125% 2/9/2031  |  | 2350000 | 2157085 |
| Alibaba Group Holding Ltd 2.7% 2/9/2041  |  | 12255000 | 9275320 |
| TOTAL CHINA |  |  | 11432405 |
| COLOMBIA - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| EnfraGen Energia Sur SA / EnfraGen Spain SA / Prime Energia SpA 5.375% 12/30/2030 (o) |  | 995000 | 935300 |
| EnfraGen Energia Sur SAU/ EnfraGen Chile SpA/ EnfraGen Spain SAU 8.499% 6/30/2032 (o) |  | 205000 | 214013 |
| TOTAL COLOMBIA |  |  | 1149313 |
| CONGO DEMOCRATIC REPUBLIC OF - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Ivanhoe Mines Ltd 7.875% 1/23/2030 (o) |  | 420000 | 437260 |
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 1.5% 1/27/2031 (m) | EUR | 400000 | 391819 |
| DENMARK - 0.0%  |  |  |  |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Carlsberg Breweries A/S 3.25% 2/28/2032 (m) | EUR | 925000 | 1100512 |
| Tobacco - 0.0% |  |  |  |
| Scandinavian Tobacco Group A/S 4.875% 9/12/2029 (m) | EUR | 425000 | 525262 |
| TOTAL CONSUMER STAPLES |  |  | 1625774 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Danske Bank A/S 3.875% 1/9/2032 (c)(m) | EUR | 2840000 | 3478899 |
| Jyske Bank A/S 5.125% 5/1/2035 (c)(m) | EUR | 665000 | 830775 |
| TOTAL FINANCIALS |  |  | 4309674 |
| Health Care - 0.0% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| GENMAB A/S/GENMAB FINANCE LLC 6.25% 12/15/2032 (o) |  | 425000 | 441167 |
| GENMAB A/S/GENMAB FINANCE LLC 7.25% 12/15/2033 (o) |  | 125000 | 132651 |
| TOTAL HEALTH CARE |  |  | 573818 |
| TOTAL DENMARK |  |  | 6509266 |
| FINLAND - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Leisure Products - 0.0% |  |  |  |
| Amer Sports Co 6.75% 2/16/2031 (o) |  | 391000 | 407968 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Citycon Treasury BV 5% 3/11/2030 (m) | EUR | 420000 | 482262 |
| Citycon Treasury BV 5.375% 7/8/2031 (m) | EUR | 300000 | 342974 |
| TOTAL REAL ESTATE |  |  | 825236 |
| TOTAL FINLAND |  |  | 1233204 |
| FRANCE - 0.2%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Altice France SA 6.5% 4/15/2032 (o) |  | 784909 | 751712 |
| Orange SA 4.25% 1/13/2031 (o) |  | 14281000 | 14304271 |
| Orange SA 4.75% 1/13/2033 (o) |  | 12609000 | 12756036 |
| Orange SA 5% 1/13/2036 (o) |  | 11760000 | 11811711 |
|  |  |  | 39623730 |
| Media - 0.0% |  |  |  |
| Publicis Groupe SA 3.375% 6/12/2032 (m) | EUR | 900000 | 1064983 |
| TOTAL COMMUNICATION SERVICES |  |  | 40688713 |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Valeo SE 4.625% 3/23/2032 (m) | EUR | 400000 | 480668 |
| Automobiles - 0.0% |  |  |  |
| RCI Banque SA 4.75% 3/24/2037 (c)(m) | EUR | 400000 | 487497 |
| RCI Banque SA 5.5% 10/9/2034 (c)(m) | EUR | 600000 | 749762 |
|  |  |  | 1237259 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 1717927 |
| Consumer Staples - 0.0% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Pernod Ricard SA 3.75% 2/4/2037 (m) | EUR | 1000000 | 1177317 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Vallourec SACA 7.5% 4/15/2032 (o) |  | 807000 | 856856 |
| Financials - 0.2% |  |  |  |
| Banks - 0.2% |  |  |  |
| BNP Paribas SA 1.904% 9/30/2028 (c)(o) |  | 7317000 | 7072966 |
| BNP Paribas SA 2.159% 9/15/2029 (c)(o) |  | 3350000 | 3186639 |
| BNP Paribas SA 2.591% 1/20/2028 (c)(o) |  | 2740000 | 2705959 |
| BNP Paribas SA 3.945% 2/18/2037 (c)(m) | EUR | 2600000 | 3095339 |
| BNP Paribas SA 5.786% 1/13/2033 (c)(o) |  | 28396000 | 30075548 |
| BPCE SA 2.277% 1/20/2032 (c)(o) |  | 7519000 | 6771267 |
| BPCE SA 4.875% 4/1/2026 (o) |  | 7383000 | 7386463 |
| BPCE SA 5.716% 1/18/2030 (c)(o) |  | 750000 | 779181 |
| BPCE SA 7.003% 10/19/2034 (c)(o) |  | 1150000 | 1292424 |
| Credit Agricole SA 6.251% 1/10/2035 (c)(o) |  | 8000000 | 8507634 |
| Societe Generale SA 1.792% 6/9/2027 (c)(o) |  | 2160000 | 2146632 |
| Societe Generale SA 4.677% 6/15/2027 (o) |  | 4831000 | 4883012 |
| Societe Generale SA 5.5% 4/13/2029 (c)(o) |  | 24956000 | 25607985 |
| Societe Generale SA 5.634% 1/19/2030 (c)(o) |  | 7780000 | 8077180 |
| Societe Generale SA 6.446% 1/10/2029 (c)(o) |  | 6850000 | 7125755 |
| Societe Generale SA 6.691% 1/10/2034 (c)(o) |  | 550000 | 603970 |
|  |  |  | 119317954 |
| Financial Services - 0.0% |  |  |  |
| Iliad Holding SAS 7% 4/15/2032 (o) |  | 405000 | 415726 |
| TOTAL FINANCIALS |  |  | 119733680 |
| Industrials - 0.0% |  |  |  |
| Transportation Infrastructure - 0.0% |  |  |  |
| Holding d'Infrastructures des Metiers de l'Environnement SAS 0.625% 9/16/2028 (m) | EUR | 700000 | 779476 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Electricite de France SA 5.5% 1/25/2035 (m) | GBP | 1500000 | 2026321 |
| Electricite de France SA 6.125% 6/2/2034 (m) | GBP | 100000 | 141720 |
|  |  |  | 2168041 |
| Multi-Utilities - 0.0% |  |  |  |
| Engie SA 3.875% 3/6/2036 (m) | EUR | 800000 | 965488 |
| Engie SA 4.25% 9/6/2034 (m) | EUR | 600000 | 749991 |
| Veolia Environnement SA 3.324% 6/17/2032 (m) | EUR | 2200000 | 2618415 |
|  |  |  | 4333894 |
| TOTAL UTILITIES |  |  | 6501935 |
| TOTAL FRANCE |  |  | 171455904 |
| GERMANY - 0.2%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| Robert Bosch GmbH 4.375% 6/2/2043 (m) | EUR | 500000 | 593604 |
| Schaeffler AG 5.375% 4/1/2031 (m) | EUR | 400000 | 502130 |
| ZF Europe Finance BV 4.75% 1/31/2029 (m) | EUR | 600000 | 720367 |
| ZF Europe Finance BV 5.5% 2/17/2032 (m) | EUR | 700000 | 827657 |
| ZF Europe Finance BV 7% 6/12/2030 (m) | EUR | 400000 | 507834 |
| ZF North America Capital Inc 6.75% 4/23/2030 (o) |  | 435000 | 439853 |
| ZF North America Capital Inc 6.875% 4/14/2028 (o) |  | 375000 | 387603 |
| ZF North America Capital Inc 6.875% 4/23/2032 (o) |  | 220000 | 220725 |
|  |  |  | 4199773 |
| Automobiles - 0.0% |  |  |  |
| Volkswagen Group of America Finance LLC 4.35% 6/8/2027 (o) |  | 3394000 | 3403383 |
| Volkswagen Group of America Finance LLC 5.7% 9/12/2026 (o) |  | 8400000 | 8472457 |
|  |  |  | 11875840 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 16075613 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| METRO AG 4% 3/5/2030 (m) | EUR | 675000 | 837316 |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Vier Gas Transport GmbH 3.625% 9/8/2033 (m) | EUR | 1100000 | 1312726 |
| Financials - 0.1% |  |  |  |
| Banks - 0.0% |  |  |  |
| Commerzbank AG 3.625% 1/14/2032 (c)(m) | EUR | 800000 | 962055 |
| DZ Bank AG Deutsche Zentral-Genossenschaftsbank Frankfurt Am Main 3.706% 10/15/2035 (c)(m) | EUR | 500000 | 593754 |
| Volkswagen Bank GmbH 3.5% 6/19/2031 (m) | EUR | 700000 | 836914 |
|  |  |  | 2392723 |
| Capital Markets - 0.1% |  |  |  |
| Deutsche Bank AG/New York NY 2.311% 11/16/2027 (c) |  | 2513000 | 2482476 |
| Deutsche Bank AG/New York NY 3.035% 5/28/2032 (c) |  | 4028000 | 3733750 |
| Deutsche Bank AG/New York NY 3.729% 1/14/2032 (c) |  | 10000000 | 9514133 |
| Deutsche Bank AG/New York NY 4.725% 2/6/2032 (c) |  | 11170000 | 11265449 |
| Deutsche Bank AG/New York NY 4.95% 8/4/2031 (c) |  | 8600000 | 8758839 |
| Deutsche Bank AG/New York NY 5.373% 1/10/2029 (c) |  | 5700000 | 5825362 |
| Deutsche Bank AG/New York NY 6.72% 1/18/2029 (c) |  | 11000000 | 11504478 |
| Deutsche Bank AG/New York NY 7.146% 7/13/2027 (c) |  | 11860000 | 11994099 |
|  |  |  | 65078586 |
| Financial Services - 0.0% |  |  |  |
| KfW 0.375% 5/20/2036 (m) | EUR | 454000 | 420032 |
| KfW 0.75% 1/15/2029 (m) | EUR | 1485000 | 1684652 |
| KfW 2.625% 1/10/2034 (m) | EUR | 1655000 | 1948227 |
|  |  |  | 4052911 |
| Insurance - 0.0% |  |  |  |
| Allianz SE 5.6% 9/3/2054 (c)(o) |  | 7200000 | 7362065 |
| TOTAL FINANCIALS |  |  | 78886285 |
| Health Care - 0.1% |  |  |  |
| Pharmaceuticals - 0.1% |  |  |  |
| Bayer US Finance II LLC 4.375% 12/15/2028 (o) |  | 6803000 | 6827386 |
| Bayer US Finance II LLC 4.875% 6/25/2048 (o) |  | 5321000 | 4564863 |
| Bayer US Finance LLC 6.25% 1/21/2029 (o) |  | 5290000 | 5583099 |
| Bayer US Finance LLC 6.375% 11/21/2030 (o) |  | 1480000 | 1594096 |
| Bayer US Finance LLC 6.5% 11/21/2033 (o) |  | 11585000 | 12697672 |
| Bayer US Finance LLC 6.875% 11/21/2053 (o) |  | 16200000 | 17697614 |
| TOTAL HEALTH CARE |  |  | 48964730 |
| Information Technology - 0.0% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.0% |  |  |  |
| Infineon Technologies AG 3.5% 2/16/2034 (m) | EUR | 1000000 | 1190167 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| ACCENTRO East Holding GMBH 6% 6/30/2027 pay-in-kind (j) | EUR | 100000 | 118160 |
| Accentro Real Estate AG 10% 12/30/2027 pay-in-kind  | EUR | 406630 | 514478 |
| Accentro Real Estate AG 5.625% 12/30/2034 pay-in-kind (c)(m) | EUR | 1443507 | 460525 |
| Sirius Real Estate Ltd 4% 1/22/2032 (m) | EUR | 800000 | 955318 |
| TOTAL REAL ESTATE |  |  | 2048481 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| Amprion GmbH 3.125% 8/27/2030 (m) | EUR | 800000 | 953146 |
| Amprion GmbH 3.625% 5/21/2031 (m) | EUR | 300000 | 364284 |
| Amprion GmbH 3.875% 6/5/2036 (m) | EUR | 900000 | 1079689 |
| EnBW International Finance BV 3.75% 11/20/2035 (m) | EUR | 1525000 | 1834597 |
| EnBW International Finance BV 5.7923% 2/26/2036 (m) | AUD | 1260000 | 894141 |
|  |  |  | 5125857 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| RWE Finance US LLC 5.125% 9/18/2035 (o) |  | 5093000 | 5105800 |
| RWE Finance US LLC 5.875% 4/16/2034 (o) |  | 1581000 | 1678377 |
|  |  |  | 6784177 |
| TOTAL UTILITIES |  |  | 11910034 |
| TOTAL GERMANY |  |  | 161225352 |
| GRAND CAYMAN (UK OVERSEAS TER) - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Global Aircraft Leasing Co Ltd 8.75% 9/1/2027 (o) |  | 1210000 | 1247148 |
| GUATEMALA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Millicom International Cellular SA 4.5% 4/27/2031 (o) |  | 6466000 | 6016900 |
| Millicom International Cellular SA 5.125% 1/15/2028 (o) |  | 801000 | 796755 |
| TOTAL GUATEMALA |  |  | 6813655 |
| HONG KONG - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Insurance - 0.0% |  |  |  |
| AIA Group Ltd 3.9% 4/6/2028 (o) |  | 2931000 | 2940241 |
| AIA Group Ltd 5.375% 4/5/2034 (o) |  | 4500000 | 4729325 |
| Prudential Funding Asia PLC 2.95% 11/3/2033 (c)(m) |  | 3700000 | 3574297 |
| TOTAL HONG KONG |  |  | 11243863 |
| IRELAND - 0.3%  |  |  |  |
| Financials - 0.2% |  |  |  |
| Banks - 0.0% |  |  |  |
| Bank of Ireland Group PLC 5.601% 3/20/2030 (c)(o) |  | 6500000 | 6763114 |
| Consumer Finance - 0.2% |  |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  |  | 14122000 | 13985330 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  |  | 31806000 | 30941488 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.3% 1/30/2032  |  | 15939000 | 14895005 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.4% 10/29/2033  |  | 2691000 | 2456193 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.85% 10/29/2041  |  | 4396000 | 3659838 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.125% 2/28/2029  |  | 6297000 | 6300293 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.375% 11/15/2030  |  | 4113000 | 4123853 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.95% 9/10/2034  |  | 8350000 | 8371483 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.1% 1/19/2029  |  | 5200000 | 5339179 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 5.75% 6/6/2028  |  | 16700000 | 17294765 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.1% 1/15/2027  |  | 4800000 | 4881427 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.15% 9/30/2030  |  | 10400000 | 11163961 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  |  | 1866000 | 1912959 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.5% 1/31/2056 (c) |  | 1225000 | 1269934 |
|  |  |  | 126595708 |
| Financial Services - 0.0% |  |  |  |
| GGAM Finance Ltd 5.875% 3/15/2030 (o) |  | 845000 | 858368 |
| GGAM Finance Ltd 6.875% 4/15/2029 (o) |  | 545000 | 561391 |
| GGAM Finance Ltd 8% 2/15/2027 (o) |  | 390000 | 393997 |
|  |  |  | 1813756 |
| TOTAL FINANCIALS |  |  | 135172578 |
| Industrials - 0.1% |  |  |  |
| Passenger Airlines - 0.0% |  |  |  |
| SMBC Aviation Capital Finance DAC 5.7% 7/25/2033 (o) |  | 6000000 | 6341646 |
| Transportation Infrastructure - 0.1% |  |  |  |
| Avolon Holdings Funding Ltd 3.25% 2/15/2027 (o) |  | 11688000 | 11580977 |
| Avolon Holdings Funding Ltd 4.2% 4/15/2029 (o) |  | 3442000 | 3432825 |
| Avolon Holdings Funding Ltd 4.375% 5/1/2026 (o) |  | 7747000 | 7747480 |
| Avolon Holdings Funding Ltd 4.85% 4/1/2033 (o) |  | 655000 | 649216 |
| Avolon Holdings Funding Ltd 4.9% 10/10/2030 (o) |  | 10000000 | 10142261 |
| Avolon Holdings Funding Ltd 4.95% 1/15/2028 (o) |  | 10100000 | 10234138 |
| Avolon Holdings Funding Ltd 5.15% 1/15/2030 (o) |  | 14620000 | 14971663 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (o) |  | 15782000 | 16323383 |
| Avolon Holdings Funding Ltd 5.75% 11/15/2029 (o) |  | 6000000 | 6270139 |
| Avolon Holdings Funding Ltd 5.75% 3/1/2029 (o) |  | 14000000 | 14564699 |
| Avolon Holdings Funding Ltd 6.375% 5/4/2028 (o) |  | 28614000 | 29822787 |
|  |  |  | 125739568 |
| TOTAL INDUSTRIALS |  |  | 132081214 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| Smurfit Kappa Treasury ULC 3.489% 11/24/2031  | EUR | 250000 | 299298 |
| Smurfit Kappa Treasury ULC 5.438% 4/3/2034  |  | 10500000 | 10943875 |
| Smurfit Westrock Financing DAC 5.418% 1/15/2035  |  | 6624000 | 6874841 |
| TOTAL MATERIALS |  |  | 18118014 |
| TOTAL IRELAND |  |  | 285371806 |
| ISRAEL - 0.0%  |  |  |  |
| Health Care - 0.0% |  |  |  |
| Pharmaceuticals - 0.0% |  |  |  |
| Teva Pharmaceutical Finance Netherlands III BV 6% 12/1/2032  |  | 200000 | 212230 |
| Teva Pharmaceutical Finance Netherlands IV BV 5.75% 12/1/2030  |  | 1050000 | 1089544 |
| TOTAL ISRAEL |  |  | 1301774 |
| ITALY - 0.1%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Intesa Sanpaolo SpA 4.198% 6/1/2032 (c)(o) |  | 17320000 | 16737738 |
| UniCredit SpA 1.982% 6/3/2027 (c)(o) |  | 6165000 | 6131550 |
| TOTAL FINANCIALS |  |  | 22869288 |
| Utilities - 0.1% |  |  |  |
| Electric Utilities - 0.1% |  |  |  |
| Enel Finance International NV 4.375% 9/30/2030 (o) |  | 17235000 | 17323057 |
| Enel Finance International NV 5% 9/30/2035 (o) |  | 10000000 | 9989613 |
| Enel Finance International NV 5.125% 6/26/2029 (o) |  | 12100000 | 12465804 |
| Enel Finance International NV 5.5% 6/26/2034 (o) |  | 9385000 | 9790966 |
| Enel Finance International NV 7.5% 10/14/2032 (o) |  | 1105000 | 1279166 |
| Enel SpA 3.375% (c)(m)(u) | EUR | 671000 | 794262 |
|  |  |  | 51642868 |
| Gas Utilities - 0.0% |  |  |  |
| Snam SpA 5.75% 5/28/2035 (o) |  | 977000 | 1032489 |
| TOTAL UTILITIES |  |  | 52675357 |
| TOTAL ITALY |  |  | 75544645 |
| JAPAN - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| NTT Finance Corp 1.591% 4/3/2028 (o) |  | 3586000 | 3420856 |
| NTT Finance Corp 3.678% 7/16/2033 (m) | EUR | 600000 | 722027 |
| NTT Finance Corp 4.567% 7/16/2027 (o) |  | 3278000 | 3307736 |
| NTT Finance Corp 4.62% 7/16/2028 (o) |  | 3778000 | 3835075 |
| NTT Finance Corp 4.876% 7/16/2030 (o) |  | 13593000 | 13945378 |
| NTT Finance Corp 5.171% 7/16/2032 (o) |  | 16350000 | 16903330 |
| NTT Finance Corp 5.502% 7/16/2035 (o) |  | 6100000 | 6373026 |
| TOTAL COMMUNICATION SERVICES |  |  | 48507428 |
| Consumer Staples - 0.0% |  |  |  |
| Tobacco - 0.0% |  |  |  |
| Japan Tobacco Inc 4.85% 5/15/2028 (o) |  | 4109000 | 4192615 |
| Japan Tobacco Inc 5.21% 6/15/2030 (o) |  | 10408000 | 10868761 |
| Japan Tobacco Inc 5.856% 6/15/2035 (o) |  | 8260000 | 8938907 |
| TOTAL CONSUMER STAPLES |  |  | 24000283 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Mitsubishi UFJ Financial Group Inc 1.538% 7/20/2027 (c) |  | 3276000 | 3245811 |
| Mitsubishi UFJ Financial Group Inc 1.64% 10/13/2027 (c) |  | 4211000 | 4153038 |
| Mitsubishi UFJ Financial Group Inc 5.017% 7/20/2028 (c) |  | 4690000 | 4759860 |
| Mitsubishi UFJ Financial Group Inc 5.258% 4/17/2030 (c) |  | 6000000 | 6212948 |
| Mizuho Financial Group Inc 1.234% 5/22/2027 (c) |  | 5448000 | 5415664 |
| Mizuho Financial Group Inc 1.554% 7/9/2027 (c) |  | 2200000 | 2181887 |
| Mizuho Financial Group Inc 4.254% 9/11/2029 (c) |  | 1035000 | 1040357 |
| Mizuho Financial Group Inc 4.711% 7/8/2031 (c) |  | 20356000 | 20756722 |
| Mizuho Financial Group Inc 5.323% 7/8/2036 (c) |  | 10000000 | 10363615 |
| Sumitomo Mitsui Financial Group Inc 4.494% 1/15/2032 (c) |  | 7000000 | 7068998 |
| TOTAL FINANCIALS |  |  | 65198900 |
| TOTAL JAPAN |  |  | 137706611 |
| LUXEMBOURG - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Breakwater Energy Holdings Sarl 9.25% 11/15/2030 (o) |  | 205000 | 218387 |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Titanium 2l Bondco Sarl 6.25% 1/14/2031 pay-in-kind  | EUR | 6558500 | 1445403 |
| Real Estate - 0.0% |  |  |  |
| Diversified REITs - 0.0% |  |  |  |
| Stoneweg Ereit Lux Finco Sarl 4.125% 2/22/2033 (m) | EUR | 1700000 | 2018420 |
| Industrial REITs - 0.0% |  |  |  |
| Prologis International Funding II SA 4.375% 7/1/2036 (m) | EUR | 400000 | 493857 |
| Real Estate Management & Development - 0.0% |  |  |  |
| AXA Logistics Europe Master SCA 3.375% 5/13/2031 (m) | EUR | 500000 | 595924 |
| Blackstone Property Partners Europe Holdings Sarl 1% 5/4/2028 (m) | EUR | 2271000 | 2583707 |
| CBRE Europe Logistics Partners SCA SICAV-SIF 3.5% 9/22/2032 (m) | EUR | 1000000 | 1175571 |
| CBRE Open-Ended Funds SCA SICAV-SIF 4.75% 3/27/2034 (m) | EUR | 450000 | 563761 |
| Logicor Financing Sarl 0.875% 1/14/2031 (m) | EUR | 600000 | 631178 |
| Logicor Financing Sarl 3.75% 7/14/2032 (m) | EUR | 370000 | 440900 |
| Logicor Financing Sarl 4.25% 7/18/2029 (m) | EUR | 1200000 | 1473018 |
| P3 Group Sarl 3.75% 4/2/2033 (m) | EUR | 600000 | 710614 |
| P3 Group Sarl 4% 4/19/2032 (m) | EUR | 800000 | 968859 |
|  |  |  | 9143532 |
| TOTAL REAL ESTATE |  |  | 11655809 |
| TOTAL LUXEMBOURG |  |  | 13319599 |
| MEXICO - 0.2%  |  |  |  |
| Energy - 0.2% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |  |
| Petroleos Mexicanos 5.95% 1/28/2031  |  | 17450000 | 17083550 |
| Petroleos Mexicanos 6.35% 2/12/2048  |  | 1560000 | 1251744 |
| Petroleos Mexicanos 6.625% 6/15/2035  |  | 17000000 | 16267300 |
| Petroleos Mexicanos 6.7% 2/16/2032  |  | 13774000 | 13813945 |
| Petroleos Mexicanos 6.75% 9/21/2047  |  | 22490000 | 18700435 |
| Petroleos Mexicanos 6.95% 1/28/2060  |  | 32166000 | 26480177 |
| Petroleos Mexicanos 7.69% 1/23/2050  |  | 75606000 | 68665369 |
| TOTAL MEXICO |  |  | 162262520 |
| MULTI-NATIONAL - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| European Investment Bank 0.625% 1/22/2029 (m) | EUR | 1270000 | 1436450 |
| European Investment Bank 2.875% 1/12/2033 (m) | EUR | 370000 | 444720 |
| European Investment Bank 2.875% 6/18/2035 (m) | EUR | 1715000 | 2037223 |
| TOTAL MULTI-NATIONAL |  |  | 3918393 |
| NETHERLANDS - 0.1%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Koninklijke KPN NV 3.875% 2/16/2036 (m) | EUR | 300000 | 360400 |
| Media - 0.0% |  |  |  |
| Ziggo BV 4.875% 1/15/2030 (o) |  | 625000 | 588847 |
| TOTAL COMMUNICATION SERVICES |  |  | 949247 |
| Consumer Staples - 0.0% |  |  |  |
| Consumer Staples Distribution & Retail - 0.0% |  |  |  |
| REWE International Finance BV 4.875% 9/13/2030 (m) | EUR | 300000 | 380099 |
| Food Products - 0.0% |  |  |  |
| JDE Peet's NV 1.375% 1/15/2027 (o) |  | 3516000 | 3434566 |
| JDE Peet's NV 2.25% 9/24/2031 (o) |  | 2660000 | 2353801 |
|  |  |  | 5788367 |
| TOTAL CONSUMER STAPLES |  |  | 6168466 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| ABN AMRO Bank NV 5.515% 12/3/2035 (c)(o) |  | 17600000 | 18280637 |
| Cooperatieve Rabobank UA 1.125% 5/7/2031 (m) | EUR | 1100000 | 1180372 |
| Cooperatieve Rabobank UA 1.98% 12/15/2027 (c)(o) |  | 3614000 | 3559212 |
| Cooperatieve Rabobank UA 3.649% 4/6/2028 (c)(o) |  | 6943000 | 6922328 |
| Cooperatieve Rabobank UA 3.75% 7/21/2026  |  | 4206000 | 4200436 |
| Cooperatieve Rabobank UA 5.71% 1/21/2033 (c)(o) |  | 1870000 | 1988941 |
| ING Groep NV 1.726% 4/1/2027 (c) |  | 1250000 | 1247632 |
| ING Groep NV 3% 8/17/2031 (c)(m) | EUR | 1800000 | 2118583 |
| ING Groep NV 5.335% 3/19/2030 (c) |  | 6500000 | 6733652 |
|  |  |  | 46231793 |
| Insurance - 0.0% |  |  |  |
| Argentum Netherlands BV 5.625% 8/15/2052 (c)(m) |  | 5775000 | 5852548 |
| TOTAL FINANCIALS |  |  | 52084341 |
| Information Technology - 0.1% |  |  |  |
| Semiconductors & Semiconductor Equipment - 0.1% |  |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 2.65% 2/15/2032  |  | 16241000 | 14671582 |
| NXP BV / NXP Funding LLC / NXP USA Inc 3.4% 5/1/2030  |  | 5200000 | 5039486 |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.85% 8/19/2032  |  | 8338000 | 8482492 |
| NXP BV / NXP Funding LLC / NXP USA Inc 5.25% 8/19/2035  |  | 29120000 | 29746034 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 57939594 |
| TOTAL NETHERLANDS |  |  | 117141648 |
| NORWAY - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Seadrill Finance Ltd 8.375% 8/1/2030 (o) |  | 815000 | 856446 |
| TGS ASA 8.5% 1/15/2030 (o) |  | 955000 | 1008744 |
| TOTAL ENERGY |  |  | 1865190 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| DNB Bank ASA 1.535% 5/25/2027 (c)(o) |  | 3681000 | 3659679 |
| DNB Bank ASA 1.605% 3/30/2028 (c)(o) |  | 3208000 | 3130113 |
| TOTAL FINANCIALS |  |  | 6789792 |
| TOTAL NORWAY |  |  | 8654982 |
| PANAMA - 0.0%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| Sable International Finance Ltd 7.125% 10/15/2032 (o) |  | 1040000 | 1052486 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| C&W Senior Finance Ltd 9% 1/15/2033 (o) |  | 1035000 | 1068925 |
| TOTAL PANAMA |  |  | 2121411 |
| POLAND - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| GTC Aurora Luxembourg SA 2.25% 6/23/2026 (m) | EUR | 1540000 | 1808873 |
| GTC Finance DAC 6.5% 10/15/2030 (m) | EUR | 1600000 | 1767674 |
| TOTAL POLAND |  |  | 3576547 |
| QATAR - 0.0%  |  |  |  |
| Utilities - 0.0% |  |  |  |
| Gas Utilities - 0.0% |  |  |  |
| Nakilat Inc 6.067% 12/31/2033 (o) |  | 853127 | 900058 |
| SOUTH AFRICA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| Anglo American Capital PLC 3.875% 3/16/2029 (o) |  | 6227000 | 6180733 |
| SPAIN - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Banco Bilbao Vizcaya Argentaria SA 6.033% 3/13/2035 (c) |  | 2000000 | 2139033 |
| Banco Santander SA 2.749% 12/3/2030  |  | 10800000 | 9924671 |
| CaixaBank SA 3.625% 9/19/2032 (c)(m) | EUR | 900000 | 1083288 |
| CaixaBank SA 5.673% 3/15/2030 (c)(o) |  | 8900000 | 9281065 |
| CaixaBank SA 6.037% 6/15/2035 (c)(o) |  | 11757000 | 12616554 |
| TOTAL FINANCIALS |  |  | 35044611 |
| Utilities - 0.0% |  |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| Atlantica Sustainable Infrastructure Ltd 4.125% 6/15/2028 (o) |  | 4755000 | 4642908 |
| TOTAL SPAIN |  |  | 39687519 |
| SWEDEN - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Samhallsbyggnadsbolaget I Norden Holding AB 2.25% 7/12/2027 (m) | EUR | 650000 | 734191 |
| SWITZERLAND - 0.1%  |  |  |  |
| Financials - 0.1% |  |  |  |
| Capital Markets - 0.1% |  |  |  |
| UBS Group AG 1.494% 8/10/2027 (c)(o) |  | 11792000 | 11659987 |
| UBS Group AG 2.095% 2/11/2032 (c)(o) |  | 7800000 | 7012568 |
| UBS Group AG 3.091% 5/14/2032 (c)(o) |  | 5293000 | 4953017 |
| UBS Group AG 3.126% 8/13/2030 (c)(o) |  | 5359000 | 5179169 |
| UBS Group AG 4.125% 6/9/2033 (c)(m) | EUR | 730000 | 899481 |
| UBS Group AG 4.194% 4/1/2031 (c)(o) |  | 43154000 | 43030834 |
| UBS Group AG 4.75% 3/17/2032 (c)(m) | EUR | 3450000 | 4368633 |
| UBS Group AG 6.246% 9/22/2029 (c)(o) |  | 8000000 | 8421417 |
|  |  |  | 85525106 |
| Insurance - 0.0% |  |  |  |
| Swiss Re Finance Luxembourg SA 5% 4/2/2049 (c)(o) |  | 1000000 | 1010261 |
| Zurich Finance Ireland Designated Activity Co 3.5% 5/2/2052 (c)(m) |  | 1650000 | 1510287 |
|  |  |  | 2520548 |
| TOTAL FINANCIALS |  |  | 88045654 |
| Information Technology - 0.0% |  |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |  |
| Tyco Electronics Group SA 4.875% 2/9/2036  |  | 8000000 | 8126550 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| SIG Combibloc PurchaseCo Sarl 3.75% 3/19/2030 (m) | EUR | 350000 | 420957 |
| TOTAL SWITZERLAND |  |  | 96593161 |
| TANZANIA - 0.0%  |  |  |  |
| Information Technology - 0.0% |  |  |  |
| Communications Equipment - 0.0% |  |  |  |
| HTA Group Ltd/Mauritius 7.5% 6/4/2029 (o) |  | 300000 | 310018 |
| UNITED KINGDOM - 0.6%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |  |
| BT Finance PLC 3.375% 11/17/2032 (m) | EUR | 925000 | 1094403 |
| Virgin Media Finance PLC 5% 7/15/2030 (o) |  | 101000 | 84022 |
|  |  |  | 1178425 |
| Media - 0.0% |  |  |  |
| Virgin Media Secured Finance PLC 5.5% 5/15/2029 (o) |  | 415000 | 402936 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Vmed O2 UK Financing I PLC 4.25% 1/31/2031 (o) |  | 575000 | 506952 |
| Vmed O2 UK Financing I PLC 6.75% 1/15/2033 (o) |  | 340000 | 322317 |
|  |  |  | 829269 |
| TOTAL COMMUNICATION SERVICES |  |  | 2410630 |
| Consumer Discretionary - 0.0% |  |  |  |
| Broadline Retail - 0.0% |  |  |  |
| John Lewis PLC 4.25% 12/18/2034 (m) | GBP | 894000 | 1043786 |
| Marks & Spencer PLC 5.125% 8/18/2032 (m) | GBP | 600000 | 819499 |
|  |  |  | 1863285 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| IHG Finance LLC 3.375% 9/10/2030 (m) | EUR | 425000 | 507850 |
| Whitbread Group PLC 2.375% 5/31/2027 (m) | GBP | 1260000 | 1653831 |
|  |  |  | 2161681 |
| Household Durables - 0.0% |  |  |  |
| Berkeley Group PLC/The 2.5% 8/11/2031 (m) | GBP | 1820000 | 2148918 |
| Specialty Retail - 0.0% |  |  |  |
| Belron UK Finance PLC 5.75% 10/15/2029 (o) |  | 690000 | 705134 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 6879018 |
| Consumer Staples - 0.1% |  |  |  |
| Tobacco - 0.1% |  |  |  |
| BAT Capital Corp 2.259% 3/25/2028  |  | 7192000 | 6957016 |
| BAT Capital Corp 2.726% 3/25/2031  |  | 9590000 | 8942741 |
| BAT Capital Corp 4.7% 4/2/2027  |  | 2181000 | 2195787 |
| BAT Capital Corp 5.834% 2/20/2031  |  | 11500000 | 12299310 |
| BAT Capital Corp 6.421% 8/2/2033  |  | 8000000 | 8898093 |
| BAT Capital Corp 7.75% 10/19/2032  |  | 5978000 | 7048187 |
| BAT International Finance PLC 1.668% 3/25/2026  |  | 4276000 | 4269403 |
| BAT International Finance PLC 4.125% 4/12/2032 (m) | EUR | 2615000 | 3202591 |
| BAT International Finance PLC 4.448% 3/16/2028  |  | 4764000 | 4809048 |
| BAT International Finance PLC 5.931% 2/2/2029  |  | 6000000 | 6320610 |
| Imperial Brands Finance PLC 3.875% 2/12/2034 (m) | EUR | 3050000 | 3608101 |
| Imperial Brands Finance PLC 4.5% 6/30/2028 (o) |  | 3100000 | 3132398 |
| Imperial Brands Finance PLC 5.5% 2/1/2030 (o) |  | 8000000 | 8356588 |
| Imperial Brands Finance PLC 6.125% 7/27/2027 (o) |  | 1197000 | 1229762 |
| Reynolds American Inc 5.7% 8/15/2035  |  | 171000 | 180442 |
| TOTAL CONSUMER STAPLES |  |  | 81450077 |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| EG Global Finance PLC 12% 11/30/2028 (o) |  | 1280000 | 1376059 |
| Financials - 0.5% |  |  |  |
| Banks - 0.5% |  |  |  |
| Barclays PLC 2.279% 11/24/2027 (c) |  | 31514000 | 31091081 |
| Barclays PLC 3.543% 8/14/2031 (c)(m) | EUR | 1503000 | 1799848 |
| Barclays PLC 3.811% 3/10/2042 (c) |  | 7473000 | 6064391 |
| Barclays PLC 4.219% 5/24/2030 (c) |  | 20101000 | 20105395 |
| Barclays PLC 4.836% 5/9/2028  |  | 6102000 | 6148066 |
| Barclays PLC 5.088% 6/20/2030 (c) |  | 35939000 | 36654974 |
| Barclays PLC 5.2% 5/12/2026  |  | 1556000 | 1559405 |
| Barclays PLC 5.207% 2/24/2037 (c) |  | 12000000 | 11988674 |
| Barclays PLC 5.367% 2/25/2031 (c) |  | 17084000 | 17733681 |
| Barclays PLC 5.501% 8/9/2028 (c) |  | 3000000 | 3058666 |
| Barclays PLC 5.746% 8/9/2033 (c) |  | 2074000 | 2194855 |
| Barclays PLC 5.785% 2/25/2036 (c) |  | 9000000 | 9428917 |
| Barclays PLC 5.829% 5/9/2027 (c) |  | 4720000 | 4735203 |
| Barclays PLC 6.224% 5/9/2034 (c) |  | 5000000 | 5409765 |
| Barclays PLC 6.49% 9/13/2029 (c) |  | 8000000 | 8448978 |
| Barclays PLC 6.692% 9/13/2034 (c) |  | 12500000 | 13913805 |
| HSBC Holdings PLC 2.357% 8/18/2031 (c) |  | 15444000 | 14215207 |
| HSBC Holdings PLC 2.848% 6/4/2031 (c) |  | 6103000 | 5763114 |
| HSBC Holdings PLC 4.619% 11/6/2031 (c) |  | 10672000 | 10794275 |
| HSBC Holdings PLC 4.787% 3/10/2032 (c)(m) | EUR | 1270000 | 1609622 |
| HSBC Holdings PLC 4.856% 5/23/2033 (c)(m) | EUR | 1600000 | 2041428 |
| HSBC Holdings PLC 4.899% 3/3/2029 (c) |  | 6458000 | 6563377 |
| HSBC Holdings PLC 4.95% 3/31/2030  |  | 262000 | 270065 |
| HSBC Holdings PLC 5.21% 8/11/2028 (c) |  | 8310000 | 8440764 |
| HSBC Holdings PLC 5.24% 5/13/2031 (c) |  | 9220000 | 9551604 |
| HSBC Holdings PLC 6.254% 3/9/2034 (c) |  | 200000 | 218651 |
| HSBC Holdings PLC 8.201% 11/16/2034 (c)(m) | GBP | 1000000 | 1491225 |
| Lloyds Banking Group PLC 4.375% 3/22/2028  |  | 4320000 | 4354909 |
| Lloyds Banking Group PLC 4.425% 11/4/2031 (c) |  | 16286000 | 16364743 |
| Lloyds Banking Group PLC 4.75% 9/21/2031 (c)(m) | EUR | 1550000 | 1959217 |
| Lloyds Banking Group PLC 4.818% 6/13/2029 (c) |  | 5000000 | 5084624 |
| Lloyds Banking Group PLC 4.976% 8/11/2033 (c) |  | 6227000 | 6382439 |
| Lloyds Banking Group PLC 5.087% 11/26/2028 (c) |  | 5700000 | 5805298 |
| Lloyds Banking Group PLC 5.985% 8/7/2027 (c) |  | 4700000 | 4739880 |
| Lloyds Banking Group PLC 7.953% 11/15/2033 (c) |  | 6196000 | 7271362 |
| NatWest Group PLC 1.642% 6/14/2027 (c) |  | 1207000 | 1198866 |
| NatWest Group PLC 3.073% 5/22/2028 (c) |  | 9914000 | 9813051 |
| NatWest Group PLC 3.632% 9/3/2034 (c)(m) | EUR | 1150000 | 1365403 |
| NatWest Group PLC 4.8% 4/5/2026  |  | 19815000 | 19827460 |
| NatWest Group PLC 4.964% 8/15/2030 (c) |  | 8200000 | 8406697 |
| NatWest Group PLC 5.115% 5/23/2031 (c) |  | 9410000 | 9704721 |
| NatWest Group PLC 5.808% 9/13/2029 (c) |  | 30000000 | 31256604 |
| NatWest Group PLC 5.847% 3/2/2027 (c) |  | 6200000 | 6200000 |
| NatWest Group PLC 7.416% 6/6/2033 (c)(m) | GBP | 850000 | 1206995 |
| Standard Chartered PLC 3.864% 3/17/2033 (c)(m) | EUR | 900000 | 1082783 |
| Standard Chartered PLC 4.299% 1/13/2030 (c)(o) |  | 5127000 | 5141684 |
| Standard Chartered PLC 5.005% 10/15/2030 (c)(o) |  | 6204000 | 6350602 |
| Standard Chartered PLC 5.545% 1/21/2029 (c)(o) |  | 5880000 | 6033667 |
| Virgin Money UK PLC 7.625% 8/23/2029 (c)(m) | GBP | 930000 | 1352467 |
|  |  |  | 402198508 |
| Consumer Finance - 0.0% |  |  |  |
| Motability Operations Group PLC 3.625% 1/22/2033 (m) | EUR | 1275000 | 1523114 |
| Financial Services - 0.0% |  |  |  |
| Nationwide Building Society 4% 7/30/2035 (c)(m) | EUR | 500000 | 603505 |
| Nationwide Building Society 6.557% 10/18/2027 (c)(o) |  | 6000000 | 6095091 |
|  |  |  | 6698596 |
| Insurance - 0.0% |  |  |  |
| Admiral Group PLC 8.5% 1/6/2034 (m) | GBP | 800000 | 1252660 |
| TOTAL FINANCIALS |  |  | 411672878 |
| Health Care - 0.0% |  |  |  |
| Health Care Providers & Services - 0.0% |  |  |  |
| 180 Medical Inc 3.875% 10/15/2029 (o) |  | 3005000 | 2943233 |
| 180 Medical Inc 5.3% 10/8/2035 (o) |  | 3926000 | 3944825 |
| TOTAL HEALTH CARE |  |  | 6888058 |
| Industrials - 0.0% |  |  |  |
| Aerospace & Defense - 0.0% |  |  |  |
| BAE Systems PLC 3.4% 4/15/2030 (o) |  | 11997000 | 11718783 |
| BAE Systems PLC 5.25% 3/26/2031 (o) |  | 7319000 | 7667673 |
| BAE Systems PLC 5.3% 3/26/2034 (o) |  | 11900000 | 12529265 |
| BAE Systems PLC 5.5% 3/26/2054 (o) |  | 1703000 | 1754101 |
|  |  |  | 33669822 |
| Ground Transportation - 0.0% |  |  |  |
| Mobico Group PLC 4.875% 9/26/2031 (m) | EUR | 1300000 | 1310798 |
| Passenger Airlines - 0.0% |  |  |  |
| British Airways 2021-1 Class A Pass Through Trust equipment trust certificate 2.9% 9/15/2036 (o) |  | 1137288 | 1056578 |
| Transportation Infrastructure - 0.0% |  |  |  |
| Heathrow Funding Ltd 6% 3/5/2032 (m) | GBP | 1250000 | 1753786 |
| TOTAL INDUSTRIALS |  |  | 37790984 |
| Real Estate - 0.0% |  |  |  |
| Office REITs - 0.0% |  |  |  |
| Great Portland Estates PLC 5.375% 9/25/2031 (m) | GBP | 500000 | 686490 |
| Real Estate Management & Development - 0.0% |  |  |  |
| Titanium Ruth Holdco Ltd 0.95% 6/2/2026 (m) | EUR | 1300000 | 1528473 |
| TOTAL REAL ESTATE |  |  | 2214963 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| London Power Networks PLC 3.837% 6/11/2037 (m) | EUR | 750000 | 895106 |
| NGG Finance PLC 2.125% 9/5/2082 (c)(m) | EUR | 1960000 | 2283515 |
| Scottish Hydro Electric Transmission PLC 3.375% 9/4/2032 (m) | EUR | 1050000 | 1255448 |
|  |  |  | 4434069 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| California Buyer Ltd / Atlantica Sustainable Infrastructure PLC 6.375% 2/15/2032 (o) |  | 1660000 | 1655115 |
| ContourGlobal Power Holdings SA 6.75% 2/28/2030 (o) |  | 605000 | 623150 |
|  |  |  | 2278265 |
| Water Utilities - 0.0% |  |  |  |
| Anglian Water Osprey Financing PLC 6.375% 8/18/2033 (m) | GBP | 500000 | 679971 |
| Anglian Water Services Financing PLC 5.875% 6/20/2031 (m) | GBP | 990000 | 1390664 |
| Anglian Water Services Financing PLC 6.25% 9/12/2044 (m) | GBP | 450000 | 592920 |
| Anglian Water Services Financing PLC 6.293% 7/30/2030 (m) | GBP | 1000000 | 1423320 |
| Northumbrian Water Finance PLC 5.375% 7/22/2032 (m) | GBP | 700000 | 956395 |
| Northumbrian Water Finance PLC 5.625% 4/29/2033 (m) | GBP | 1145000 | 1574676 |
| Severn Trent Utilities Finance PLC 3.875% 8/4/2035 (m) | EUR | 1400000 | 1678890 |
| South West Water Finance PLC 5.25% 9/15/2031 (m) | GBP | 1025000 | 1399579 |
| South West Water Finance PLC 5.75% 12/11/2032 (m) | GBP | 225000 | 315438 |
| SW Finance I PLC 6.875% 8/7/2032 (m) | GBP | 1200000 | 1706652 |
| SW Finance I PLC 7.375% 12/12/2041 (m) | GBP | 631000 | 894778 |
| Wessex Water Services Finance PLC 6.125% 9/19/2034 (m) | GBP | 850000 | 1187854 |
| Yorkshire Water Finance PLC 5.5% 4/28/2035 (m) | GBP | 759000 | 1001458 |
| Yorkshire Water Finance PLC 6% 7/22/2033 (m) | GBP | 850000 | 1178526 |
|  |  |  | 15981121 |
| TOTAL UTILITIES |  |  | 22693455 |
| TOTAL UNITED KINGDOM |  |  | 573376122 |
| UNITED STATES - 9.4%  |  |  |  |
| Communication Services - 0.7% |  |  |  |
| Diversified Telecommunication Services - 0.3% |  |  |  |
| APLD ComputeCo LLC 9.25% 12/15/2030 (o) |  | 2415000 | 2534765 |
| AT&T Inc 1.65% 2/1/2028  |  | 2253000 | 2160526 |
| AT&T Inc 2.25% 2/1/2032  |  | 8095000 | 7229652 |
| AT&T Inc 2.55% 12/1/2033  |  | 18825000 | 16326409 |
| AT&T Inc 2.75% 6/1/2031  |  | 7200000 | 6708690 |
| AT&T Inc 3.55% 9/15/2055  |  | 11426000 | 7735637 |
| AT&T Inc 3.65% 9/15/2059  |  | 2396000 | 1612718 |
| AT&T Inc 3.8% 12/1/2057  |  | 10190000 | 7148852 |
| AT&T Inc 4.3% 2/15/2030  |  | 7106000 | 7173437 |
| AT&T Inc 4.4% 4/30/2031  |  | 9270000 | 9355568 |
| AT&T Inc 4.5% 5/15/2035  |  | 2388000 | 2327249 |
| AT&T Inc 4.75% 4/30/2033  |  | 19000000 | 19259393 |
| AT&T Inc 4.75% 5/15/2046  |  | 41310000 | 36343075 |
| AT&T Inc 5.4% 2/15/2034  |  | 5000000 | 5240741 |
| AT&T Inc 6% 4/30/2056  |  | 14000000 | 14120821 |
| Black Pearl Compute LLC 6.125% 2/15/2031 (o) |  | 493000 | 504562 |
| Cablevision Lightpath LLC 3.875% 9/15/2027 (o) |  | 685000 | 684460 |
| Cablevision Lightpath LLC 5.625% 9/15/2028 (o) |  | 580000 | 579571 |
| Cipher Compute LLC 7.125% 11/15/2030 (o) |  | 380000 | 396090 |
| Comcast Corp 2.937% 11/1/2056  |  | 1612000 | 940073 |
| Comcast Corp 2.987% 11/1/2063  |  | 6248000 | 3481647 |
| Comcast Corp 3.75% 4/1/2040  |  | 1000000 | 843588 |
| Comcast Corp 3.999% 11/1/2049  |  | 889000 | 672099 |
| Comcast Corp 6.05% 5/15/2055  |  | 24500000 | 25086883 |
| Flash Compute LLC 7.25% 12/31/2030 (o) |  | 1045000 | 1069682 |
| Level 3 Financing Inc 6.875% 6/30/2033 (o) |  | 1470000 | 1522442 |
| Level 3 Financing Inc 7% 3/31/2034 (o) |  | 115000 | 119548 |
| SV RNO Property Owner 1 LLC 5.875% 3/1/2031 (o) |  | 1310000 | 1315868 |
| Uniti Services LLC 7.5% 10/15/2033 (o) |  | 425000 | 442183 |
| Verizon Communications Inc 2.1% 3/22/2028  |  | 2703000 | 2611902 |
| Verizon Communications Inc 2.355% 3/15/2032  |  | 11895000 | 10622129 |
| Verizon Communications Inc 2.55% 3/21/2031  |  | 3016000 | 2790539 |
| Verizon Communications Inc 3% 11/20/2060  |  | 5215000 | 3111724 |
| Verizon Communications Inc 3.7% 3/22/2061  |  | 3473000 | 2402602 |
| Verizon Communications Inc 4.4% 11/1/2034  |  | 8120000 | 7959021 |
| Verizon Communications Inc 4.75% 1/15/2033  |  | 1932000 | 1959328 |
| Verizon Communications Inc 4.862% 8/21/2046  |  | 5000000 | 4504220 |
| Verizon Communications Inc 5.401% 7/2/2037  |  | 427000 | 439452 |
| Verizon Communications Inc 5.875% 11/30/2055  |  | 22080000 | 22227826 |
| Verizon Communications Inc 6% 11/30/2065  |  | 4000000 | 4015377 |
| WULF Compute LLC 7.75% 10/15/2030 (o) |  | 1690000 | 1789734 |
|  |  |  | 247370083 |
| Entertainment - 0.0% |  |  |  |
| ROBLOX Corp 3.875% 5/1/2030 (o) |  | 1070000 | 1021761 |
| Walt Disney Co/The 6.65% 11/15/2037  |  | 5862000 | 6771552 |
|  |  |  | 7793313 |
| Interactive Media & Services - 0.1% |  |  |  |
| Alphabet Inc 3.375% 5/6/2037  | EUR | 290000 | 336973 |
| Alphabet Inc 3.875% 5/6/2045  | EUR | 300000 | 340525 |
| Alphabet Inc 4% 5/6/2054  | EUR | 300000 | 332478 |
| Alphabet Inc 5.45% 11/15/2055  |  | 15350000 | 15257684 |
| Alphabet Inc 5.65% 2/15/2056  |  | 11000000 | 11255837 |
| Alphabet Inc 5.7% 11/15/2075  |  | 15500000 | 15489805 |
| Meta Platforms Inc 4.2% 11/15/2030  |  | 11286000 | 11385255 |
| Meta Platforms Inc 4.6% 11/15/2032  |  | 12207000 | 12411746 |
| Meta Platforms Inc 4.875% 11/15/2035  |  | 15550000 | 15704836 |
| Meta Platforms Inc 5.5% 11/15/2045  |  | 8850000 | 8743450 |
| Meta Platforms Inc 5.625% 11/15/2055  |  | 8850000 | 8662603 |
| Meta Platforms Inc 5.75% 11/15/2065  |  | 8850000 | 8621600 |
| Snap Inc 6.875% 3/15/2034 (o) |  | 525000 | 523398 |
|  |  |  | 109066190 |
| Media - 0.3% |  |  |  |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 5/1/2032  |  | 2540000 | 2324492 |
| CCO Holdings LLC / CCO Holdings Capital Corp 4.5% 8/15/2030 (o) |  | 9205000 | 8779982 |
| CCO Holdings LLC / CCO Holdings Capital Corp 5% 2/1/2028 (o) |  | 3546000 | 3538354 |
| CCO Holdings LLC / CCO Holdings Capital Corp 7% 2/1/2033 (o) |  | 1085000 | 1109354 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.3% 2/1/2032  |  | 16509000 | 14403265 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.8% 4/1/2031  |  | 25100000 | 22816364 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 3.75% 2/15/2028  |  | 7200000 | 7136438 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.2% 3/15/2028  |  | 1724000 | 1723042 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 12/1/2061  |  | 18290000 | 12231433 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.8% 3/1/2050  |  | 3644000 | 2776221 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  |  | 4200000 | 4265548 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.25% 4/1/2053  |  | 12482000 | 10067599 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  |  | 52170000 | 43483169 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.5% 4/1/2063  |  | 2304000 | 1838638 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.75% 4/1/2048  |  | 1898000 | 1651997 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  |  | 17861000 | 18719763 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045  |  | 4300000 | 4082971 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  |  | 12270000 | 13049468 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.7% 12/1/2055  |  | 5000000 | 4876706 |
| Discovery Communications LLC 3.95% 3/20/2028  |  | 6489000 | 6449093 |
| Discovery Global Holdings Inc 3.755% 3/15/2027  |  | 1531000 | 1526239 |
| Discovery Global Holdings Inc 4.279% 3/15/2032  |  | 345000 | 316537 |
| Discovery Global Holdings Inc 5.05% 3/15/2042  |  | 1505000 | 1079838 |
| EchoStar Corp 6.75% 11/30/2030 pay-in-kind (c) |  | 1660000 | 1681172 |
| Nexstar Media Inc 5.625% 7/15/2027 (o) |  | 1435000 | 1435135 |
| Sirius XM Radio LLC 4.125% 7/1/2030 (o) |  | 10000000 | 9425803 |
| Sirius XM Radio LLC 5% 8/1/2027 (o) |  | 825000 | 824514 |
| Sirius XM Radio LLC 5.5% 7/1/2029 (o) |  | 400000 | 400404 |
| TEGNA Inc 4.625% 3/15/2028  |  | 465000 | 463683 |
| TEGNA Inc 5% 9/15/2029  |  | 115000 | 114890 |
| Time Warner Cable LLC 4.5% 9/15/2042  |  | 2302000 | 1815388 |
| Time Warner Cable LLC 5.5% 9/1/2041  |  | 23879000 | 21359295 |
| Time Warner Cable LLC 5.875% 11/15/2040  |  | 12748000 | 11957738 |
| Time Warner Cable LLC 6.55% 5/1/2037  |  | 7048000 | 7255290 |
| Time Warner Cable LLC 6.75% 6/15/2039  |  | 3974000 | 4070356 |
| Time Warner Cable LLC 7.3% 7/1/2038  |  | 8091000 | 8756059 |
| Univision Communications Inc 8.5% 7/31/2031 (o) |  | 850000 | 869895 |
| Univision Communications Inc 9.375% 8/1/2032 (o) |  | 415000 | 439139 |
|  |  |  | 259115272 |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| T-Mobile USA Inc 2.4% 3/15/2029  |  | 1208000 | 1154020 |
| T-Mobile USA Inc 2.7% 3/15/2032  |  | 13401000 | 12208564 |
| T-Mobile USA Inc 3.75% 4/15/2027  |  | 10840000 | 10822849 |
| T-Mobile USA Inc 3.875% 4/15/2030  |  | 22430000 | 22257567 |
| T-Mobile USA Inc 4.95% 11/15/2035  |  | 20360000 | 20547277 |
| T-Mobile USA Inc 5.65% 1/15/2053  |  | 2491000 | 2438456 |
|  |  |  | 69428733 |
| TOTAL COMMUNICATION SERVICES |  |  | 692773591 |
| Consumer Discretionary - 0.4% |  |  |  |
| Automobile Components - 0.0% |  |  |  |
| American Axle & Manufacturing Inc 6.375% 10/15/2032 (o) |  | 325000 | 330761 |
| American Axle & Manufacturing Inc 7.75% 10/15/2033 (o) |  | 610000 | 619968 |
| Clarios Global LP / Clarios US Finance Co 6.75% 9/15/2032 (o) |  | 210000 | 217985 |
| Clarios Global LP / Clarios US Finance Co 6.75% 2/15/2030 (o) |  | 335000 | 350899 |
| Clarios Global LP / Clarios US Finance Co 6.75% 5/15/2028 (o) |  | 460000 | 470515 |
| Patrick Industries Inc 6.375% 11/1/2032 (o) |  | 825000 | 847376 |
|  |  |  | 2837504 |
| Automobiles - 0.1% |  |  |  |
| Ford Motor Co 3.25% 2/12/2032  |  | 6850000 | 6165707 |
| General Motors Co 5% 4/1/2035  |  | 1419000 | 1409542 |
| General Motors Co 5.2% 4/1/2045  |  | 1619000 | 1473782 |
| General Motors Co 5.4% 4/1/2048  |  | 654000 | 602099 |
| General Motors Co 5.6% 10/15/2032  |  | 3114000 | 3281036 |
| General Motors Co 5.95% 4/1/2049  |  | 3089000 | 3043417 |
| General Motors Financial Co Inc 2.35% 2/26/2027  |  | 1414000 | 1391749 |
| General Motors Financial Co Inc 3.1% 1/12/2032  |  | 7510000 | 6945300 |
| General Motors Financial Co Inc 4.2% 10/27/2028  |  | 4022000 | 4037362 |
| General Motors Financial Co Inc 4.3% 4/6/2029  |  | 6975000 | 7005493 |
| General Motors Financial Co Inc 4.6% 1/8/2031  |  | 11050000 | 11151240 |
| General Motors Financial Co Inc 5.4% 5/8/2027  |  | 12300000 | 12493060 |
| General Motors Financial Co Inc 5.45% 7/15/2030  |  | 3000000 | 3135381 |
| General Motors Financial Co Inc 5.55% 7/15/2029  |  | 8500000 | 8851646 |
| General Motors Financial Co Inc 5.85% 4/6/2030  |  | 10453000 | 11046890 |
| General Motors Financial Co Inc 6% 1/9/2028  |  | 1900000 | 1962801 |
| General Motors Financial Co Inc 6.4% 1/9/2033  |  | 5000000 | 5441877 |
| Nissan Motor Acceptance Co LLC 2.45% 9/15/2028 (o) |  | 70000 | 65490 |
| Nissan Motor Acceptance Co LLC 5.55% 9/13/2029 (o) |  | 115000 | 114748 |
| Nissan Motor Acceptance Co LLC 6.125% 9/30/2030 (o) |  | 650000 | 651505 |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC 10% 1/15/2031 (o) |  | 410000 | 387811 |
| Stellantis Finance US Inc 2.691% 9/15/2031 (o) |  | 11641000 | 10174592 |
| Stellantis Finance US Inc 5.75% 3/18/2030 (o) |  | 9868000 | 10109454 |
| Thor Industries Inc 4% 10/15/2029 (o) |  | 660000 | 633534 |
|  |  |  | 111575516 |
| Broadline Retail - 0.0% |  |  |  |
| Macy's Retail Holdings LLC 7.375% 8/1/2033 (o) |  | 325000 | 340480 |
| Match Group Holdings II LLC 3.625% 10/1/2031 (o) |  | 465000 | 421937 |
| Match Group Holdings II LLC 4.125% 8/1/2030 (o) |  | 530000 | 503670 |
| Nordstrom Inc 4.375% 4/1/2030  |  | 405000 | 389950 |
| Wayfair LLC 6.75% 11/15/2032 (o) |  | 270000 | 275182 |
| Wayfair LLC 7.25% 10/31/2029 (o) |  | 395000 | 408210 |
| Wayfair LLC 7.75% 9/15/2030 (o) |  | 1300000 | 1367093 |
|  |  |  | 3706522 |
| Diversified Consumer Services - 0.0% |  |  |  |
| Cornell University 4.169% 6/15/2030  |  | 2500000 | 2539686 |
| Cornell University 4.733% 6/15/2035  |  | 3734000 | 3815550 |
| Massachusetts Institute of Technology 3.885% 7/1/2116  |  | 4116000 | 2972790 |
| Service Corp International/US 4% 5/15/2031  |  | 665000 | 635578 |
| Service Corp International/US 5.125% 6/1/2029  |  | 1035000 | 1038134 |
| Service Corp International/US 5.75% 10/15/2032  |  | 820000 | 835997 |
| Sotheby's 7.375% 10/15/2027 (o) |  | 1575000 | 1565402 |
| TKC Holdings Inc 12% 2/15/2031 (o) |  | 265000 | 278536 |
| TKC Holdings Inc 8.5% 8/15/2030 (o) |  | 835000 | 854447 |
|  |  |  | 14536120 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| Acushnet Co 5.625% 12/1/2033 (o) |  | 275000 | 279886 |
| Aramark Services Inc 5% 2/1/2028 (o) |  | 975000 | 975262 |
| Caesars Entertainment Inc 6.5% 2/15/2032 (o) |  | 1475000 | 1498891 |
| Carnival Corp 5.75% 3/15/2030 (o) |  | 405000 | 418858 |
| Carnival Corp 5.75% 8/1/2032 (o) |  | 330000 | 342474 |
| Carnival Corp 5.875% 6/15/2031 (o) |  | 810000 | 846468 |
| Carnival Corp 6.125% 2/15/2033 (o) |  | 4070000 | 4213252 |
| Churchill Downs Inc 6.75% 5/1/2031 (o) |  | 810000 | 834386 |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc 6.75% 1/15/2030 (o) |  | 1060000 | 999707 |
| Hilton Domestic Operating Co Inc 3.625% 2/15/2032 (o) |  | 660000 | 614946 |
| Hilton Domestic Operating Co Inc 4% 5/1/2031 (o) |  | 1370000 | 1315476 |
| Hilton Domestic Operating Co Inc 5.5% 3/31/2034 (o) |  | 355000 | 358789 |
| Hilton Domestic Operating Co Inc 5.75% 9/15/2033 (o) |  | 1245000 | 1274457 |
| Hilton Domestic Operating Co Inc 5.875% 4/1/2029 (o) |  | 500000 | 511857 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 5% 6/1/2029 (o) |  | 435000 | 424544 |
| Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc 6.625% 1/15/2032 (o) |  | 980000 | 999824 |
| Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp 4.875% 4/1/2027  |  | 164000 | 164029 |
| Life Time Inc 6% 11/15/2031 (o) |  | 915000 | 942458 |
| McDonald's Corp 3.5% 5/21/2032 (m) | EUR | 1225000 | 1471101 |
| Royal Caribbean Cruises Ltd 5.625% 9/30/2031 (o) |  | 905000 | 933188 |
| Royal Caribbean Cruises Ltd 6% 2/1/2033 (o) |  | 690000 | 713761 |
| Royal Caribbean Cruises Ltd 6.25% 3/15/2032 (o) |  | 430000 | 448424 |
| Viking Cruises Ltd 5.875% 10/15/2033 (o) |  | 1060000 | 1081370 |
| Wyndham Hotels & Resorts Inc 4.375% 8/15/2028 (o) |  | 850000 | 843993 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 6.25% 3/15/2033 (o) |  | 455000 | 464663 |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp 7.125% 2/15/2031 (o) |  | 505000 | 545370 |
| Yum! Brands Inc 3.625% 3/15/2031  |  | 3568000 | 3387039 |
|  |  |  | 26904473 |
| Household Durables - 0.0% |  |  |  |
| Century Communities Inc 3.875% 8/15/2029 (o) |  | 450000 | 429015 |
| Century Communities Inc 6.625% 9/15/2033 (o) |  | 420000 | 426768 |
| LGI Homes Inc 4% 7/15/2029 (o) |  | 95000 | 88258 |
| LGI Homes Inc 7% 11/15/2032 (o) |  | 1360000 | 1333264 |
| LGI Homes Inc 8.75% 12/15/2028 (o) |  | 445000 | 464296 |
| Somnigroup International Inc 3.875% 10/15/2031 (o) |  | 880000 | 826057 |
| Somnigroup International Inc 4% 4/15/2029 (o) |  | 590000 | 573382 |
| Toll Brothers Finance Corp 4.875% 3/15/2027  |  | 739000 | 743235 |
| TopBuild Corp 4.125% 2/15/2032 (o) |  | 1170000 | 1111971 |
| TopBuild Corp 5.625% 1/31/2034 (o) |  | 680000 | 685815 |
| Whirlpool Corp 6.125% 6/15/2030  |  | 230000 | 231032 |
| Whirlpool Corp 6.5% 6/15/2033  |  | 1115000 | 1112710 |
|  |  |  | 8025803 |
| Leisure Products - 0.0% |  |  |  |
| Brunswick Corp/DE 5.85% 3/18/2029  |  | 10500000 | 10916804 |
| Mattel Inc 5% 11/17/2030  |  | 2829000 | 2872435 |
|  |  |  | 13789239 |
| Specialty Retail - 0.2% |  |  |  |
| Advance Auto Parts Inc 1.75% 10/1/2027  |  | 3120000 | 2979472 |
| Advance Auto Parts Inc 5.95% 3/9/2028  |  | 5301000 | 5449709 |
| Asbury Automotive Group Inc 4.625% 11/15/2029 (o) |  | 175000 | 172274 |
| Asbury Automotive Group Inc 5% 2/15/2032 (o) |  | 785000 | 763425 |
| AutoNation Inc 1.95% 8/1/2028  |  | 7691000 | 7324252 |
| AutoNation Inc 2.4% 8/1/2031  |  | 23196000 | 20844351 |
| AutoNation Inc 4.75% 6/1/2030  |  | 1430000 | 1450589 |
| AutoZone Inc 4% 4/15/2030  |  | 19121000 | 19038306 |
| AutoZone Inc 5.165% 6/15/2030  |  | 1476000 | 1529842 |
| AutoZone Inc 6.25% 11/1/2028  |  | 8000000 | 8449785 |
| Bath & Body Works Inc 6.625% 10/1/2030 (o) |  | 710000 | 727205 |
| Bath & Body Works Inc 6.875% 11/1/2035  |  | 430000 | 438135 |
| Group 1 Automotive Inc 6.375% 1/15/2030 (o) |  | 1215000 | 1245481 |
| Home Depot Inc/The 4.95% 6/25/2034  |  | 15500000 | 16020225 |
| Home Depot Inc/The 5.95% 4/1/2041  |  | 527000 | 574558 |
| LBM Acquisition LLC 9.5% 6/15/2031 (o) |  | 415000 | 387071 |
| Lowe's Cos Inc 1.7% 9/15/2028  |  | 1724000 | 1633676 |
| Lowe's Cos Inc 3% 10/15/2050  |  | 7286000 | 4731085 |
| Lowe's Cos Inc 3.75% 4/1/2032  |  | 19417000 | 18809909 |
| Lowe's Cos Inc 5.625% 4/15/2053  |  | 4017000 | 3956521 |
| O'Reilly Automotive Inc 4.2% 4/1/2030  |  | 193000 | 193796 |
|  |  |  | 116719667 |
| Textiles, Apparel & Luxury Goods - 0.1% |  |  |  |
| Levi Strauss & Co 3.5% 3/1/2031 (o) |  | 555000 | 520776 |
| Ralph Lauren Corp 5% 6/15/2032  |  | 7300000 | 7597575 |
| Tapestry Inc 3.05% 3/15/2032  |  | 45138000 | 41944809 |
|  |  |  | 50063160 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 348158004 |
| Consumer Staples - 0.2% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Constellation Brands Inc 2.875% 5/1/2030  |  | 5370000 | 5104109 |
| Consumer Staples Distribution & Retail - 0.2% |  |  |  |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 3.5% 3/15/2029 (o) |  | 1415000 | 1364374 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 4.875% 2/15/2030 (o) |  | 580000 | 575214 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.5% 3/31/2031 (o) |  | 380000 | 382557 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 5.75% 3/31/2034 (o) |  | 300000 | 298508 |
| Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC 6.5% 2/15/2028 (o) |  | 880000 | 895594 |
| Albertsons Cos Inc 5.625% 3/31/2032 (o) |  | 650000 | 652559 |
| Dollar General Corp 3.5% 4/3/2030  |  | 6956000 | 6767892 |
| Dollar Tree Inc 2.65% 12/1/2031  |  | 7473000 | 6829160 |
| Dollar Tree Inc 4.2% 5/15/2028  |  | 3971000 | 3985456 |
| KeHE Distributors LLC / KeHE Finance Corp / NextWave Distribution Inc 9% 2/15/2029 (o) |  | 885000 | 928621 |
| Mars Inc 4.8% 3/1/2030 (o) |  | 15997000 | 16444830 |
| Mars Inc 5% 3/1/2032 (o) |  | 13403000 | 13883687 |
| Mars Inc 5.2% 3/1/2035 (o) |  | 36002000 | 37278720 |
| Mars Inc 5.65% 5/1/2045 (o) |  | 1556000 | 1592386 |
| Mars Inc 5.7% 5/1/2055 (o) |  | 3104000 | 3147622 |
| Mars Inc 5.8% 5/1/2065 (o) |  | 388000 | 397395 |
| Performance Food Group Inc 4.25% 8/1/2029 (o) |  | 845000 | 829055 |
| Performance Food Group Inc 5.625% 3/1/2034 (o) |  | 505000 | 506689 |
| Performance Food Group Inc 6.125% 9/15/2032 (o) |  | 1215000 | 1247195 |
| US Foods Inc 4.625% 6/1/2030 (o) |  | 130000 | 128708 |
| US Foods Inc 5.75% 4/15/2033 (o) |  | 1785000 | 1820748 |
| US Foods Inc 7.25% 1/15/2032 (o) |  | 560000 | 586489 |
|  |  |  | 100543459 |
| Food Products - 0.0% |  |  |  |
| Bunge Ltd Finance Corp 4.9% 4/21/2027  |  | 8282000 | 8370095 |
| Conagra Brands Inc 5% 8/1/2030  |  | 6500000 | 6633737 |
| Darling Ingredients Inc 5.25% 4/15/2027 (o) |  | 410000 | 409883 |
| Darling Ingredients Inc 6% 6/15/2030 (o) |  | 815000 | 825399 |
| Fiesta Purchaser Inc 7.875% 3/1/2031 (o) |  | 395000 | 406867 |
| Fiesta Purchaser Inc 9.625% 9/15/2032 (o) |  | 760000 | 772682 |
| JBS NV/JBS USA Foods Group Holdings Inc/JBS USA Food Co Holdings 3% 5/15/2032  |  | 13845000 | 12606627 |
| Lamb Weston Holdings Inc 4.375% 1/31/2032 (o) |  | 1145000 | 1093039 |
| Lamb Weston Holdings Inc 4.875% 5/15/2028 (o) |  | 415000 | 415066 |
| Pilgrim's Pride Corp 3.5% 3/1/2032  |  | 1050000 | 983567 |
| Pilgrim's Pride Corp 4.25% 4/15/2031  |  | 475000 | 465564 |
| Post Holdings Inc 4.625% 4/15/2030 (o) |  | 520000 | 509001 |
| Post Holdings Inc 6.25% 2/15/2032 (o) |  | 515000 | 529779 |
| Smithfield Foods Inc 3% 10/15/2030 (o) |  | 1317000 | 1227135 |
|  |  |  | 35248441 |
| Household Products - 0.0% |  |  |  |
| Resideo Funding Inc 6.5% 7/15/2032 (o) |  | 205000 | 209288 |
| Personal Care Products - 0.0% |  |  |  |
| BellRing Brands Inc 7% 3/15/2030 (o) |  | 790000 | 805854 |
| Tobacco - 0.0% |  |  |  |
| Altria Group Inc 4.8% 2/14/2029  |  | 2374000 | 2425524 |
| Philip Morris International Inc 3.25% 6/6/2032  | EUR | 2575000 | 3043710 |
| Philip Morris International Inc 4% 10/29/2030  |  | 11100000 | 11084566 |
| Philip Morris International Inc 4.25% 10/29/2032  |  | 11080000 | 11050306 |
| Philip Morris International Inc 4.375% 11/15/2041  |  | 1174000 | 1060552 |
| Philip Morris International Inc 5.125% 2/13/2031  |  | 5200000 | 5424715 |
| Philip Morris International Inc 5.125% 2/15/2030  |  | 6162000 | 6402241 |
| Philip Morris International Inc 5.75% 11/17/2032  |  | 5790000 | 6245161 |
|  |  |  | 46736775 |
| TOTAL CONSUMER STAPLES |  |  | 188647926 |
| Energy - 0.9% |  |  |  |
| Energy Equipment & Services - 0.0% |  |  |  |
| Archrock Partners LP / Archrock Partners Finance Corp 6.625% 9/1/2032 (o) |  | 1010000 | 1051048 |
| Archrock Services LP / Archrock Partners Finance Corp 6% 2/1/2034 (o) |  | 435000 | 440431 |
| Kodiak Gas Services LLC 6.5% 10/1/2033 (o) |  | 340000 | 350614 |
| Kodiak Gas Services LLC 6.75% 10/1/2035 (o) |  | 505000 | 527671 |
| Kodiak Gas Services LLC 7.25% 2/15/2029 (o) |  | 555000 | 575497 |
| SESI LLC 7.875% 9/30/2030 (o) |  | 440000 | 449256 |
| Transocean International Ltd 7.875% 10/15/2032 (o) |  | 85000 | 91266 |
| Transocean International Ltd 8.25% 5/15/2029 (o) |  | 860000 | 895407 |
| USA Compression Partners LP / USA Compression Finance Corp 6.25% 10/1/2033 (o) |  | 477000 | 485087 |
| Valaris Ltd 8.375% 4/30/2030 (o) |  | 325000 | 340831 |
| WBI Operating LLC 6.25% 10/15/2030 (o) |  | 550000 | 560582 |
| WBI Operating LLC 6.5% 10/15/2033 (o) |  | 550000 | 558938 |
|  |  |  | 6326628 |
| Oil, Gas & Consumable Fuels - 0.9% |  |  |  |
| Antero Midstream Partners LP / Antero Midstream Finance Corp 5.75% 10/15/2033 (o) |  | 550000 | 558333 |
| California Resources Corp 8.25% 6/15/2029 (o) |  | 605000 | 635134 |
| CNX Midstream Partners LP 4.75% 4/15/2030 (o) |  | 750000 | 731449 |
| CNX Resources Corp 5.875% 3/1/2034 (o) |  | 465000 | 465850 |
| CNX Resources Corp 7.25% 3/1/2032 (o) |  | 785000 | 823147 |
| Columbia Pipelines Holding Co LLC 4.999% 11/17/2032 (o) |  | 11933000 | 12173552 |
| Columbia Pipelines Holding Co LLC 5.097% 10/1/2031 (o) |  | 8090000 | 8322558 |
| Columbia Pipelines Holding Co LLC 6.042% 8/15/2028 (o) |  | 5000000 | 5226532 |
| Columbia Pipelines Operating Co LLC 5.695% 10/1/2054 (o) |  | 5090000 | 4993126 |
| Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (o) |  | 8337000 | 8905851 |
| Columbia Pipelines Operating Co LLC 5.962% 2/15/2055 (o) |  | 7300000 | 7413594 |
| Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (o) |  | 11691000 | 12666719 |
| Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (o) |  | 10495000 | 11339914 |
| Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (o) |  | 6291000 | 6860804 |
| Columbia Pipelines Operating Co LLC 6.714% 8/15/2063 (o) |  | 3766000 | 4179393 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 5.5% 6/15/2031 (o) |  | 535000 | 533542 |
| CQP Holdco LP / BIP-V Chinook Holdco LLC 7.5% 12/15/2033 (o) |  | 1195000 | 1289112 |
| CVR Energy Inc 7.5% 2/15/2031 (o) |  | 1305000 | 1300577 |
| DBR Land Holdings LLC 6.25% 12/1/2030 (o) |  | 505000 | 520857 |
| DCP Midstream Operating LP 5.125% 5/15/2029  |  | 8391000 | 8629594 |
| DCP Midstream Operating LP 5.6% 4/1/2044  |  | 2894000 | 2866944 |
| DCP Midstream Operating LP 6.75% 9/15/2037 (o) |  | 1198000 | 1334632 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 7.375% 6/30/2033 (o) |  | 335000 | 346491 |
| Delek Logistics Partners LP / Delek Logistics Finance Corp 8.625% 3/15/2029 (o) |  | 1020000 | 1065039 |
| Eastern Gas Transmission & Storage Inc 3% 11/15/2029  |  | 6572000 | 6358908 |
| Eastern Gas Transmission & Storage Inc 3.9% 11/15/2049  |  | 4359000 | 3268258 |
| Energy Transfer LP 3.75% 5/15/2030  |  | 40278000 | 39621266 |
| Energy Transfer LP 4.55% 1/15/2031  |  | 4964000 | 5011572 |
| Energy Transfer LP 4.95% 6/15/2028  |  | 3824000 | 3900409 |
| Energy Transfer LP 5% 5/15/2050  |  | 16985000 | 14517349 |
| Energy Transfer LP 5.25% 4/15/2029  |  | 2564000 | 2648132 |
| Energy Transfer LP 5.25% 7/1/2029  |  | 5392000 | 5590989 |
| Energy Transfer LP 5.4% 10/1/2047  |  | 1092000 | 1007660 |
| Energy Transfer LP 5.6% 9/1/2034  |  | 2230000 | 2329918 |
| Energy Transfer LP 5.75% 2/15/2033  |  | 7491000 | 7961415 |
| Energy Transfer LP 5.8% 6/15/2038  |  | 2595000 | 2696243 |
| Energy Transfer LP 6% 6/15/2048  |  | 201000 | 198246 |
| Energy Transfer LP 6.5% 2/15/2056 (c) |  | 635000 | 641627 |
| Energy Transfer LP 6.75% 2/15/2056 (c) |  | 210000 | 214650 |
| EQT Corp 3.625% 5/15/2031 (o) |  | 5400000 | 5166239 |
| EQT Corp 3.9% 10/1/2027  |  | 773000 | 771545 |
| EQT Corp 5.7% 4/1/2028  |  | 2186000 | 2260167 |
| EQT Corp 5.75% 2/1/2034  |  | 23624000 | 25026547 |
| Florida Gas Transmission Co LLC 5.75% 7/15/2035 (o) |  | 13350000 | 14080531 |
| Global Partners LP / GLP Finance Corp 7.125% 7/1/2033 (o) |  | 155000 | 160373 |
| Gulfstream Natural Gas System LLC 5.6% 7/23/2035 (o) |  | 8514000 | 8868709 |
| Harvest Midstream I LP 7.5% 5/15/2032 (o) |  | 1190000 | 1235200 |
| Hess Corp 4.3% 4/1/2027  |  | 8399000 | 8432562 |
| Hess Corp 5.6% 2/15/2041  |  | 4709000 | 4953807 |
| Hess Corp 5.8% 4/1/2047  |  | 11931000 | 12512274 |
| Hess Corp 7.125% 3/15/2033  |  | 1403000 | 1639884 |
| Hess Corp 7.3% 8/15/2031  |  | 3686000 | 4258275 |
| Hess Corp 7.875% 10/1/2029  |  | 8241000 | 9336574 |
| Hess Midstream Operations LP 5.5% 10/15/2030 (o) |  | 1235000 | 1244314 |
| Hess Midstream Operations LP 6.5% 6/1/2029 (o) |  | 1355000 | 1402097 |
| Hilcorp Energy I LP / Hilcorp Finance Co 6% 2/1/2031 (o) |  | 170000 | 165591 |
| Hilcorp Energy I LP / Hilcorp Finance Co 6% 4/15/2030 (o) |  | 555000 | 546643 |
| Hilcorp Energy I LP / Hilcorp Finance Co 8.375% 11/1/2033 (o) |  | 200000 | 211037 |
| Howard Midstream Energy Partners LLC 6.625% 1/15/2034 (o) |  | 470000 | 485736 |
| Howard Midstream Energy Partners LLC 7.375% 7/15/2032 (o) |  | 595000 | 627912 |
| Kinder Morgan Inc 3.6% 2/15/2051  |  | 26000000 | 18665579 |
| Kinetik Holdings LP 5.875% 6/15/2030 (o) |  | 445000 | 450011 |
| Kinetik Holdings LP 6.625% 12/15/2028 (o) |  | 1095000 | 1128857 |
| Matador Resources Co 6% 4/15/2034 (o) |  | 220000 | 219735 |
| Matador Resources Co 6.25% 4/15/2033 (o) |  | 710000 | 722596 |
| Matador Resources Co 6.5% 4/15/2032 (o) |  | 730000 | 745520 |
| MPLX LP 1.75% 3/1/2026  |  | 1690000 | 1689816 |
| MPLX LP 4% 3/15/2028  |  | 3724000 | 3728435 |
| MPLX LP 4.8% 2/15/2029  |  | 1376000 | 1402613 |
| MPLX LP 4.95% 9/1/2032  |  | 13900000 | 14151412 |
| MPLX LP 5% 3/1/2033  |  | 7000000 | 7115268 |
| MPLX LP 5.5% 2/15/2049  |  | 4129000 | 3865185 |
| Murphy Oil USA Inc 3.75% 2/15/2031 (o) |  | 1130000 | 1063185 |
| Northern Oil & Gas Inc 7.875% 10/15/2033 (o) |  | 750000 | 766741 |
| Northern Oil & Gas Inc 8.75% 6/15/2031 (o) |  | 605000 | 631253 |
| Occidental Petroleum Corp 5.375% 1/1/2032  |  | 28900000 | 30084512 |
| Occidental Petroleum Corp 5.55% 10/1/2034  |  | 7000000 | 7296373 |
| Occidental Petroleum Corp 6.125% 1/1/2031  |  | 30000000 | 32247270 |
| Occidental Petroleum Corp 6.45% 9/15/2036  |  | 4300000 | 4683792 |
| Occidental Petroleum Corp 6.6% 3/15/2046  |  | 4886000 | 5190925 |
| Occidental Petroleum Corp 7.5% 5/1/2031  |  | 6510000 | 7412612 |
| ONEOK Inc 4.25% 9/24/2027  |  | 7582000 | 7618267 |
| ONEOK Inc 4.4% 10/15/2029  |  | 8121000 | 8189571 |
| ONEOK Inc 4.75% 10/15/2031  |  | 15795000 | 16021692 |
| ONEOK Inc 5.65% 9/1/2034  |  | 10746000 | 11229721 |
| Ovintiv Inc 5.15% 11/15/2041  |  | 4009000 | 3515669 |
| Ovintiv Inc 7.375% 11/1/2031  |  | 648000 | 731869 |
| Ovintiv Inc 8.125% 9/15/2030  |  | 2895000 | 3332097 |
| PBF Holding Co LLC / PBF Finance Corp 7.875% 9/15/2030 (o) |  | 1560000 | 1565407 |
| PBF Holding Co LLC / PBF Finance Corp 9.875% 3/15/2030 (o) |  | 650000 | 689896 |
| Permian Resources Operating LLC 5.875% 7/1/2029 (o) |  | 445000 | 445556 |
| Permian Resources Operating LLC 6.25% 2/1/2033 (o) |  | 890000 | 921579 |
| Permian Resources Operating LLC 7% 1/15/2032 (o) |  | 1100000 | 1152250 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  |  | 10415000 | 10213724 |
| Plains All American Pipeline LP / PAA Finance Corp 3.8% 9/15/2030  |  | 10658000 | 10458176 |
| Plains All American Pipeline LP / PAA Finance Corp 4.7% 1/15/2031  |  | 8697000 | 8833491 |
| Plains All American Pipeline LP / PAA Finance Corp 5.6% 1/15/2036  |  | 12797000 | 13119220 |
| Plains All American Pipeline LP / PAA Finance Corp 5.7% 9/15/2034  |  | 17170000 | 17932091 |
| Rockies Express Pipeline LLC 6.75% 3/15/2033 (o) |  | 345000 | 363431 |
| Rockies Express Pipeline LLC 6.875% 4/15/2040 (o) |  | 105000 | 108144 |
| Rockies Express Pipeline LLC 7.5% 7/15/2038 (o) |  | 360000 | 392194 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/2030  |  | 14626000 | 14789144 |
| Spectra Energy Partners LP 4.5% 3/15/2045  |  | 543000 | 470628 |
| Sunoco LP / Sunoco Finance Corp 4.5% 5/15/2029  |  | 340000 | 334998 |
| Sunoco LP / Sunoco Finance Corp 5.875% 3/15/2028  |  | 1335000 | 1335506 |
| Sunoco LP 5.375% 7/15/2031 (d)(o) |  | 695000 | 696623 |
| Sunoco LP 5.625% 3/15/2031 (o) |  | 630000 | 635416 |
| Sunoco LP 5.625% 7/15/2034 (d)(o) |  | 875000 | 874864 |
| Sunoco LP 5.875% 3/15/2034 (o) |  | 420000 | 421677 |
| Sunoco LP 6.25% 7/1/2033 (o) |  | 200000 | 205985 |
| Sunoco LP 6.625% 8/15/2032 (o) |  | 1120000 | 1159308 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 12/31/2030 (o) |  | 430000 | 435763 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6% 9/1/2031 (o) |  | 270000 | 272870 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp 6.75% 3/15/2034 (o) |  | 340000 | 349419 |
| Targa Resources Corp 4.35% 1/15/2029  |  | 5296000 | 5339119 |
| Targa Resources Corp 4.35% 4/15/2031  |  | 7414000 | 7414596 |
| Targa Resources Corp 4.9% 9/15/2030  |  | 9737000 | 9999263 |
| Targa Resources Corp 5.5% 2/15/2035  |  | 10286000 | 10643650 |
| Targa Resources Corp 5.55% 8/15/2035  |  | 10800000 | 11191779 |
| Targa Resources Corp 5.65% 2/15/2036  |  | 20671000 | 21493130 |
| Transcontinental Gas Pipe Line Co LLC 3.25% 5/15/2030  |  | 279000 | 269962 |
| Transcontinental Gas Pipe Line Co LLC 5.1% 3/15/2036 (o) |  | 12626000 | 12873049 |
| Venture Global Calcasieu Pass LLC 3.875% 11/1/2033 (o) |  | 235000 | 209155 |
| Venture Global Calcasieu Pass LLC 6.25% 1/15/2030 (o) |  | 160000 | 165220 |
| Venture Global LNG Inc 7% 1/15/2030 (o) |  | 1015000 | 1029569 |
| Venture Global LNG Inc 8.125% 6/1/2028 (o) |  | 505000 | 518173 |
| Venture Global Plaquemines LNG LLC 6.125% 12/15/2030 (o) |  | 450000 | 467464 |
| Venture Global Plaquemines LNG LLC 6.5% 1/15/2034 (o) |  | 820000 | 862984 |
| Venture Global Plaquemines LNG LLC 6.5% 6/15/2034 (o) |  | 755000 | 792721 |
| Venture Global Plaquemines LNG LLC 6.75% 1/15/2036 (o) |  | 820000 | 873473 |
| Venture Global Plaquemines LNG LLC 7.5% 5/1/2033 (o) |  | 965000 | 1070502 |
| Venture Global Plaquemines LNG LLC 7.75% 5/1/2035 (o) |  | 940000 | 1066173 |
| Western Gas Partners LP 4.05% 2/1/2030 (p) |  | 20164000 | 19918840 |
| Western Gas Partners LP 4.65% 7/1/2026  |  | 1823000 | 1823489 |
| Western Gas Partners LP 4.75% 8/15/2028  |  | 1236000 | 1254144 |
| Western Gas Partners LP 4.8% 3/1/2031  |  | 1556000 | 1569181 |
| Western Gas Partners LP 5.25% 2/1/2050 (p) |  | 12800000 | 11116577 |
| Western Gas Partners LP 5.3% 3/1/2048  |  | 2900000 | 2561962 |
| Western Gas Partners LP 6.15% 4/1/2033  |  | 4400000 | 4708356 |
| Western Gas Partners LP 6.35% 1/15/2029  |  | 11247000 | 11884955 |
| Williams Cos Inc/The 2.6% 3/15/2031  |  | 7660000 | 7088001 |
| Williams Cos Inc/The 3.5% 11/15/2030  |  | 18113000 | 17550880 |
| Williams Cos Inc/The 4.625% 6/30/2030  |  | 9576000 | 9741072 |
| Williams Cos Inc/The 4.65% 8/15/2032  |  | 22370000 | 22643797 |
| Williams Cos Inc/The 4.8% 11/15/2029  |  | 8200000 | 8404694 |
| Williams Cos Inc/The 5.1% 9/15/2045  |  | 9765000 | 9139396 |
| Williams Cos Inc/The 5.3% 8/15/2052  |  | 5092000 | 4757613 |
| Williams Cos Inc/The 5.3% 9/30/2035  |  | 8000000 | 8214479 |
| Williams Cos Inc/The 5.75% 6/24/2044  |  | 2747000 | 2784825 |
|  |  |  | 816055582 |
| TOTAL ENERGY |  |  | 822382210 |
| Financials - 3.8% |  |  |  |
| Banks - 1.9% |  |  |  |
| Bank of America Corp 1.734% 7/22/2027 (c) |  | 25000000 | 24775575 |
| Bank of America Corp 1.898% 7/23/2031 (c) |  | 6975000 | 6333783 |
| Bank of America Corp 2.299% 7/21/2032 (c) |  | 50000000 | 45109586 |
| Bank of America Corp 2.496% 2/13/2031 (c) |  | 10724000 | 10072309 |
| Bank of America Corp 2.592% 4/29/2031 (c) |  | 15184000 | 14276786 |
| Bank of America Corp 2.884% 10/22/2030 (c) |  | 8000000 | 7675291 |
| Bank of America Corp 2.972% 2/4/2033 (c) |  | 38682000 | 35757586 |
| Bank of America Corp 3.194% 7/23/2030 (c) |  | 10561000 | 10271528 |
| Bank of America Corp 3.97% 3/5/2029 (c) |  | 3624000 | 3621395 |
| Bank of America Corp 3.974% 2/7/2030 (c) |  | 2345000 | 2342915 |
| Bank of America Corp 4.183% 11/25/2027  |  | 6909000 | 6914782 |
| Bank of America Corp 4.25% 10/22/2026  |  | 40217000 | 40278184 |
| Bank of America Corp 4.271% 7/23/2029 (c) |  | 6107000 | 6141540 |
| Bank of America Corp 4.376% 4/27/2028 (c) |  | 3650000 | 3666699 |
| Bank of America Corp 4.571% 4/27/2033 (c) |  | 8718000 | 8753471 |
| Bank of America Corp 4.623% 5/9/2029 (c) |  | 38563000 | 39110329 |
| Bank of America Corp 4.948% 7/22/2028 (c) |  | 5000000 | 5062768 |
| Bank of America Corp 5.015% 7/22/2033 (c) |  | 35614000 | 36660469 |
| Bank of America Corp 5.045% 2/6/2037 (c) |  | 16100000 | 16332216 |
| Bank of America Corp 5.162% 1/24/2031 (c) |  | 8600000 | 8926292 |
| Bank of America Corp 5.288% 4/25/2034 (c) |  | 17000000 | 17643354 |
| Bank of America Corp 5.468% 1/23/2035 (c) |  | 29000000 | 30391891 |
| Bank of America Corp 5.819% 9/15/2029 (c) |  | 19000000 | 19815373 |
| Bank of America Corp 6.11% 1/29/2037  |  | 1340000 | 1446944 |
| Citibank NA 5.803% 9/29/2028  |  | 8000000 | 8378565 |
| Citigroup Inc 3.07% 2/24/2028 (c) |  | 13000000 | 12874439 |
| Citigroup Inc 4.075% 4/23/2029 (c) |  | 4606000 | 4612831 |
| Citigroup Inc 4.125% 7/25/2028  |  | 6909000 | 6917880 |
| Citigroup Inc 4.296% 7/23/2036 (c) | EUR | 600000 | 720275 |
| Citigroup Inc 4.3% 11/20/2026  |  | 1766000 | 1769005 |
| Citigroup Inc 4.412% 3/31/2031 (c) |  | 40428000 | 40638730 |
| Citigroup Inc 4.45% 9/29/2027  |  | 21445000 | 21574480 |
| Citigroup Inc 4.6% 3/9/2026  |  | 17445000 | 17446659 |
| Citigroup Inc 4.786% 3/4/2029 (c) |  | 4400000 | 4466137 |
| Citigroup Inc 5.3% 5/6/2044  |  | 9501000 | 9223993 |
| Citigroup Inc 6.174% 5/25/2034 (c) |  | 14215000 | 15174985 |
| Citigroup Inc 6.27% 11/17/2033 (c) |  | 17166000 | 18836973 |
| Citizens Financial Group Inc 2.638% 9/30/2032  |  | 11627000 | 10224279 |
| Citizens Financial Group Inc 5.253% 3/5/2031 (c) |  | 8950000 | 9232484 |
| Citizens Financial Group Inc 5.718% 7/23/2032 (c) |  | 15200000 | 16012287 |
| Citizens Financial Group Inc 5.841% 1/23/2030 (c) |  | 6700000 | 7005777 |
| Citizens Financial Group Inc 6.645% 4/25/2035 (c) |  | 12968000 | 14353206 |
| Fifth Third Bancorp 8.25% 3/1/2038  |  | 2155000 | 2668251 |
| First-Citizens Bank & Trust Co 6.125% 3/9/2028  |  | 28000000 | 28987209 |
| Huntington Bancshares Inc/OH 2.487% 8/15/2036 (c) |  | 4490000 | 3966337 |
| Huntington Bancshares Inc/OH 4.443% 8/4/2028 (c) |  | 3628000 | 3651770 |
| JPMorgan Chase & Co 2.069% 6/1/2029 (c) |  | 7286000 | 6988546 |
| JPMorgan Chase & Co 2.522% 4/22/2031 (c) |  | 4724000 | 4432707 |
| JPMorgan Chase & Co 2.58% 4/22/2032 (c) |  | 1300000 | 1199788 |
| JPMorgan Chase & Co 2.739% 10/15/2030 (c) |  | 9341000 | 8930881 |
| JPMorgan Chase & Co 2.947% 2/24/2028 (c) |  | 6239000 | 6175986 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (c) |  | 11536000 | 10977300 |
| JPMorgan Chase & Co 2.963% 1/25/2033 (c) |  | 9341000 | 8663664 |
| JPMorgan Chase & Co 3.761% 3/21/2034 (c)(m) | EUR | 750000 | 903921 |
| JPMorgan Chase & Co 4.25% 10/1/2027  |  | 3379000 | 3403131 |
| JPMorgan Chase & Co 4.347% 1/22/2032 (c) |  | 7000000 | 7035941 |
| JPMorgan Chase & Co 4.586% 4/26/2033 (c) |  | 50039000 | 50563706 |
| JPMorgan Chase & Co 4.603% 10/22/2030 (c) |  | 17730000 | 18057747 |
| JPMorgan Chase & Co 4.898% 1/22/2037 (c) |  | 1613000 | 1622663 |
| JPMorgan Chase & Co 4.912% 7/25/2033 (c) |  | 115454000 | 118376788 |
| JPMorgan Chase & Co 4.946% 10/22/2035 (c) |  | 13540000 | 13750267 |
| JPMorgan Chase & Co 4.995% 7/22/2030 (c) |  | 7000000 | 7210906 |
| JPMorgan Chase & Co 5.012% 1/23/2030 (c) |  | 13500000 | 13869102 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (c) |  | 14073000 | 14594652 |
| JPMorgan Chase & Co 5.299% 7/24/2029 (c) |  | 11000000 | 11322201 |
| JPMorgan Chase & Co 5.336% 1/23/2035 (c) |  | 20000000 | 20844384 |
| JPMorgan Chase & Co 5.35% 6/1/2034 (c) |  | 20000000 | 20930506 |
| JPMorgan Chase & Co 5.502% 1/24/2036 (c) |  | 7000000 | 7362936 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (c) |  | 16715000 | 17675407 |
| JPMorgan Chase & Co 5.717% 9/14/2033 (c) |  | 64023000 | 67836710 |
| KeyCorp 5.305% 1/28/2037 (c) |  | 9872000 | 9959374 |
| Morgan Stanley Private Bank NA 4.204% 11/17/2028 (c) |  | 30780000 | 30894517 |
| Morgan Stanley Private Bank NA 4.213% 2/8/2030 (c) |  | 18000000 | 18085607 |
| Morgan Stanley Private Bank NA 4.465% 11/19/2031 (c) |  | 46326000 | 46611130 |
| Morgan Stanley Private Bank NA 4.734% 7/18/2031 (c) |  | 6130000 | 6242158 |
| PNC Financial Services Group Inc/The 4.812% 10/21/2032 (c) |  | 13500000 | 13803121 |
| PNC Financial Services Group Inc/The 5.068% 1/24/2034 (c) |  | 15132000 | 15637237 |
| PNC Financial Services Group Inc/The 5.222% 1/29/2031 (c) |  | 6900000 | 7176282 |
| PNC Financial Services Group Inc/The 5.575% 1/29/2036 (c) |  | 7000000 | 7367289 |
| PNC Financial Services Group Inc/The 5.582% 6/12/2029 (c) |  | 7240000 | 7504327 |
| Santander Holdings USA Inc 2.49% 1/6/2028 (c) |  | 5300000 | 5223602 |
| Truist Financial Corp 4.123% 6/6/2028 (c) |  | 2000000 | 2004451 |
| Truist Financial Corp 4.597% 1/27/2032 (c) |  | 7000000 | 7074058 |
| Truist Financial Corp 5.071% 5/20/2031 (c) |  | 11367000 | 11731986 |
| Truist Financial Corp 5.122% 1/26/2034 (c) |  | 4235000 | 4343861 |
| Truist Financial Corp 5.435% 1/24/2030 (c) |  | 6300000 | 6537890 |
| Truist Financial Corp 5.711% 1/24/2035 (c) |  | 18500000 | 19629307 |
| Wells Fargo & Co 2.879% 10/30/2030 (c) |  | 9400000 | 8996798 |
| Wells Fargo & Co 3.068% 4/30/2041 (c) |  | 7784000 | 6076852 |
| Wells Fargo & Co 3.526% 3/24/2028 (c) |  | 25667000 | 25534343 |
| Wells Fargo & Co 4.3% 7/22/2027  |  | 28701000 | 28803505 |
| Wells Fargo & Co 4.478% 4/4/2031 (c) |  | 19300000 | 19499318 |
| Wells Fargo & Co 4.897% 7/25/2033 (c) |  | 106510000 | 108618121 |
| Wells Fargo & Co 4.97% 4/23/2029 (c) |  | 7235000 | 7376195 |
| Wells Fargo & Co 5.15% 4/23/2031 (c) |  | 29061000 | 30084964 |
| Wells Fargo & Co 5.244% 1/24/2031 (c) |  | 31390000 | 32566158 |
| Wells Fargo & Co 5.389% 4/24/2034 (c) |  | 8000000 | 8336838 |
| Wells Fargo & Co 5.499% 1/23/2035 (c) |  | 25000000 | 26187657 |
| Wells Fargo & Co 5.557% 7/25/2034 (c) |  | 18660000 | 19635396 |
| Wells Fargo & Co 5.574% 7/25/2029 (c) |  | 25500000 | 26381082 |
| Wells Fargo & Co 5.605% 4/23/2036 (c) |  | 16834000 | 17704819 |
| Wells Fargo & Co 6.303% 10/23/2029 (c) |  | 12800000 | 13499158 |
|  |  |  | 1701974859 |
| Capital Markets - 0.8% |  |  |  |
| Athene Global Funding 1.73% 10/2/2026 (o) |  | 4975000 | 4906775 |
| Athene Global Funding 2.5% 3/24/2028 (o) |  | 6975000 | 6722191 |
| Athene Global Funding 2.646% 10/4/2031 (o) |  | 3414000 | 3040569 |
| Athene Global Funding 2.717% 1/7/2029 (o) |  | 5000000 | 4747588 |
| Athene Global Funding 4.721% 10/8/2029 (o) |  | 7000000 | 7003718 |
| Athene Global Funding 5.339% 1/15/2027 (o) |  | 26112000 | 26382580 |
| Athene Global Funding 5.516% 3/25/2027 (o) |  | 7800000 | 7914831 |
| Athene Global Funding 5.583% 1/9/2029 (o) |  | 22274000 | 22769503 |
| Blackstone Holdings Finance Co LLC 2.8% 9/30/2050 (o) |  | 1245000 | 766899 |
| Blackstone Holdings Finance Co LLC 3.5% 9/10/2049 (o) |  | 4614000 | 3320202 |
| Blackstone Private Credit Fund 4.875% 4/14/2026 (m) | GBP | 1155000 | 1556053 |
| Charles Schwab Corp/The 4.343% 11/14/2031 (c) |  | 5000000 | 5031663 |
| Equitable America Global Funding 4.65% 6/9/2028 (o) |  | 3603000 | 3644133 |
| Equitable America Global Funding 4.95% 6/9/2030 (o) |  | 16856000 | 17221323 |
| GA Global Funding Trust 5.4% 1/13/2030 (o) |  | 13580000 | 13915285 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (c) |  | 29132000 | 26275715 |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (c) |  | 40000000 | 37114217 |
| Goldman Sachs Group Inc/The 4.482% 8/23/2028 (c) |  | 3138000 | 3159392 |
| Goldman Sachs Group Inc/The 4.516% 1/21/2032 (c) |  | 15574000 | 15670167 |
| Goldman Sachs Group Inc/The 5.065% 1/21/2037 (c) |  | 27000000 | 27189906 |
| Goldman Sachs Group Inc/The 6.484% 10/24/2029 (c) |  | 18000000 | 19055027 |
| Goldman Sachs Group Inc/The 6.75% 10/1/2037  |  | 59592000 | 66939022 |
| Hightower Holding LLC 6.75% 4/15/2029 (o) |  | 1385000 | 1373257 |
| Intercontinental Exchange Inc 3.625% 9/1/2028  |  | 6900000 | 6853658 |
| Intercontinental Exchange Inc 4.35% 6/15/2029  |  | 3724000 | 3769790 |
| Jane Street Group / JSG Finance Inc 4.5% 11/15/2029 (o) |  | 155000 | 151243 |
| Jane Street Group / JSG Finance Inc 6.125% 11/1/2032 (o) |  | 1500000 | 1508957 |
| Jane Street Group / JSG Finance Inc 6.75% 5/1/2033 (o) |  | 575000 | 590056 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 5% 8/15/2028 (o) |  | 270000 | 256720 |
| Jefferies Finance LLC / JFIN Co-Issuer Corp 6.625% 10/15/2031 (o) |  | 205000 | 199617 |
| LPL Holdings Inc 4.9% 4/3/2028  |  | 3189000 | 3225903 |
| Morgan Stanley 1.794% 2/13/2032 (c) |  | 7317000 | 6478378 |
| Morgan Stanley 2.239% 7/21/2032 (c) |  | 4900000 | 4393812 |
| Morgan Stanley 2.475% 1/21/2028 (c) |  | 5000000 | 4933457 |
| Morgan Stanley 2.699% 1/22/2031 (c) |  | 6227000 | 5892101 |
| Morgan Stanley 3.622% 4/1/2031 (c) |  | 47370000 | 46318065 |
| Morgan Stanley 3.955% 3/21/2035 (c) | EUR | 800000 | 964404 |
| Morgan Stanley 4.099% 5/22/2036 (c) | EUR | 400000 | 486166 |
| Morgan Stanley 4.21% 4/20/2028 (c) |  | 6115000 | 6126715 |
| Morgan Stanley 4.493% 1/16/2032 (c) |  | 3576000 | 3596736 |
| Morgan Stanley 4.654% 10/18/2030 (c) |  | 29950000 | 30438876 |
| Morgan Stanley 4.889% 7/20/2033 (c) |  | 49499000 | 50488796 |
| Morgan Stanley 4.994% 4/12/2029 (c) |  | 11745000 | 11959043 |
| Morgan Stanley 5.073% 1/30/2037 (c) |  | 25000000 | 25213105 |
| Morgan Stanley 5.192% 4/17/2031 (c) |  | 14386000 | 14902657 |
| Morgan Stanley 5.23% 1/15/2031 (c) |  | 8629000 | 8936044 |
| Morgan Stanley 5.424% 7/21/2034 (c) |  | 23551000 | 24597339 |
| Morgan Stanley 5.449% 7/20/2029 (c) |  | 16012000 | 16511146 |
| Morgan Stanley 5.664% 4/17/2036 (c) |  | 10117000 | 10691603 |
| Morgan Stanley 6.342% 10/18/2033 (c) |  | 39945000 | 43962754 |
| MSCI Inc 5.15% 3/15/2036  |  | 22955000 | 22746496 |
| MSCI Inc 5.25% 9/1/2035  |  | 18852000 | 18875783 |
| Nasdaq Inc 5.95% 8/15/2053  |  | 1132000 | 1173336 |
| Nasdaq Inc 6.1% 6/28/2063  |  | 6000000 | 6231419 |
| Nuveen LLC 5.55% 1/15/2030 (o) |  | 16339000 | 17054542 |
| Nuveen LLC 5.85% 4/15/2034 (o) |  | 4000000 | 4252901 |
| S&P Global Inc 3.9% 3/1/2062  |  | 2414000 | 1820245 |
| Sammons Financial Group Global Funding 4.95% 6/12/2030 (o) |  | 20600000 | 20965280 |
| Sammons Financial Group Global Funding 5.05% 1/10/2028 (o) |  | 5760000 | 5858906 |
| Sammons Financial Group Global Funding 5.1% 12/10/2029 (o) |  | 15100000 | 15488646 |
| VFH Parent LLC / Valor Co-Issuer Inc 7.5% 6/15/2031 (o) |  | 895000 | 931534 |
|  |  |  | 774566245 |
| Consumer Finance - 0.3% |  |  |  |
| Ally Financial Inc 4.75% 6/9/2027  |  | 3759000 | 3788390 |
| Ally Financial Inc 7.1% 11/15/2027  |  | 17330000 | 18165722 |
| American Express Co 4.918% 7/20/2033 (c) |  | 6899000 | 7067140 |
| American Express Co 5.085% 1/30/2031 (c) |  | 7596000 | 7847938 |
| Capital One Financial Corp 1.878% 11/2/2027 (c) |  | 5931000 | 5838299 |
| Capital One Financial Corp 2.359% 7/29/2032 (c) |  | 8448000 | 7444236 |
| Capital One Financial Corp 3.273% 3/1/2030 (c) |  | 12200000 | 11899116 |
| Capital One Financial Corp 3.65% 5/11/2027  |  | 21700000 | 21623590 |
| Capital One Financial Corp 4.1% 2/9/2027  |  | 13375000 | 13393450 |
| Capital One Financial Corp 4.927% 5/10/2028 (c) |  | 6900000 | 6968070 |
| Capital One Financial Corp 5.247% 7/26/2030 (c) |  | 19853000 | 20514810 |
| Capital One Financial Corp 5.7% 2/1/2030 (c) |  | 1100000 | 1145576 |
| Capital One Financial Corp 6.312% 6/8/2029 (c) |  | 12000000 | 12560435 |
| Capital One Financial Corp 7.624% 10/30/2031 (c) |  | 22914000 | 25827495 |
| Ford Motor Credit Co LLC 2.7% 8/10/2026  |  | 5665000 | 5626094 |
| Ford Motor Credit Co LLC 3.625% 6/17/2031  |  | 5000000 | 4660932 |
| Ford Motor Credit Co LLC 4% 11/13/2030  |  | 16400000 | 15717033 |
| Ford Motor Credit Co LLC 4.125% 8/17/2027  |  | 19335000 | 19262133 |
| Ford Motor Credit Co LLC 4.445% 2/14/2030  | EUR | 700000 | 856492 |
| Ford Motor Credit Co LLC 4.95% 5/28/2027  |  | 20213000 | 20353685 |
| Ford Motor Credit Co LLC 4.97% 4/6/2029  |  | 4866000 | 4897032 |
| Ford Motor Credit Co LLC 5.85% 5/17/2027  |  | 6500000 | 6606517 |
| Ford Motor Credit Co LLC 5.875% 11/7/2029  |  | 19900000 | 20581510 |
| Ford Motor Credit Co LLC 6.184% 8/29/2031  | GBP | 725000 | 1011446 |
| Ford Motor Credit Co LLC 6.8% 5/12/2028  |  | 6000000 | 6276308 |
| Navient Corp 6.75% 6/15/2026  |  | 1050000 | 1052132 |
| OneMain Finance Corp 3.5% 1/15/2027  |  | 840000 | 830157 |
| OneMain Finance Corp 3.875% 9/15/2028  |  | 650000 | 628884 |
| OneMain Finance Corp 6.125% 5/15/2030  |  | 390000 | 391532 |
| OneMain Finance Corp 6.625% 5/15/2029  |  | 240000 | 245010 |
| OneMain Finance Corp 6.75% 3/15/2032  |  | 1190000 | 1199238 |
| OneMain Finance Corp 6.75% 9/15/2033  |  | 515000 | 511144 |
| PRA Group Inc 5% 10/1/2029 (o) |  | 450000 | 415376 |
| Stellantis Financial Services US Corp 4.95% 9/15/2028 (o) |  | 8503000 | 8572984 |
| Stellantis Financial Services US Corp 5.4% 9/15/2030 (o) |  | 6780000 | 6855180 |
| Synchrony Financial 3.95% 12/1/2027  |  | 6658000 | 6627478 |
|  |  |  | 297262564 |
| Financial Services - 0.3% |  |  |  |
| Aircastle Ltd / Aircastle Ireland DAC 5% 9/15/2030 (o) |  | 10500000 | 10735872 |
| Aircastle Ltd / Aircastle Ireland DAC 5.25% 3/15/2030 (o) |  | 12185000 | 12578153 |
| Aon Corp / Aon Global Holdings PLC 2.6% 12/2/2031  |  | 2057000 | 1874048 |
| Aon Corp / Aon Global Holdings PLC 5.35% 2/28/2033  |  | 6000000 | 6278536 |
| Aviation Capital Group LLC 6.25% 4/15/2028 (o) |  | 6500000 | 6754767 |
| Aviation Capital Group LLC 6.75% 10/25/2028 (o) |  | 6500000 | 6893504 |
| Block Inc 2.75% 6/1/2026  |  | 465000 | 463060 |
| Block Inc 3.5% 6/1/2031  |  | 620000 | 582175 |
| Block Inc 5.625% 8/15/2030 (o) |  | 390000 | 395113 |
| Block Inc 6% 8/15/2033 (o) |  | 310000 | 315018 |
| Block Inc 6.5% 5/15/2032  |  | 1195000 | 1229367 |
| Corebridge Financial Inc 3.65% 4/5/2027  |  | 1888000 | 1878091 |
| Corebridge Financial Inc 3.85% 4/5/2029  |  | 600000 | 593135 |
| Corebridge Financial Inc 3.9% 4/5/2032  |  | 24473000 | 23241317 |
| Corebridge Financial Inc 4.35% 4/5/2042  |  | 2247000 | 1913932 |
| Corebridge Financial Inc 6.05% 9/15/2033  |  | 5916000 | 6312031 |
| CrossCountry Intermediate HoldCo LLC 6.5% 10/1/2030 (o) |  | 425000 | 423314 |
| CrossCountry Intermediate HoldCo LLC 6.75% 12/1/2032 (o) |  | 425000 | 420647 |
| Equitable Holdings Inc 4.35% 4/20/2028  |  | 1898000 | 1907536 |
| Equitable Holdings Inc 4.572% 2/15/2029 (o) |  | 1989000 | 1996307 |
| Equitable Holdings Inc 5% 4/20/2048  |  | 10215000 | 9059814 |
| Essent Group Ltd 6.25% 7/1/2029  |  | 8400000 | 8839449 |
| Fiserv Inc 4.55% 2/15/2031  |  | 31900000 | 31799533 |
| Fiserv Inc 5.25% 8/11/2035  |  | 6600000 | 6602745 |
| Global Payments Inc 4.5% 11/15/2028  |  | 18245000 | 18286964 |
| Global Payments Inc 4.875% 11/15/2030  |  | 15550000 | 15531766 |
| Icahn Enterprises LP / Icahn Enterprises Finance Corp 10% 11/15/2029 (o) |  | 435000 | 428475 |
| Jackson Financial Inc 3.125% 11/23/2031  |  | 3030000 | 2760029 |
| Jackson Financial Inc 5.17% 6/8/2027  |  | 10297000 | 10422222 |
| Jackson Financial Inc 5.67% 6/8/2032  |  | 14050000 | 14368021 |
| NFE Financing LLC 12% (k)(o) |  | 294395 | 106424 |
| PennyMac Financial Services Inc 6.75% 2/15/2034 (o) |  | 835000 | 825531 |
| PennyMac Financial Services Inc 6.875% 5/15/2032 (o) |  | 605000 | 608461 |
| Pine Street Trust II 5.568% 2/15/2049 (o) |  | 7700000 | 7337083 |
| Rexford Industrial Realty LP 2.15% 9/1/2031  |  | 2886000 | 2561785 |
| Rocket Cos Inc 6.125% 8/1/2030 (o) |  | 1025000 | 1051603 |
| Rocket Cos Inc 6.375% 8/1/2033 (o) |  | 1430000 | 1477933 |
| Rocket Cos Inc 6.5% 8/1/2029 (o) |  | 670000 | 688337 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc 3.625% 3/1/2029 (o) |  | 1055000 | 1016462 |
| Shift4 Payments LLC / Shift4 Payments Finance Sub Inc 6.75% 8/15/2032 (o) |  | 430000 | 420885 |
| UWM Holdings LLC 6.25% 3/15/2031 (o) |  | 425000 | 410623 |
| UWM Holdings LLC 6.625% 2/1/2030 (o) |  | 1005000 | 997405 |
| Voya Financial Inc 4.7% 1/23/2048 (c) |  | 3132000 | 3010560 |
| Voya Financial Inc 5.05% 3/2/2036  |  | 15000000 | 14829194 |
| Walker & Dunlop Inc 6.625% 4/1/2033 (o) |  | 400000 | 395365 |
| WEX Inc 6.5% 3/15/2033 (o) |  | 565000 | 567846 |
|  |  |  | 241190438 |
| Insurance - 0.5% |  |  |  |
| 200 Park Funding Trust 5.74% 2/15/2055 (o) |  | 8900000 | 8807567 |
| Acrisure LLC / Acrisure Finance Inc 6.75% 7/1/2032 (o) |  | 205000 | 201052 |
| AFLAC Inc 3.6% 4/1/2030  |  | 387000 | 381163 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 4.25% 10/15/2027 (o) |  | 1320000 | 1303580 |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer 6.5% 10/1/2031 (o) |  | 245000 | 246344 |
| AmFam Holdings Inc 2.805% 3/11/2031 (o) |  | 5464000 | 4853891 |
| Aon Corp 6.25% 9/30/2040  |  | 142000 | 156432 |
| APH Somerset Investor 2 LLC / APH2 Somerset Investor 2 LLC / APH3 Somerset Inves 7.875% 11/1/2029 (o) |  | 1205000 | 1167428 |
| Arthur J Gallagher & Co 5% 2/15/2032  |  | 11066000 | 11309349 |
| Arthur J Gallagher & Co 5.15% 2/15/2035  |  | 19900000 | 20172357 |
| Arthur J Gallagher & Co 5.55% 2/15/2055  |  | 5362000 | 5130330 |
| Assurant Inc 2.65% 1/15/2032  |  | 7753000 | 6957648 |
| Assurant Inc 5.55% 2/15/2036  |  | 4267000 | 4335299 |
| Asurion LLC and Asurion Co-Issuer Inc 8% 12/31/2032 (o) |  | 625000 | 656443 |
| Athene Holding Ltd 6.875% 6/28/2055 (c) |  | 1100000 | 1059459 |
| Brown & Brown Inc 4.2% 3/17/2032  |  | 3550000 | 3422395 |
| Brown & Brown Inc 4.9% 6/23/2030  |  | 7661000 | 7787889 |
| Brown & Brown Inc 5.25% 6/23/2032  |  | 4899000 | 4991208 |
| Brown & Brown Inc 5.55% 6/23/2035  |  | 5476000 | 5586929 |
| Brown & Brown Inc 6.25% 6/23/2055  |  | 5558000 | 5676168 |
| Corebridge Global Funding 4.9% 12/3/2029 (o) |  | 1750000 | 1788645 |
| Corebridge Global Funding 5.9% 9/19/2028 (o) |  | 18426000 | 19231482 |
| Equitable Financial Life Global Funding 1.4% 8/27/2027 (o) |  | 1724000 | 1661827 |
| Equitable Financial Life Global Funding 5% 3/27/2030 (o) |  | 12965000 | 13280256 |
| Five Corners Funding Trust II 2.85% 5/15/2030 (o) |  | 21030000 | 19946369 |
| Fortitude Group Holdings LLC 6.25% 4/1/2030 (o) |  | 10817000 | 11235156 |
| Hartford Insurance Group Inc/The 4.3% 4/15/2043  |  | 679000 | 600752 |
| Jackson National Life Global Funding 4.6% 10/1/2029 (o) |  | 11326000 | 11364387 |
| Jackson National Life Global Funding 5.35% 1/13/2030 (o) |  | 5750000 | 5925515 |
| Jackson National Life Global Funding 5.55% 7/2/2027 (o) |  | 3874000 | 3944059 |
| Liberty Mutual Group Inc 3.95% 5/15/2060 (o) |  | 12820000 | 9089063 |
| Lincoln Financial Global Funding 5.3% 1/13/2030 (o) |  | 6864000 | 7052007 |
| Lincoln National Corp 3.4% 1/15/2031  |  | 14811000 | 13935138 |
| Lincoln National Corp 5.35% 11/15/2035  |  | 11100000 | 10837048 |
| Marsh & McLennan Cos Inc 4.95% 3/15/2036  |  | 19456000 | 19628972 |
| Marsh & McLennan Cos Inc 5.7% 9/15/2053  |  | 10000000 | 9995115 |
| MassMutual Global Funding II 4.85% 1/17/2029 (o) |  | 7800000 | 8002044 |
| MetLife Inc 5.375% 7/15/2033  |  | 16000000 | 16866898 |
| Pacific LifeCorp 3.35% 9/15/2050 (o) |  | 7037000 | 4912183 |
| Pacific LifeCorp 5.125% 1/30/2043 (o) |  | 3343000 | 3184591 |
| Panther Escrow Issuer LLC 7.125% 6/1/2031 (o) |  | 715000 | 727402 |
| Peachtree Corners Funding Trust II 6.012% 5/15/2035 (o) |  | 24600000 | 25885725 |
| Pine Street Trust III 6.223% 5/15/2054 (o) |  | 12000000 | 12220067 |
| Principal Financial Group Inc 3.7% 5/15/2029  |  | 1714000 | 1696309 |
| Prudential Financial Inc 6% 9/1/2052 (c) |  | 31987000 | 33052583 |
| Reinsurance Group of America Inc 5.75% 9/15/2034  |  | 14700000 | 15401587 |
| Reinsurance Group of America Inc 6% 9/15/2033  |  | 500000 | 534591 |
| RGA Global Funding 5.448% 5/24/2029 (o) |  | 7900000 | 8200756 |
| Ryan Specialty LLC 4.375% 2/1/2030 (o) |  | 650000 | 632274 |
| Ryan Specialty LLC 5.875% 8/1/2032 (o) |  | 795000 | 801006 |
| Selective Insurance Group Inc 5.9% 4/15/2035  |  | 7987000 | 8428916 |
| Symetra Life Insurance Co 6.55% 10/1/2055 (o) |  | 3667000 | 3811258 |
| Teachers Insurance & Annuity Association of America 4.9% 9/15/2044 (o) |  | 1484000 | 1371699 |
| Unum Group 4% 6/15/2029  |  | 6130000 | 6080775 |
| Unum Group 4.046% 8/15/2041 (o) |  | 2634000 | 2185328 |
| Unum Group 5.75% 8/15/2042  |  | 1539000 | 1519903 |
| Western-Southern Global Funding 4.25% 1/29/2029 (o) |  | 8000000 | 8035488 |
| Western-Southern Global Funding 4.7% 12/10/2032 (o) |  | 6750000 | 6776171 |
| Western-Southern Global Funding 4.9% 5/1/2030 (o) |  | 888000 | 910613 |
| Willis North America Inc 4.5% 9/15/2028  |  | 1897000 | 1908397 |
|  |  |  | 426865286 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.0% |  |  |  |
| Starwood Property Trust Inc 5.25% 10/15/2028 (o) |  | 510000 | 512452 |
| Starwood Property Trust Inc 6.5% 7/1/2030 (o) |  | 805000 | 837220 |
|  |  |  | 1349672 |
| TOTAL FINANCIALS |  |  | 3443209064 |
| Health Care - 0.5% |  |  |  |
| Biotechnology - 0.0% |  |  |  |
| Amgen Inc 4.663% 6/15/2051  |  | 3736000 | 3261684 |
| Amgen Inc 5.15% 3/2/2028  |  | 1959000 | 2006175 |
| Amgen Inc 5.25% 3/2/2033  |  | 1595000 | 1670084 |
| Amgen Inc 5.65% 3/2/2053  |  | 753000 | 751658 |
| Amgen Inc 5.75% 3/2/2063  |  | 1373000 | 1360918 |
| Gilead Sciences Inc 5.1% 6/15/2035  |  | 5700000 | 5900926 |
| Gilead Sciences Inc 5.5% 11/15/2054  |  | 9000000 | 8970504 |
| Gilead Sciences Inc 5.6% 11/15/2064  |  | 9000000 | 9011185 |
|  |  |  | 32933134 |
| Health Care Equipment & Supplies - 0.0% |  |  |  |
| Avantor Funding Inc 3.875% 11/1/2029 (o) |  | 445000 | 424819 |
| Avantor Funding Inc 4.625% 7/15/2028 (o) |  | 1515000 | 1501189 |
| Hologic Inc 3.25% 2/15/2029 (o) |  | 945000 | 940097 |
| Insulet Corp 6.5% 4/1/2033 (o) |  | 395000 | 410829 |
| Medline Borrower LP 3.875% 4/1/2029 (o) |  | 730000 | 717963 |
| Medline Borrower LP/Medline Co-Issuer Inc 6.25% 4/1/2029 (o) |  | 1325000 | 1367363 |
| Teleflex Inc 4.25% 6/1/2028 (o) |  | 845000 | 832190 |
| VSP Optical Group Inc 5.45% 12/1/2035 (o) |  | 2440000 | 2482083 |
|  |  |  | 8676533 |
| Health Care Providers & Services - 0.5% |  |  |  |
| Acadia Healthcare Co Inc 5% 4/15/2029 (o) |  | 700000 | 685617 |
| Ascension Health 4.294% 11/15/2030  |  | 4545000 | 4593177 |
| Centene Corp 2.45% 7/15/2028  |  | 15813000 | 14904202 |
| Centene Corp 2.5% 3/1/2031  |  | 17757000 | 15410993 |
| Centene Corp 2.625% 8/1/2031  |  | 15841000 | 13724235 |
| Centene Corp 3% 10/15/2030  |  | 9668000 | 8707068 |
| Centene Corp 3.375% 2/15/2030  |  | 11183000 | 10369928 |
| Centene Corp 4.25% 12/15/2027  |  | 9890000 | 9830111 |
| Centene Corp 4.625% 12/15/2029  |  | 14457000 | 14106653 |
| Cigna Group/The 4.375% 10/15/2028  |  | 3698000 | 3736360 |
| Cigna Group/The 4.8% 8/15/2038  |  | 2697000 | 2614534 |
| Cigna Group/The 4.9% 12/15/2048  |  | 517000 | 465062 |
| Cigna Group/The 5.25% 2/15/2034  |  | 7000000 | 7261747 |
| Cigna Group/The 5.4% 3/15/2033  |  | 8000000 | 8418578 |
| CommonSpirit Health 4.352% 9/1/2030  |  | 4520000 | 4540049 |
| CommonSpirit Health 4.975% 9/1/2035  |  | 2873000 | 2887966 |
| CVS Health Corp 4.78% 3/25/2038  |  | 2165000 | 2068646 |
| CVS Health Corp 5% 9/15/2032  |  | 1227000 | 1258881 |
| CVS Health Corp 5.125% 2/21/2030  |  | 14148000 | 14592578 |
| CVS Health Corp 5.125% 7/20/2045  |  | 10000000 | 9151588 |
| CVS Health Corp 5.25% 1/30/2031  |  | 5087000 | 5301825 |
| CVS Health Corp 5.3% 6/1/2033  |  | 14500000 | 15032876 |
| CVS Health Corp 5.4% 6/1/2029  |  | 6500000 | 6757361 |
| CVS Health Corp 5.55% 6/1/2031  |  | 10900000 | 11500663 |
| CVS Health Corp 5.875% 6/1/2053  |  | 5000000 | 4902666 |
| CVS Health Corp 6.2% 9/15/2055  |  | 8290000 | 8498154 |
| CVS Health Corp 6.75% 12/10/2054 (c) |  | 485000 | 504485 |
| CVS Health Corp 7% 3/10/2055 (c) |  | 1420000 | 1493593 |
| DaVita Inc 4.625% 6/1/2030 (o) |  | 655000 | 641197 |
| DaVita Inc 6.75% 7/15/2033 (o) |  | 1290000 | 1339385 |
| DaVita Inc 6.875% 9/1/2032 (o) |  | 275000 | 285749 |
| Elevance Health Inc 2.25% 5/15/2030  |  | 5433000 | 5031363 |
| HCA Inc 3.125% 3/15/2027  |  | 4517000 | 4479455 |
| HCA Inc 3.5% 9/1/2030  |  | 12405000 | 12017527 |
| HCA Inc 3.625% 3/15/2032  |  | 2557000 | 2436492 |
| HCA Inc 5.45% 4/1/2031  |  | 4500000 | 4712360 |
| HCA Inc 5.625% 9/1/2028  |  | 9085000 | 9374815 |
| HCA Inc 5.875% 2/1/2029  |  | 9796000 | 10210197 |
| HealthEquity Inc 4.5% 10/1/2029 (o) |  | 850000 | 827915 |
| Humana Inc 1.35% 2/3/2027  |  | 2069000 | 2017907 |
| Humana Inc 3.95% 3/15/2027  |  | 2000000 | 1997724 |
| Humana Inc 5.375% 4/15/2031  |  | 2200000 | 2267266 |
| Icon Investments Six DAC 5.849% 5/8/2029  |  | 2453000 | 2511705 |
| Molina Healthcare Inc 3.875% 11/15/2030 (o) |  | 1400000 | 1275299 |
| Molina Healthcare Inc 6.25% 1/15/2033 (o) |  | 1065000 | 1047658 |
| Molina Healthcare Inc 6.5% 2/15/2031 (o) |  | 855000 | 857731 |
| Prime Healthcare Foundation Inc 7% 12/1/2027  |  | 2599000 | 2687709 |
| Sabra Health Care LP 3.2% 12/1/2031  |  | 26025000 | 24068105 |
| Sabra Health Care LP 3.9% 10/15/2029  |  | 7857000 | 7738374 |
| Tenet Healthcare Corp 4.625% 6/15/2028  |  | 2785000 | 2781187 |
| Tenet Healthcare Corp 5.125% 11/1/2027  |  | 1000000 | 1000582 |
| Tenet Healthcare Corp 5.5% 11/15/2032 (o) |  | 855000 | 865629 |
| Tenet Healthcare Corp 6.125% 6/15/2030  |  | 970000 | 989354 |
| Toledo Hospital/The Series 2018 B, 5.325% 11/15/2028  |  | 2395000 | 2440116 |
| UnitedHealth Group Inc 3.95% 10/15/2042  |  | 74000 | 61998 |
| UnitedHealth Group Inc 4.625% 7/15/2035  |  | 418000 | 415449 |
| UnitedHealth Group Inc 4.65% 1/15/2031  |  | 11510000 | 11764839 |
| UnitedHealth Group Inc 4.75% 7/15/2045  |  | 1023000 | 927589 |
| UnitedHealth Group Inc 5.3% 6/15/2035  |  | 7470000 | 7794794 |
| UnitedHealth Group Inc 5.95% 6/15/2055  |  | 5201000 | 5386166 |
| US Acute Care Solutions LLC 9.75% 5/15/2029 (o) |  | 425000 | 425132 |
|  |  |  | 335998364 |
| Health Care Technology - 0.0% |  |  |  |
| IQVIA Inc 5% 5/15/2027 (o) |  | 415000 | 414092 |
| IQVIA Inc 6.25% 6/1/2032 (o) |  | 1140000 | 1172691 |
| IQVIA Inc 6.5% 5/15/2030 (o) |  | 1005000 | 1033354 |
|  |  |  | 2620137 |
| Life Sciences Tools & Services - 0.0% |  |  |  |
| Charles River Laboratories International Inc 3.75% 3/15/2029 (o) |  | 1100000 | 1058702 |
| Thermo Fisher Scientific Inc 4.55% 6/15/2033  |  | 8000000 | 8090878 |
|  |  |  | 9149580 |
| Pharmaceuticals - 0.0% |  |  |  |
| 1261229 BC Ltd 10% 4/15/2032 (o) |  | 1210000 | 1251301 |
| Bristol-Myers Squibb Co 5.2% 2/22/2034  |  | 7000000 | 7326600 |
| Bristol-Myers Squibb Co 5.55% 2/22/2054  |  | 4780000 | 4742094 |
| Elanco Animal Health Inc 6.65% 8/28/2028 (c) |  | 8545000 | 8883399 |
| Jazz Securities DAC 4.375% 1/15/2029 (o) |  | 425000 | 419001 |
| Mylan Inc 4.55% 4/15/2028  |  | 3354000 | 3371067 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 4.125% 4/30/2028 (o) |  | 430000 | 422116 |
| Organon & Co / Organon Foreign Debt Co-Issuer BV 5.125% 4/30/2031 (o) |  | 740000 | 657568 |
| Perrigo Finance Unlimited Co 4.9% 6/15/2030 (p) |  | 6476000 | 6266380 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  |  | 1245000 | 1243590 |
| Viatris Inc 2.7% 6/22/2030  |  | 4524000 | 4177310 |
|  |  |  | 38760426 |
| TOTAL HEALTH CARE |  |  | 428138174 |
| Industrials - 0.4% |  |  |  |
| Aerospace & Defense - 0.3% |  |  |  |
| Axon Enterprise Inc 6.125% 3/15/2030 (o) |  | 515000 | 530772 |
| Axon Enterprise Inc 6.25% 3/15/2033 (o) |  | 475000 | 492347 |
| Boeing Co 2.7% 2/1/2027  |  | 1724000 | 1705416 |
| Boeing Co 3.25% 2/1/2028  |  | 4359000 | 4306839 |
| Boeing Co 3.625% 2/1/2031  |  | 14000000 | 13598787 |
| Boeing Co 5.04% 5/1/2027  |  | 19675000 | 19881878 |
| Boeing Co 5.15% 5/1/2030  |  | 55693000 | 57683448 |
| Boeing Co 5.805% 5/1/2050  |  | 9895000 | 9934977 |
| Boeing Co 6.259% 5/1/2027  |  | 649000 | 664860 |
| Boeing Co 6.298% 5/1/2029  |  | 15131000 | 16124317 |
| Boeing Co 6.388% 5/1/2031  |  | 7220000 | 7891972 |
| Boeing Co 6.528% 5/1/2034  |  | 7701000 | 8634183 |
| Boeing Co 6.858% 5/1/2054  |  | 17614000 | 20200241 |
| Boeing Co 7.008% 5/1/2064  |  | 10499000 | 12173377 |
| BWX Technologies Inc 4.125% 4/15/2029 (o) |  | 720000 | 704836 |
| BWX Technologies Inc 4.125% 6/30/2028 (o) |  | 780000 | 772517 |
| Carpenter Technology Corp 5.625% 3/1/2034 (o) |  | 585000 | 596511 |
| Hexcel Corp 5.875% 2/26/2035  |  | 2383000 | 2536689 |
| Northrop Grumman Corp 4.03% 10/15/2047  |  | 3355000 | 2752360 |
| RTX Corp 6.4% 3/15/2054  |  | 6800000 | 7598758 |
| TransDigm Inc 6% 1/15/2033 (o) |  | 1850000 | 1882725 |
| TransDigm Inc 6.125% 7/31/2034 (o) |  | 220000 | 223462 |
| TransDigm Inc 6.25% 1/31/2034 (o) |  | 140000 | 144829 |
| TransDigm Inc 6.375% 3/1/2029 (o) |  | 2000000 | 2052500 |
| TransDigm Inc 6.375% 5/31/2033 (o) |  | 1240000 | 1265585 |
| TransDigm Inc 6.75% 1/31/2034 (o) |  | 715000 | 742014 |
|  |  |  | 195096200 |
| Air Freight & Logistics - 0.0% |  |  |  |
| Rand Parent LLC 8.5% 2/15/2030 (o) |  | 960000 | 1001396 |
| Building Products - 0.0% |  |  |  |
| Advanced Drainage Systems Inc 5.375% 3/1/2034 (o) |  | 445000 | 448391 |
| Builders FirstSource Inc 4.25% 2/1/2032 (o) |  | 1415000 | 1349513 |
| Builders FirstSource Inc 6.75% 5/15/2035 (o) |  | 665000 | 693971 |
| Carlisle Cos Inc 2.75% 3/1/2030  |  | 6227000 | 5914332 |
| Carrier Global Corp 2.7% 2/15/2031  |  | 6352000 | 5951503 |
| Carrier Global Corp 5.9% 3/15/2034  |  | 3165000 | 3424239 |
| Carrier Global Corp 6.2% 3/15/2054  |  | 1748000 | 1923602 |
| EMRLD Borrower LP / Emerald Co-Issuer Inc 6.625% 12/15/2030 (o) |  | 1050000 | 1086745 |
| JH North America Holdings Inc 6.125% 7/31/2032 (o) |  | 830000 | 851874 |
| Standard Building Solutions Inc 5.875% 3/15/2034 (o) |  | 215000 | 214475 |
| Standard Building Solutions Inc 6.25% 8/1/2033 (o) |  | 415000 | 422741 |
| Standard Building Solutions Inc 6.5% 8/15/2032 (o) |  | 600000 | 617602 |
| Standard Industries Inc/NY 4.375% 7/15/2030 (o) |  | 435000 | 419662 |
| Trane Technologies Holdco Inc 5.75% 6/15/2043  |  | 223000 | 236663 |
|  |  |  | 23555313 |
| Commercial Services & Supplies - 0.0% |  |  |  |
| Allied Universal Holdco LLC / Allied Universal Finance Corp 6.875% 6/15/2030 (o) |  | 590000 | 614103 |
| Artera Services LLC 8.5% 2/15/2031 (o) |  | 2185000 | 1826590 |
| Brand Industrial Services Inc 10.375% 8/1/2030 (o) |  | 520000 | 485613 |
| Clean Harbors Inc 5.125% 7/15/2029 (o) |  | 325000 | 324876 |
| Clean Harbors Inc 5.75% 10/15/2033 (o) |  | 425000 | 435045 |
| Clean Harbors Inc 6.375% 2/1/2031 (o) |  | 680000 | 698172 |
| CoreCivic Inc 8.25% 4/15/2029  |  | 580000 | 602306 |
| GEO Group Inc/The 10.25% 4/15/2031  |  | 330000 | 354317 |
| GEO Group Inc/The 8.625% 4/15/2029  |  | 580000 | 603499 |
| GFL Environmental Holdings US Inc 5.5% 2/1/2034 (o) |  | 345000 | 346241 |
| GFL Environmental Inc 6.75% 1/15/2031 (o) |  | 310000 | 325143 |
| Neptune Bidco US Inc 9.29% 4/15/2029 (o) |  | 855000 | 857138 |
| Neptune Bidco US Inc 9.5% 2/15/2033 (o) |  | 430000 | 420880 |
| Prime Security Services Borrower LLC / Prime Finance Inc 3.375% 8/31/2027 (o) |  | 635000 | 624926 |
| Waste Pro USA Inc 7% 2/1/2033 (o) |  | 330000 | 343445 |
| Williams Scotsman Inc 6.625% 4/15/2030 (o) |  | 800000 | 828838 |
|  |  |  | 9691132 |
| Construction & Engineering - 0.0% |  |  |  |
| AECOM 6% 8/1/2033 (o) |  | 1240000 | 1266985 |
| Dycom Industries Inc 4.5% 4/15/2029 (o) |  | 420000 | 413554 |
|  |  |  | 1680539 |
| Electrical Equipment - 0.0% |  |  |  |
| Trans-Allegheny Interstate Line Co 5.2% 1/15/2031 (o) |  | 3410000 | 3524539 |
| Vertiv Group Corp 4.125% 11/15/2028 (o) |  | 635000 | 632435 |
| WESCO Distribution Inc 5.25% 4/15/2031 (o) |  | 505000 | 504106 |
| WESCO Distribution Inc 5.5% 4/15/2034 (o) |  | 525000 | 529074 |
| WESCO Distribution Inc 6.375% 3/15/2033 (o) |  | 605000 | 630786 |
|  |  |  | 5820940 |
| Ground Transportation - 0.0% |  |  |  |
| Burlington Northern Santa Fe LLC 4.15% 4/1/2045  |  | 564000 | 481656 |
| Burlington Northern Santa Fe LLC 4.4% 3/15/2042  |  | 1397000 | 1272268 |
| CSX Corp 3.8% 4/15/2050  |  | 78000 | 60367 |
| CSX Corp 4.3% 3/1/2048  |  | 5524000 | 4708420 |
| Genesee & Wyoming Inc 6.25% 4/15/2032 (o) |  | 650000 | 669978 |
| Norfolk Southern Corp 3.155% 5/15/2055  |  | 2000000 | 1313981 |
| Norfolk Southern Corp 5.35% 8/1/2054  |  | 3400000 | 3285650 |
| Uber Technologies Inc 4.15% 1/15/2031  |  | 13670000 | 13616468 |
| Uber Technologies Inc 4.8% 9/15/2035  |  | 9457000 | 9413790 |
| XPO Inc 6.25% 6/1/2028 (o) |  | 630000 | 640129 |
| XPO Inc 7.125% 2/1/2032 (o) |  | 750000 | 785987 |
|  |  |  | 36248694 |
| Industrial Conglomerates - 0.0% |  |  |  |
| Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp 4.25% 2/1/2027 (o) |  | 420000 | 417059 |
| Trane Technologies Financing Ltd 4.65% 11/1/2044  |  | 314000 | 289838 |
|  |  |  | 706897 |
| Machinery - 0.0% |  |  |  |
| AGCO Corp 5.8% 3/21/2034  |  | 7687000 | 8123427 |
| Allison Transmission Inc 3.75% 1/30/2031 (o) |  | 900000 | 856131 |
| Allison Transmission Inc 5.875% 12/1/2033 (o) |  | 425000 | 434018 |
| Enpro Inc 6.125% 6/1/2033 (o) |  | 610000 | 629549 |
| Esab Corp 6.25% 4/15/2029 (o) |  | 780000 | 799545 |
| Ingersoll Rand Inc 5.176% 6/15/2029  |  | 7800000 | 8090053 |
| Ingersoll Rand Inc 5.314% 6/15/2031  |  | 8500000 | 8938899 |
| Ingersoll Rand Inc 5.45% 6/15/2034  |  | 8200000 | 8612066 |
| Ingersoll Rand Inc 5.7% 8/14/2033  |  | 4393000 | 4701074 |
|  |  |  | 41184762 |
| Passenger Airlines - 0.0% |  |  |  |
| American Airlines 2016-3 Class A Pass Through Trust 7.25% 2/15/2028 (o) |  | 195000 | 198738 |
| American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/2029  |  | 851604 | 836180 |
| United Airlines 2018-1 Class B Pass Through Trust equipment trust certificate 4.6% 9/1/2027  |  | 1129192 | 1129135 |
| United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/2029  |  | 514696 | 504006 |
| United Airlines Holdings Inc 5.375% 3/1/2031  |  | 1090000 | 1109720 |
|  |  |  | 3777779 |
| Professional Services - 0.1% |  |  |  |
| Amentum Holdings Inc 7.25% 8/1/2032 (o) |  | 805000 | 843506 |
| Booz Allen Hamilton Inc 5.95% 8/4/2033  |  | 10000000 | 10258526 |
| CACI International Inc 6.375% 6/15/2033 (o) |  | 790000 | 813299 |
| Leidos Inc 4.1% 3/15/2029 (d) |  | 2942000 | 2949534 |
| Leidos Inc 5% 3/15/2036 (d) |  | 16500000 | 16461325 |
| Paychex Inc 5.1% 4/15/2030  |  | 4791000 | 4892833 |
| Paychex Inc 5.35% 4/15/2032  |  | 17604000 | 18053836 |
| Paychex Inc 5.6% 4/15/2035  |  | 14647000 | 15015311 |
| Science Applications International Corp 5.875% 11/1/2033 (o) |  | 610000 | 606239 |
| TriNet Group Inc 7.125% 8/15/2031 (o) |  | 635000 | 616047 |
| Verisk Analytics Inc 4.45% 3/15/2031  |  | 3461000 | 3477858 |
|  |  |  | 73988314 |
| Trading Companies & Distributors - 0.0% |  |  |  |
| Air Lease Corp 2.2% 1/15/2027  |  | 3428000 | 3376018 |
| Air Lease Corp 3.75% 6/1/2026  |  | 5000000 | 4994433 |
| Ferguson Enterprises Inc 5% 10/3/2034  |  | 7219000 | 7333821 |
| FTAI Aviation Investors LLC 5.875% 4/15/2033 (o) |  | 690000 | 699740 |
| FTAI Aviation Investors LLC 7% 6/15/2032 (o) |  | 680000 | 713798 |
| FTAI Aviation Investors LLC 7.875% 12/1/2030 (o) |  | 465000 | 492030 |
| Herc Holdings Inc 5.75% 3/15/2031 (o) |  | 285000 | 288910 |
| Herc Holdings Inc 6% 3/15/2034 (o) |  | 260000 | 261386 |
| Herc Holdings Inc 7% 6/15/2030 (o) |  | 605000 | 633990 |
| Herc Holdings Inc 7.25% 6/15/2033 (o) |  | 575000 | 607814 |
| QXO Building Products Inc 6.75% 4/30/2032 (o) |  | 595000 | 616251 |
| United Rentals North America Inc 3.75% 1/15/2032  |  | 805000 | 759698 |
| United Rentals North America Inc 5.375% 11/15/2033 (o) |  | 425000 | 428465 |
| United Rentals North America Inc 6.125% 3/15/2034 (o) |  | 1080000 | 1131389 |
|  |  |  | 22337743 |
| TOTAL INDUSTRIALS |  |  | 415089709 |
| Information Technology - 0.7% |  |  |  |
| Electronic Equipment, Instruments & Components - 0.2% |  |  |  |
| Amphenol Corp 4.125% 11/15/2030  |  | 11300000 | 11356790 |
| Amphenol Corp 4.4% 2/15/2033  |  | 11100000 | 11127316 |
| Amphenol Corp 5.25% 4/5/2034  |  | 4400000 | 4609166 |
| Coherent Corp 5% 12/15/2029 (o) |  | 1685000 | 1685908 |
| Dell International LLC / EMC Corp 3.375% 12/15/2041  |  | 3736000 | 2888731 |
| Dell International LLC / EMC Corp 3.45% 12/15/2051  |  | 1801000 | 1263707 |
| Dell International LLC / EMC Corp 4.15% 2/15/2029  |  | 24423000 | 24510412 |
| Dell International LLC / EMC Corp 4.5% 2/15/2031  |  | 32702000 | 32860783 |
| Dell International LLC / EMC Corp 4.75% 10/6/2032  |  | 15962000 | 16111316 |
| Dell International LLC / EMC Corp 5% 4/1/2030  |  | 3232000 | 3323982 |
| Dell International LLC / EMC Corp 5.1% 2/15/2036  |  | 34440000 | 34566697 |
| Insight Enterprises Inc 6.625% 5/15/2032 (o) |  | 300000 | 300751 |
| Lightning Power LLC 7.25% 8/15/2032 (o) |  | 975000 | 1035120 |
| Sensata Technologies Inc 3.75% 2/15/2031 (o) |  | 690000 | 650502 |
| TTM Technologies Inc 4% 3/1/2029 (o) |  | 860000 | 834589 |
| Vontier Corp 2.4% 4/1/2028  |  | 7691000 | 7426489 |
| Vontier Corp 2.95% 4/1/2031  |  | 8630000 | 8017242 |
|  |  |  | 162569501 |
| IT Services - 0.0% |  |  |  |
| ASGN Inc 4.625% 5/15/2028 (o) |  | 220000 | 213333 |
| Beignet Investor LLC 6.581% 5/30/2049 (o) |  | 21000000 | 22304558 |
| CDW LLC / CDW Finance Corp 2.67% 12/1/2026  |  | 5350000 | 5293981 |
| CDW LLC / CDW Finance Corp 5.1% 3/1/2030  |  | 18200000 | 18483531 |
| CDW LLC / CDW Finance Corp 5.55% 8/22/2034  |  | 10150000 | 10215908 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (o) |  | 1140000 | 1119066 |
| Cogent Communications Group LLC / Cogent Finance Inc 7% 6/15/2027 (o) |  | 125000 | 122860 |
| CoreWeave Inc 9% 2/1/2031 (o) |  | 700000 | 675406 |
| CoreWeave Inc 9.25% 6/1/2030 (o) |  | 1065000 | 1043114 |
| Go Daddy Operating Co LLC / GD Finance Co Inc 3.5% 3/1/2029 (o) |  | 1530000 | 1431353 |
|  |  |  | 60903110 |
| Semiconductors & Semiconductor Equipment - 0.3% |  |  |  |
| Broadcom Inc 1.95% 2/15/2028  |  | 2879000 | 2783164 |
| Broadcom Inc 2.45% 2/15/2031  |  | 63916000 | 59080322 |
| Broadcom Inc 2.6% 2/15/2033  |  | 23971000 | 21338644 |
| Broadcom Inc 3.137% 11/15/2035 (o) |  | 6850000 | 5989328 |
| Broadcom Inc 3.187% 11/15/2036 (o) |  | 6678000 | 5760939 |
| Broadcom Inc 3.419% 4/15/2033  |  | 10171000 | 9526650 |
| Broadcom Inc 3.5% 2/15/2041  |  | 20866000 | 17285075 |
| Broadcom Inc 3.75% 2/15/2051  |  | 1693000 | 1305327 |
| Broadcom Inc 4.15% 11/15/2030  |  | 1724000 | 1729415 |
| Broadcom Inc 4.6% 7/15/2030  |  | 10250000 | 10480341 |
| Broadcom Inc 4.8% 2/15/2036  |  | 17350000 | 17392834 |
| Broadcom Inc 4.9% 7/15/2032  |  | 10200000 | 10505708 |
| Broadcom Inc 5.05% 7/12/2029  |  | 16700000 | 17279248 |
| Broadcom Inc 5.15% 11/15/2031  |  | 16700000 | 17486577 |
| Broadcom Inc 5.7% 1/15/2056  |  | 6824000 | 7007360 |
| Entegris Inc 4.375% 4/15/2028 (o) |  | 1255000 | 1244271 |
| Entegris Inc 5.95% 6/15/2030 (o) |  | 990000 | 1009537 |
| Micron Technology Inc 2.703% 4/15/2032  |  | 2039000 | 1864129 |
| Micron Technology Inc 3.366% 11/1/2041  |  | 2223000 | 1762262 |
| Micron Technology Inc 3.477% 11/1/2051  |  | 2229000 | 1634685 |
| Micron Technology Inc 5.3% 1/15/2031  |  | 9833000 | 10327520 |
| Micron Technology Inc 5.65% 11/1/2032  |  | 7400000 | 7887692 |
| Micron Technology Inc 5.8% 1/15/2035  |  | 8600000 | 9209818 |
| Micron Technology Inc 6.05% 11/1/2035  |  | 7400000 | 8038481 |
| ON Semiconductor Corp 3.875% 9/1/2028 (o) |  | 500000 | 489454 |
| Wolfspeed Inc 9.875% 6/23/2030 pay-in-kind (c)(o) |  | 225857 | 241396 |
|  |  |  | 248660177 |
| Software - 0.2% |  |  |  |
| Cloud Software Group Inc 6.5% 3/31/2029 (o) |  | 890000 | 872802 |
| Cloud Software Group Inc 9% 9/30/2029 (o) |  | 1070000 | 1047797 |
| Crowdstrike Holdings Inc 3% 2/15/2029  |  | 655000 | 621997 |
| Elastic NV 4.125% 7/15/2029 (o) |  | 1510000 | 1426615 |
| Ellucian Holdings Inc 6.5% 12/1/2029 (o) |  | 445000 | 436375 |
| Fair Isaac Corp 4% 6/15/2028 (o) |  | 1130000 | 1106276 |
| Fair Isaac Corp 6% 5/15/2033 (o) |  | 1020000 | 1030992 |
| Fiserv Funding ULC 3.5% 6/15/2032  | EUR | 733000 | 854599 |
| Gen Digital Inc 6.25% 4/1/2033 (o) |  | 475000 | 472716 |
| Oracle Corp 2.875% 3/25/2031  |  | 7473000 | 6792000 |
| Oracle Corp 3.6% 4/1/2040  |  | 290000 | 219152 |
| Oracle Corp 3.8% 11/15/2037  |  | 1325000 | 1089703 |
| Oracle Corp 4.45% 9/26/2030  |  | 10372000 | 10172377 |
| Oracle Corp 4.8% 9/26/2032  |  | 15178000 | 14830807 |
| Oracle Corp 4.95% 2/4/2031  |  | 12030000 | 12005359 |
| Oracle Corp 5.2% 9/26/2035  |  | 13817000 | 13352097 |
| Oracle Corp 5.35% 5/4/2033  |  | 12470000 | 12512037 |
| Oracle Corp 5.375% 7/15/2040  |  | 135000 | 123504 |
| Oracle Corp 5.7% 2/4/2036  |  | 4600000 | 4602576 |
| Oracle Corp 5.875% 9/26/2045  |  | 17411000 | 15775501 |
| Oracle Corp 5.95% 9/26/2055  |  | 18208000 | 16022925 |
| Oracle Corp 6% 8/3/2055  |  | 1414000 | 1245604 |
| Oracle Corp 6.1% 9/26/2065  |  | 19925000 | 17265498 |
| Oracle Corp 6.55% 2/4/2046  |  | 13800000 | 13447431 |
| Oracle Corp 6.7% 2/4/2056  |  | 13800000 | 13382691 |
| Oracle Corp 6.85% 2/4/2066  |  | 13800000 | 13220584 |
| UKG Inc 6.875% 2/1/2031 (o) |  | 715000 | 693656 |
| X.AI LLC / X.AI Co Issuer Corp 12.5% 6/30/2030 (o) |  | 925000 | 1053494 |
|  |  |  | 175677165 |
| Technology Hardware, Storage & Peripherals - 0.0% |  |  |  |
| Seagate Data Storage Technology Pte Ltd 5.875% 7/15/2030 (o) |  | 360000 | 370495 |
| Seagate Data Storage Technology Pte Ltd 8.25% 12/15/2029 (o) |  | 2115000 | 2231662 |
|  |  |  | 2602157 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 650412110 |
| Materials - 0.1% |  |  |  |
| Chemicals - 0.1% |  |  |  |
| Advancion Sciences Inc 9.25% 11/1/2026 pay-in-kind (c)(o) |  | 589519 | 509934 |
| Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV 4.75% 6/15/2027 (o) |  | 825000 | 823582 |
| Axalta Coating Systems LLC 3.375% 2/15/2029 (o) |  | 435000 | 419587 |
| Celanese US Holdings LLC 6.5% 4/15/2030  |  | 615000 | 630111 |
| Celanese US Holdings LLC 6.75% 4/15/2033  |  | 425000 | 435753 |
| Celanese US Holdings LLC 6.85% 11/15/2028 (c) |  | 7635000 | 8034654 |
| Celanese US Holdings LLC 7% 2/15/2031  |  | 1075000 | 1107361 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (c) |  | 15417000 | 16437236 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (c) |  | 7254000 | 7793306 |
| Celanese US Holdings LLC 7.375% 2/15/2034  |  | 515000 | 529067 |
| Chemours Co/The 4.625% 11/15/2029 (o) |  | 555000 | 525702 |
| Chemours Co/The 5.75% 11/15/2028 (o) |  | 1015000 | 1020901 |
| Chemours Co/The 7.875% 3/15/2034 (d)(o) |  | 310000 | 309613 |
| Chevron Phillips Chemical Co LLC / Chevron Phillips Chemical Co LP 4.75% 5/15/2030 (o) |  | 2309000 | 2358944 |
| International Flavors & Fragrances Inc 1.832% 10/15/2027 (o) |  | 1819000 | 1756051 |
| International Flavors & Fragrances Inc 2.3% 11/1/2030 (o) |  | 2599000 | 2370088 |
| LSB Industries Inc 6.25% 10/15/2028 (o) |  | 460000 | 462408 |
| Methanex US Operations Inc 6.25% 3/15/2032 (o) |  | 710000 | 734852 |
| Olin Corp 6.625% 4/1/2033 (o) |  | 525000 | 512647 |
| Olympus Water US Holding Corp 6.75% 8/1/2032 (o) |  | 210000 | 206726 |
| Scih Salt Hldgs Inc 6.625% 5/1/2029 (o) |  | 620000 | 618450 |
| WR Grace Holdings LLC 5.625% 8/15/2029 (o) |  | 320000 | 306540 |
| WR Grace Holdings LLC 6.625% 8/15/2032 (o) |  | 750000 | 758720 |
| WR Grace Holdings LLC 7% 8/1/2033 (o) |  | 295000 | 300354 |
|  |  |  | 48962587 |
| Construction Materials - 0.0% |  |  |  |
| Amrize Finance US LLC 4.7% 4/7/2028  |  | 1949000 | 1979174 |
| CRH America Finance Inc 4.4% 2/9/2031  |  | 19890000 | 20038256 |
| Quikrete Holdings Inc 6.375% 3/1/2032 (o) |  | 1005000 | 1044494 |
| Smyrna Ready Mix Concrete LLC 8.875% 11/15/2031 (o) |  | 410000 | 435577 |
| VM Consolidated Inc 5.5% 4/15/2029 (o) |  | 575000 | 564404 |
|  |  |  | 24061905 |
| Containers & Packaging - 0.0% |  |  |  |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 3.25% 9/1/2028 (o) |  | 885000 | 855493 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 4% 9/1/2029 (o) |  | 685000 | 653789 |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC 6.25% 1/30/2031 (o) |  | 315000 | 322407 |
| Ball Corp 2.875% 8/15/2030  |  | 965000 | 897508 |
| Ball Corp 3.125% 9/15/2031  |  | 955000 | 886575 |
| Ball Corp 5.5% 9/15/2033  |  | 625000 | 643173 |
| Ball Corp 6% 6/15/2029  |  | 395000 | 407238 |
| Clydesdale Acquisition Holdings Inc 6.75% 4/15/2032 (o) |  | 605000 | 609568 |
| Clydesdale Acquisition Holdings Inc 6.875% 1/15/2030 (o) |  | 275000 | 279216 |
| Crown Americas LLC / Crown Americas Capital Corp 5.875% 6/1/2033 (o) |  | 1440000 | 1479496 |
| Graphic Packaging International LLC 3.75% 2/1/2030 (o) |  | 395000 | 373819 |
| Graphic Packaging International LLC 6.375% 7/15/2032 (o) |  | 870000 | 881296 |
| Sealed Air Corp/Sealed Air Corp US 7.25% 2/15/2031 (o) |  | 515000 | 534661 |
|  |  |  | 8824239 |
| Metals & Mining - 0.0% |  |  |  |
| Alcoa Nederland Holding BV 7.125% 3/15/2031 (o) |  | 170000 | 179728 |
| Alumina Pty Ltd 6.375% 9/15/2032 (o) |  | 1220000 | 1266652 |
| Cleveland-Cliffs Inc 7% 3/15/2032 (o) |  | 265000 | 269141 |
| Cleveland-Cliffs Inc 7.5% 9/15/2031 (o) |  | 760000 | 793248 |
| Cleveland-Cliffs Inc 7.625% 1/15/2034 (o) |  | 420000 | 431034 |
| Commercial Metals Co 3.875% 2/15/2031  |  | 915000 | 870028 |
| Commercial Metals Co 4.375% 3/15/2032  |  | 220000 | 210739 |
| Commercial Metals Co 5.75% 11/15/2033 (o) |  | 425000 | 433621 |
| Commercial Metals Co 6% 12/15/2035 (o) |  | 130000 | 133152 |
| Kaiser Aluminum Corp 5.875% 3/1/2034 (o) |  | 215000 | 217394 |
| Novelis Corp 3.875% 8/15/2031 (o) |  | 470000 | 429532 |
|  |  |  | 5234269 |
| TOTAL MATERIALS |  |  | 87083000 |
| Real Estate - 0.9% |  |  |  |
| Diversified REITs - 0.2% |  |  |  |
| GLP Capital LP / GLP Financing II Inc 5.625% 3/1/2036  |  | 1095000 | 1094874 |
| GLP Capital LP / GLP Financing II Inc 5.625% 9/15/2034  |  | 14650000 | 14916117 |
| Piedmont Operating Partnership LP 2.75% 4/1/2032  |  | 3748000 | 3265263 |
| Piedmont Operating Partnership LP 5.625% 1/15/2033  |  | 13500000 | 13566403 |
| Piedmont Operating Partnership LP 6.875% 7/15/2029  |  | 10020000 | 10652034 |
| Store Capital LLC 2.7% 12/1/2031  |  | 4208000 | 3764492 |
| Store Capital LLC 2.75% 11/18/2030  |  | 3456000 | 3178786 |
| Store Capital LLC 4.625% 3/15/2029  |  | 2374000 | 2384958 |
| VICI Properties LP 4.75% 2/15/2028  |  | 14680000 | 14825932 |
| VICI Properties LP 4.75% 4/1/2028  |  | 6305000 | 6366945 |
| VICI Properties LP 4.95% 2/15/2030  |  | 21594000 | 21950709 |
| VICI Properties LP 5.125% 11/15/2031  |  | 5400000 | 5497948 |
| VICI Properties LP 5.125% 5/15/2032  |  | 14187000 | 14390333 |
| VICI Properties LP 5.75% 4/1/2034  |  | 4314000 | 4481694 |
| Vornado Realty LP 2.15% 6/1/2026  |  | 4402000 | 4367601 |
| Vornado Realty LP 3.4% 6/1/2031  |  | 12870000 | 11766065 |
| WP Carey Inc 2.4% 2/1/2031  |  | 3511000 | 3203784 |
| WP Carey Inc 3.85% 7/15/2029  |  | 1991000 | 1975161 |
| WP Carey Inc 4.25% 7/23/2032  | EUR | 300000 | 369304 |
|  |  |  | 142018403 |
| Health Care REITs - 0.2% |  |  |  |
| Alexandria Real Estate Equities Inc 2% 5/18/2032  |  | 8258000 | 7097433 |
| Alexandria Real Estate Equities Inc 4.9% 12/15/2030  |  | 7224000 | 7371111 |
| Alexandria Real Estate Equities Inc 5.25% 3/15/2036  |  | 23250000 | 23264640 |
| Healthcare Realty Holdings LP 3.1% 2/15/2030  |  | 1868000 | 1789061 |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  |  | 1945000 | 1937125 |
| Healthpeak OP LLC 4.75% 1/15/2033  |  | 22285000 | 22397171 |
| National Health Investors Inc 5.35% 2/1/2033  |  | 3761000 | 3803589 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033  |  | 25514000 | 23038558 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  |  | 11878000 | 11209330 |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  |  | 8376000 | 8161981 |
| Omega Healthcare Investors Inc 4.5% 4/1/2027  |  | 716000 | 717110 |
| Omega Healthcare Investors Inc 4.75% 1/15/2028  |  | 11294000 | 11402828 |
| Ventas Realty LP 2.5% 9/1/2031  |  | 25590000 | 23284938 |
| Ventas Realty LP 3% 1/15/2030  |  | 16847000 | 16151028 |
| Ventas Realty LP 4% 3/1/2028  |  | 2553000 | 2551865 |
| Ventas Realty LP 4.4% 1/15/2029  |  | 6227000 | 6287977 |
| Ventas Realty LP 4.75% 11/15/2030  |  | 16500000 | 16858524 |
| Ventas Realty LP 5.1% 7/15/2032  |  | 14363000 | 14849232 |
|  |  |  | 202173501 |
| Hotel & Resort REITs - 0.0% |  |  |  |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 4.875% 5/15/2029 (o) |  | 945000 | 928228 |
| Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer 7% 2/1/2030 (o) |  | 300000 | 310611 |
| RHP Hotel Properties LP / RHP Finance Corp 5.75% 3/15/2034 (d)(o) |  | 385000 | 387809 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 4/1/2032 (o) |  | 560000 | 579475 |
| RHP Hotel Properties LP / RHP Finance Corp 6.5% 6/15/2033 (o) |  | 440000 | 457068 |
|  |  |  | 2663191 |
| Industrial REITs - 0.0% |  |  |  |
| LXP Industrial Trust 2.7% 9/15/2030  |  | 1445000 | 1339986 |
| Prologis Euro Finance LLC 3.25% 9/22/2032  | EUR | 690000 | 815244 |
|  |  |  | 2155230 |
| Office REITs - 0.1% |  |  |  |
| Boston Properties LP 4.5% 12/1/2028  |  | 4766000 | 4806087 |
| COPT Defense Properties LP 2% 1/15/2029  |  | 7631000 | 7204135 |
| COPT Defense Properties LP 2.25% 3/15/2026  |  | 3486000 | 3483427 |
| COPT Defense Properties LP 2.75% 4/15/2031  |  | 8767000 | 8096354 |
| COPT Defense Properties LP 2.9% 12/1/2033  |  | 17416000 | 15108765 |
| COPT Defense Properties LP 4.5% 10/15/2030  |  | 2765000 | 2777071 |
| Hudson Pacific Properties LP 3.95% 11/1/2027  |  | 2573000 | 2446828 |
| Hudson Pacific Properties LP 4.65% 4/1/2029  |  | 10668000 | 9494520 |
| Hudson Pacific Properties LP 5.95% 2/15/2028  |  | 17949000 | 17244527 |
| Kilroy Realty LP 5.875% 10/15/2035  |  | 3943000 | 3886999 |
|  |  |  | 74548713 |
| Real Estate Management & Development - 0.1% |  |  |  |
| Brandywine Operating Partnership LP 3.95% 11/15/2027  |  | 4382000 | 4295287 |
| Brandywine Operating Partnership LP 4.55% 10/1/2029  |  | 1896000 | 1788606 |
| Brandywine Operating Partnership LP 8.3% 3/15/2028  |  | 16730000 | 17655152 |
| Brandywine Operating Partnership LP 8.875% 4/12/2029  |  | 22481000 | 23882084 |
| CBRE Services Inc 2.5% 4/1/2031  |  | 10225000 | 9328787 |
| Essex Portfolio LP 5.5% 4/1/2034  |  | 4442000 | 4633052 |
| Extra Space Storage LP 4.95% 1/15/2033  |  | 10409000 | 10575220 |
| Howard Hughes Corp/The 4.375% 2/1/2031 (o) |  | 1105000 | 1050979 |
| Tanger Properties LP 2.75% 9/1/2031  |  | 16949000 | 15502057 |
| Tanger Properties LP 3.125% 9/1/2026  |  | 2628000 | 2612712 |
| Tanger Properties LP 3.875% 7/15/2027  |  | 11191000 | 11163769 |
| Taylor Morrison Communities Inc 5.75% 1/15/2028 (o) |  | 655000 | 668094 |
| Taylor Morrison Communities Inc 5.75% 11/15/2032 (o) |  | 335000 | 346153 |
|  |  |  | 103501952 |
| Residential REITs - 0.1% |  |  |  |
| American Homes 4 Rent LP 2.375% 7/15/2031  |  | 1482000 | 1335887 |
| American Homes 4 Rent LP 3.375% 7/15/2051  |  | 2291000 | 1546594 |
| American Homes 4 Rent LP 3.625% 4/15/2032  |  | 8742000 | 8297800 |
| American Homes 4 Rent LP 4.3% 4/15/2052  |  | 5604000 | 4446701 |
| American Homes 4 Rent LP 4.95% 6/15/2030  |  | 2538000 | 2589839 |
| American Homes 4 Rent LP 5.5% 7/15/2034  |  | 10177000 | 10508019 |
| Invitation Homes Operating Partnership LP 2% 8/15/2031  |  | 2893000 | 2549694 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  |  | 13560000 | 13197896 |
| Invitation Homes Operating Partnership LP 4.875% 2/1/2035  |  | 8722000 | 8657814 |
| Invitation Homes Operating Partnership LP 4.95% 1/15/2033  |  | 13634000 | 13729356 |
| Sun Communities Operating LP 2.3% 11/1/2028  |  | 4282000 | 4089939 |
| Sun Communities Operating LP 2.7% 7/15/2031  |  | 9688000 | 8890701 |
| Sun Communities Operating LP 4.2% 4/15/2032  |  | 9341000 | 9157972 |
| UDR Inc 2.1% 8/1/2032  |  | 4480000 | 3898823 |
| UDR Inc 5.125% 9/1/2034  |  | 5000000 | 5107101 |
|  |  |  | 98004136 |
| Retail REITs - 0.2% |  |  |  |
| Agree LP 4.8% 10/1/2032  |  | 6806000 | 6931644 |
| Agree LP 5.6% 6/15/2035  |  | 16159000 | 17052997 |
| Agree LP 5.625% 6/15/2034  |  | 18770000 | 19810400 |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  |  | 10487000 | 10393059 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  |  | 20383000 | 20417862 |
| Brixmor Operating Partnership LP 4.125% 6/15/2026  |  | 5362000 | 5360712 |
| Brixmor Operating Partnership LP 4.85% 2/15/2033  |  | 6561000 | 6618823 |
| Brixmor Operating Partnership LP 5.5% 2/15/2034  |  | 6800000 | 7081237 |
| Kimco Realty OP LLC 2.25% 12/1/2031  |  | 15265000 | 13749857 |
| Kite Realty Group LP 5.5% 3/1/2034  |  | 5568000 | 5809905 |
| Kite Realty Group Trust 4.75% 9/15/2030  |  | 20325000 | 20721819 |
| NNN REIT Inc 5.6% 10/15/2033  |  | 12000000 | 12651889 |
| Phillips Edison Grocery Center Operating Partnership I LP 2.625% 11/15/2031  |  | 5917000 | 5374891 |
| Phillips Edison Grocery Center Operating Partnership I LP 4.75% 3/15/2033  |  | 7122000 | 7134526 |
| Phillips Edison Grocery Center Operating Partnership I LP 4.95% 1/15/2035  |  | 9000000 | 9002541 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/2034  |  | 12448000 | 13177857 |
| Realty Income Corp 2.1% 3/15/2028  |  | 1631000 | 1573920 |
| Realty Income Corp 2.85% 12/15/2032  |  | 300000 | 273338 |
| Realty Income Corp 3.375% 6/20/2031  | EUR | 900000 | 1072239 |
| Regency Centers LP 4.5% 3/15/2033  |  | 1616000 | 1616562 |
| Regency Centers LP 5.1% 1/15/2035  |  | 10000000 | 10224678 |
| Simon Property Group LP 2.45% 9/13/2029  |  | 3008000 | 2859711 |
|  |  |  | 198910467 |
| Specialized REITs - 0.0% |  |  |  |
| American Tower Corp 2.1% 6/15/2030  |  | 3550000 | 3259545 |
| American Tower Corp 3.625% 5/30/2032  | EUR | 1150000 | 1384644 |
| American Tower Corp 4.7% 12/15/2032  |  | 9720000 | 9831840 |
| American Tower Corp 4.9% 3/15/2030  |  | 7500000 | 7707203 |
| Iron Mountain Inc 4.875% 9/15/2029 (o) |  | 1050000 | 1040456 |
| Millrose Properties Inc 6.375% 8/1/2030 (o) |  | 1040000 | 1066936 |
| SBA Communications Corp 3.125% 2/1/2029  |  | 2395000 | 2302724 |
|  |  |  | 26593348 |
| TOTAL REAL ESTATE |  |  | 850568941 |
| Utilities - 0.8% |  |  |  |
| Electric Utilities - 0.6% |  |  |  |
| AEP Texas Inc 5.7% 5/15/2034  |  | 2023000 | 2142889 |
| AEP Texas Inc 5.85% 10/15/2055  |  | 12751000 | 12745865 |
| AEP Transmission Co LLC 5.375% 6/15/2035  |  | 5000000 | 5225113 |
| Alabama Power Co 3.05% 3/15/2032  |  | 18116000 | 17006908 |
| Alabama Power Co 5.1% 4/2/2035  |  | 8723000 | 9041641 |
| American Electric Power Co Inc 5.8% 3/15/2056 (c) |  | 430000 | 432092 |
| American Electric Power Co Inc 6.05% 3/15/2056 (c) |  | 430000 | 431511 |
| American Transmission Systems Inc 2.65% 1/15/2032 (o) |  | 5846000 | 5349729 |
| Clearway Energy Operating LLC 3.75% 2/15/2031 (o) |  | 1355000 | 1283651 |
| Clearway Energy Operating LLC 4.75% 3/15/2028 (o) |  | 140000 | 139543 |
| Clearway Energy Operating LLC 5.75% 1/15/2034 (o) |  | 565000 | 572445 |
| Cleco Corporate Holdings LLC 3.375% 9/15/2029  |  | 11796000 | 11232091 |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  |  | 19755000 | 19724422 |
| Cleco Corporate Holdings LLC 4.973% 5/1/2046  |  | 8304000 | 7363880 |
| Cleco Power LLC 5.3% 1/15/2036 (o) |  | 5294000 | 5414105 |
| Cleveland Electric Illuminating Co/The 3.5% 4/1/2028 (o) |  | 5498000 | 5416578 |
| Cleveland Electric Illuminating Co/The 5.95% 12/15/2036  |  | 2055000 | 2184414 |
| Consolidated Edison Co of New York Inc 5.125% 3/15/2035  |  | 9000000 | 9299481 |
| Consolidated Edison Co of New York Inc 5.2% 3/1/2033  |  | 8097000 | 8483769 |
| Consolidated Edison Co of New York Inc 5.5% 3/15/2034  |  | 5000000 | 5303576 |
| Consolidated Edison Co of New York Inc 5.5% 3/15/2055  |  | 9000000 | 8830426 |
| Consolidated Edison Co of New York Inc 6.3% 8/15/2037  |  | 5000000 | 5597496 |
| DPL LLC/Ohio 4.35% 4/15/2029  |  | 7785000 | 7667761 |
| Duke Energy Carolinas LLC 4.95% 1/15/2033  |  | 8000000 | 8292832 |
| Duke Energy Corp 2.45% 6/1/2030  |  | 5890000 | 5519895 |
| Duke Energy Corp 2.55% 6/15/2031  |  | 4359000 | 4011387 |
| Duke Energy Corp 3.85% 6/15/2034  | EUR | 1450000 | 1735755 |
| Duke Energy Corp 4.3% 3/15/2028  |  | 2316000 | 2334475 |
| Duke Energy Corp 4.5% 8/15/2032  |  | 12535000 | 12640525 |
| Duke Energy Corp 4.95% 9/15/2035  |  | 3815000 | 3822562 |
| Duke Energy Corp 5% 8/15/2052  |  | 17535000 | 15539525 |
| Duke Energy Corp 6.1% 9/15/2053  |  | 8700000 | 8999732 |
| Duke Energy Indiana LLC 4.9% 7/15/2043  |  | 1678000 | 1608932 |
| Duquesne Light Holdings Inc 2.532% 10/1/2030 (o) |  | 7005000 | 6484141 |
| Duquesne Light Holdings Inc 2.775% 1/7/2032 (o) |  | 11501000 | 10429080 |
| Duquesne Light Holdings Inc 3.616% 8/1/2027 (o) |  | 2736000 | 2713766 |
| Edison International 7.875% 6/15/2054 (c) |  | 534000 | 555914 |
| Edison International 8.125% 6/15/2053 (c) |  | 160000 | 166318 |
| Eversource Energy 6.1% 8/15/2056 (c) |  | 440000 | 442006 |
| Eversource Energy 6.35% 8/15/2056 (c) |  | 310000 | 311976 |
| Exelon Corp 2.75% 3/15/2027  |  | 269000 | 265829 |
| Exelon Corp 3.35% 3/15/2032  |  | 20066000 | 18962732 |
| Exelon Corp 4.05% 4/15/2030  |  | 4724000 | 4709878 |
| Exelon Corp 4.1% 3/15/2052  |  | 379000 | 297446 |
| Exelon Corp 5.15% 3/15/2029  |  | 6500000 | 6718920 |
| Exelon Corp 5.3% 3/15/2033  |  | 9000000 | 9431034 |
| Exelon Corp 5.45% 3/15/2034  |  | 7200000 | 7562034 |
| Exelon Corp 5.6% 3/15/2053  |  | 6800000 | 6599888 |
| FirstEnergy Corp 2.25% 9/1/2030  |  | 5756000 | 5289220 |
| FirstEnergy Corp 2.65% 3/1/2030  |  | 11794000 | 11142577 |
| FirstEnergy Corp 3.4% 3/1/2050  |  | 7000000 | 4903880 |
| FirstEnergy Pennsylvania Electric Co 5.2% 4/1/2028 (o) |  | 6490000 | 6637102 |
| FirstEnergy Transmission LLC 4.55% 1/15/2030  |  | 3100000 | 3146211 |
| FirstEnergy Transmission LLC 4.75% 1/15/2033  |  | 13738000 | 13853530 |
| Georgia Power Co 4.65% 5/16/2028  |  | 5500000 | 5589415 |
| Georgia Power Co 5.25% 3/15/2034  |  | 8750000 | 9139186 |
| Hawaiian Electric Co Inc 6% 10/1/2033 (o) |  | 310000 | 315973 |
| Indianapolis Power & Light Co 5.7% 4/1/2054 (o) |  | 5000000 | 5057406 |
| IPALCO Enterprises Inc 4.25% 5/1/2030  |  | 8967000 | 8870560 |
| IPALCO Enterprises Inc 5.75% 4/1/2034  |  | 22200000 | 22875205 |
| ITC Holdings Corp 5.65% 5/9/2034 (o) |  | 11700000 | 12331131 |
| Monongahela Power Co 5.85% 2/15/2034 (o) |  | 6875000 | 7402896 |
| NRG Energy Inc 3.625% 2/15/2031 (o) |  | 1080000 | 1019441 |
| NRG Energy Inc 5.25% 6/15/2029 (o) |  | 484000 | 485688 |
| NRG Energy Inc 5.75% 1/15/2028  |  | 1136000 | 1135921 |
| NRG Energy Inc 5.75% 1/15/2034 (o) |  | 1065000 | 1079562 |
| NRG Energy Inc 6% 1/15/2036 (o) |  | 1490000 | 1516325 |
| NRG Energy Inc 6.25% 11/1/2034 (o) |  | 1305000 | 1349590 |
| Ohio Edison Co 4.95% 12/15/2029 (o) |  | 4124000 | 4237529 |
| Pacific Gas and Electric Co 5.9% 10/1/2054  |  | 8600000 | 8369093 |
| PG&E Corp 5% 7/1/2028  |  | 420000 | 418890 |
| PG&E Corp 6.85% 9/15/2056 (c) |  | 681000 | 679898 |
| PG&E Corp 7.375% 3/15/2055 (c) |  | 1655000 | 1712890 |
| Pinnacle West Capital Corp 4.9% 5/15/2028  |  | 1765000 | 1799265 |
| Pinnacle West Capital Corp 5.15% 5/15/2030  |  | 3419000 | 3542244 |
| PPL Capital Funding Inc 5.25% 9/1/2034  |  | 7291000 | 7533356 |
| Sierra Pacific Power Co 6.2% 12/15/2055 (c) |  | 1055000 | 1049086 |
| Southern Co/The 1.875% 9/15/2081 (c) | EUR | 2400000 | 2773895 |
| Southern Co/The 3.7% 4/30/2030  |  | 9229000 | 9088800 |
| Southern Co/The 4.4% 7/1/2046  |  | 8095000 | 6922087 |
| Southern Co/The 4.85% 3/15/2035  |  | 4650000 | 4641554 |
| Southern Co/The 5.113% 8/1/2027 (p) |  | 1724000 | 1752432 |
| Southern Co/The 5.5% 3/15/2029  |  | 7200000 | 7504533 |
| Southern Co/The 5.7% 3/15/2034  |  | 11450000 | 12178754 |
| Tampa Electric Co 6.55% 5/15/2036  |  | 280000 | 315492 |
| Union Electric Co 4.8% 3/15/2036  |  | 7500000 | 7516673 |
| Virginia Electric and Power Co 2.3% 11/15/2031  |  | 2300000 | 2073768 |
| Virginia Electric and Power Co 2.4% 3/30/2032  |  | 1724000 | 1552445 |
| Virginia Electric and Power Co 3.75% 5/15/2027  |  | 2000000 | 1997647 |
| Virginia Electric and Power Co 5.55% 8/15/2054  |  | 2334000 | 2270214 |
| Vistra Operations Co LLC 4.375% 5/1/2029 (o) |  | 630000 | 622964 |
| Vistra Operations Co LLC 4.7% 1/31/2031 (o) |  | 11200000 | 11264081 |
| Vistra Operations Co LLC 5% 7/31/2027 (o) |  | 3190000 | 3185400 |
| Vistra Operations Co LLC 5.625% 2/15/2027 (o) |  | 1015000 | 1014647 |
| Vistra Operations Co LLC 7.75% 10/15/2031 (o) |  | 1525000 | 1611559 |
| Xcel Energy Inc 3.5% 12/1/2049  |  | 4570000 | 3328744 |
| Xcel Energy Inc 4.8% 9/15/2041  |  | 311000 | 289761 |
| Xcel Energy Inc 5.75% 12/3/2056 (c) |  | 1095000 | 1094995 |
| XPLR Infrastructure Operating Partners LP 7.25% 1/15/2029 (o) |  | 410000 | 425560 |
| XPLR Infrastructure Operating Partners LP 7.75% 4/15/2034 (o) |  | 495000 | 513241 |
| XPLR Infrastructure Operating Partners LP 8.375% 1/15/2031 (o) |  | 350000 | 370598 |
|  |  |  | 527838882 |
| Gas Utilities - 0.0% |  |  |  |
| Boston Gas Co 4.487% 2/15/2042 (o) |  | 1118000 | 980311 |
| Southern Co Gas Capital Corp 3.15% 9/30/2051  |  | 3046000 | 2021304 |
| Southern Co Gas Capital Corp 5.1% 9/15/2035  |  | 7546000 | 7685347 |
|  |  |  | 10686962 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |  |
| AES Corp/The 2.45% 1/15/2031  |  | 51451000 | 47710218 |
| AES Corp/The 3.95% 7/15/2030 (o) |  | 21858000 | 21479635 |
| Alpha Generation LLC 6.25% 1/15/2034 (o) |  | 595000 | 604227 |
| Alpha Generation LLC 6.75% 10/15/2032 (o) |  | 800000 | 831214 |
| Southern Power Co 4.25% 10/1/2030  |  | 7399000 | 7435666 |
| Southern Power Co 4.9% 10/1/2035  |  | 7734000 | 7706023 |
| Sunnova Energy Corp 5.875% (j)(k)(o) |  | 760000 | 1900 |
| Talen Energy Supply LLC 6.25% 2/1/2034 (o) |  | 935000 | 951451 |
| Talen Energy Supply LLC 6.5% 2/1/2036 (o) |  | 980000 | 1007605 |
| TerraForm Power Operating LLC 5% 1/31/2028 (o) |  | 421000 | 421535 |
|  |  |  | 88149474 |
| Multi-Utilities - 0.2% |  |  |  |
| Berkshire Hathaway Energy Co 3.25% 4/15/2028  |  | 2069000 | 2048311 |
| Berkshire Hathaway Energy Co 3.7% 7/15/2030  |  | 161000 | 159428 |
| DTE Energy Co 5.2% 4/1/2030  |  | 9729000 | 10116255 |
| NiSource Inc 1.7% 2/15/2031  |  | 3114000 | 2760576 |
| NiSource Inc 2.95% 9/1/2029  |  | 21895000 | 21142625 |
| NiSource Inc 3.6% 5/1/2030  |  | 21588000 | 21176302 |
| NiSource Inc 4.375% 5/15/2047  |  | 3114000 | 2633596 |
| NiSource Inc 4.8% 2/15/2044  |  | 4982000 | 4536181 |
| NiSource Inc 5% 6/15/2052  |  | 2180000 | 1933293 |
| NiSource Inc 5.25% 2/15/2043  |  | 132000 | 128181 |
| NiSource Inc 5.25% 3/30/2028  |  | 4400000 | 4511527 |
| NiSource Inc 5.35% 4/1/2034  |  | 9500000 | 9916579 |
| NiSource Inc 5.4% 6/30/2033  |  | 5000000 | 5243335 |
| NiSource Inc 5.95% 6/15/2041  |  | 2375000 | 2492370 |
| Public Service Enterprise Group Inc 4.9% 3/15/2030  |  | 2250000 | 2316515 |
| Puget Energy Inc 2.379% 6/15/2028  |  | 6588000 | 6348873 |
| Puget Energy Inc 4.1% 6/15/2030  |  | 7982000 | 7878348 |
| Puget Energy Inc 4.224% 3/15/2032  |  | 27701000 | 27074400 |
| Puget Energy Inc 5.725% 3/15/2035  |  | 19712000 | 20395424 |
| Sempra 6.375% 4/1/2056 (c) |  | 1050000 | 1075118 |
| WEC Energy Group Inc 2.2% 12/15/2028  |  | 3114000 | 2974443 |
|  |  |  | 156861680 |
| TOTAL UTILITIES |  |  | 783536998 |
| TOTAL UNITED STATES |  |  | 8709999727 |
| ZAMBIA - 0.0%  |  |  |  |
| Materials - 0.0% |  |  |  |
| Metals & Mining - 0.0% |  |  |  |
| First Quantum Minerals Ltd 6.375% 2/15/2036 (o) |  | 415000 | 416335 |
| First Quantum Minerals Ltd 7.25% 2/15/2034 (o) |  | 235000 | 245885 |
| First Quantum Minerals Ltd 8% 3/1/2033 (o) |  | 1145000 | 1220135 |
| TOTAL ZAMBIA |  |  | 1882355 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $10,789,289,287) |  |  | <br> **10984637929** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 0.1%** | &nbsp;&nbsp;**Preferred Securities - 0.1%** | &nbsp;&nbsp;**Preferred Securities - 0.1%** | &nbsp;&nbsp;**Preferred Securities - 0.1%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.1%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Enbridge Inc 5.75% 7/15/2080 (c) |  | 3553000 | 3641501 |
| Financials - 0.1% |  |  |  |
| Banks - 0.1% |  |  |  |
| Bank of Nova Scotia/The CME Term SOFR 3 month Index + 2.9096%, 6.5593% (b)(c)(u) |  | 19859000 | 20015955 |
| TOTAL CANADA |  |  | 23657456 |
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 3.75% (c)(m)(u) | EUR | 650000 | 722251 |
| FINLAND - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Citycon Oyj 7.875% (c)(m)(u) | EUR | 590000 | 634537 |
| FRANCE - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| BNP Paribas SA 6.875% (c)(o)(u) |  | 645000 | 657652 |
| BNP Paribas SA 7.45% (c)(o)(u) |  | 615000 | 657829 |
| TOTAL FRANCE |  |  | 1315481 |
| GERMANY - 0.0%  |  |  |  |
| Consumer Discretionary - 0.0% |  |  |  |
| Automobiles - 0.0% |  |  |  |
| Volkswagen International Finance NV 3.748% (c)(m)(u) | EUR | 500000 | 597154 |
| Volkswagen International Finance NV 3.875% (c)(m)(u) | EUR | 1500000 | 1811290 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 2408444 |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Aroundtown Finance Sarl 7.875% (c)(u) |  | 2550000 | 2674692 |
| Grand City Properties SA 1.5% (c)(m)(u) | EUR | 1500000 | 1782944 |
| TOTAL REAL ESTATE |  |  | 4457636 |
| TOTAL GERMANY |  |  | 6866080 |
| SWEDEN - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Heimstaden Bostad AB 3.625% (c)(m)(u) | EUR | 195000 | 230757 |
| Samhallsbyggnadsbolaget i Norden AB 5 year EUR Swap Annual Index + 2.814%, 4.9355% (b)(c)(k)(m)(u) | EUR | 1385000 | 1233521 |
| TOTAL SWEDEN |  |  | 1464278 |
| SWITZERLAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Capital Markets - 0.0% |  |  |  |
| Credit Suisse Group AG Claim 5 year USD Swap Index + 4.598%, 0% (b)(c)(j)(k)(m)(u) |  | 4925000 | 1182000 |
| UBS Group AG 4.375% (c)(o)(u) |  | 2239000 | 2041675 |
| UBS Group AG 4.875% (c)(o)(u) |  | 4770000 | 4761578 |
| TOTAL SWITZERLAND |  |  | 7985253 |
| UNITED KINGDOM - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Barclays PLC 7.625% (c)(u) |  | 1025000 | 1104904 |
| Barclays PLC 8.875% (c)(m)(u) | GBP | 500000 | 722360 |
| HSBC Holdings PLC 7.05% (c)(u) |  | 815000 | 867447 |
| TOTAL FINANCIALS |  |  | 2694711 |
| Industrials - 0.0% |  |  |  |
| Ground Transportation - 0.0% |  |  |  |
| Mobico Group PLC 5 year UK Government Bond + 4.135%, 7.884% (b)(c)(m)(u) | GBP | 670000 | 658590 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| SSE PLC 3.74% (c)(m)(u) | GBP | 1135000 | 1577612 |
| TOTAL UNITED KINGDOM |  |  | 4930913 |
| UNITED STATES - 0.0%  |  |  |  |
| Energy - 0.0% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.0% |  |  |  |
| Energy Transfer LP Series G, 7.125% (c)(u) |  | 1210000 | 1279955 |
| Plains All American Pipeline LP CME Term SOFR 3 month Index + 4.3716%, 8.0241% (b)(c)(u) |  | 1075000 | 1077428 |
| Sunoco LP 7.875% (c)(o)(u) |  | 1345000 | 1438379 |
| TOTAL ENERGY |  |  | 3795762 |
| Financials - 0.0% |  |  |  |
| Banks - 0.0% |  |  |  |
| Bank of America Corp 6.25% (c)(u) |  | 1475000 | 1526426 |
| BW Real Estate Inc 9.5% (c)(o)(u) |  | 410000 | 435503 |
| Citigroup Inc 6.5% (c)(u) |  | 960000 | 974416 |
| Citigroup Inc 6.625% (c)(u) |  | 860000 | 901789 |
| Citigroup Inc 6.75% (c)(u) |  | 865000 | 887144 |
| Citigroup Inc 6.875% (c)(u) |  | 825000 | 847980 |
| Citigroup Inc 7.125% (c)(u) |  | 770000 | 798026 |
| JPMorgan Chase & Co 6.5% (c)(u) |  | 805000 | 851800 |
| Wells Fargo & Co 7.625% (c)(u) |  | 640000 | 693280 |
|  |  |  | 7916364 |
| Capital Markets - 0.0% |  |  |  |
| Bank of New York Mellon Corp/The 5.625% (c)(u) |  | 875000 | 874829 |
| Charles Schwab Corp/The 4% (c)(u) |  | 1030000 | 983384 |
| Goldman Sachs Group Inc/The 6.85% (c)(u) |  | 1005000 | 1056038 |
|  |  |  | 2914251 |
| Consumer Finance - 0.0% |  |  |  |
| Ally Financial Inc 4.7% (c)(u) |  | 2550000 | 2547140 |
| TOTAL FINANCIALS |  |  | 13377755 |
| TOTAL UNITED STATES |  |  | 17173517 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $64,606,358) |  |  | <br> **64749766** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Short-Term Funds - 0.7%** | &nbsp;&nbsp;**Short-Term Funds - 0.7%** | &nbsp;&nbsp;**Short-Term Funds - 0.7%** |
|  | Shares | Value ($)<br>|
| Fidelity SAI Short-Term Bond Fund (v)<br>(Cost $611,399,508)<br>| 63800367 | **623329584** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 22.3%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 22.3%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 22.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 22.3%  |  |  |
| Fannie Mae 2% 3/1/2052  | 8166695 | 6829027 |
| Fannie Mae 2% 5/1/2052  | 1450845 | 1221364 |
| Fannie Mae 2.5% 4/1/2052  | 10128728 | 8907184 |
| Fannie Mae 2.5% 5/1/2052  | 736443 | 645325 |
| Fannie Mae 2.5% 6/1/2052  | 22234293 | 19622278 |
| Fannie Mae 3% 6/1/2052  | 578472 | 532307 |
| Fannie Mae 3.5% 12/1/2036  | 1968224 | 1944808 |
| Fannie Mae 3.5% 5/1/2036  | 1497227 | 1482671 |
| Fannie Mae 5.5% 2/1/2055  | 15333280 | 15804450 |
| Fannie Mae 5.5% 9/1/2054  | 234381 | 238652 |
| Fannie Mae 6% 12/1/2054  | 18646363 | 19576738 |
| Fannie Mae 6.5% 7/1/2054  | 5422066 | 5728323 |
| Fannie Mae 7% 6/1/2054  | 225456 | 240978 |
| Fannie Mae 7% 7/1/2054  | 207101 | 221957 |
| Fannie Mae 7% 8/1/2054  | 351009 | 374077 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.445%, 6.32% 4/1/2037 (b)(c) | 5463 | 5649 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 5.96% 1/1/2035 (b)(c) | 1198 | 1235 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.48%, 6.105% 7/1/2034 (b)(c) | 589 | 605 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 6.178% 6/1/2036 (b)(c) | 2440 | 2521 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.44% 3/1/2037 (b)(c) | 5030 | 5219 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6093%, 6.369% 5/1/2035 (b)(c) | 5394 | 5565 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.61%, 6.36% 8/1/2035 (b)(c) | 2633 | 2721 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.63%, 6.315% 9/1/2036 (b)(c) | 1039 | 1077 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6669%, 6.391% 11/1/2036 (b)(c) | 1425 | 1474 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6731%, 6.22% 3/1/2033 (b)(c) | 2288 | 2358 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6834%, 6.511% 5/1/2036 (b)(c) | 3391 | 3513 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6919%, 6.305% 7/1/2043 (b)(c) | 58079 | 60907 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7%, 6.592% 6/1/2042 (b)(c) | 5016 | 5262 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7392%, 6.152% 3/1/2040 (b)(c) | 9325 | 9748 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.279% 7/1/2035 (b)(c) | 1629 | 1684 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.5% 8/1/2041 (b)(c) | 16127 | 16936 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.07% 1/1/2042 (b)(c) | 20925 | 21974 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.478% 7/1/2041 (b)(c) | 1612 | 1693 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8063%, 6.388% 12/1/2040 (b)(c) | 180056 | 189087 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.81%, 6.06% 12/1/2039 (b)(c) | 3003 | 3142 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.508% 7/1/2041 (b)(c) | 3286 | 3451 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.568% 9/1/2041 (b)(c) | 2807 | 2948 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.593% 2/1/2042 (b)(c) | 9235 | 9698 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.825%, 6.587% 2/1/2035 (b)(c) | 11066 | 11506 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.83%, 6.58% 10/1/2041 (b)(c) | 951 | 990 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.955%, 6.705% 7/1/2037 (b)(c) | 12703 | 13292 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (b)(c) | 2333 | 2409 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.27%, 6.217% 6/1/2036 (b)(c) | 8042 | 8320 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.275%, 6.379% 10/1/2033 (b)(c) | 3182 | 3284 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.46%, 6.392% 7/1/2034 (b)(c) | 2038 | 2101 |
| Fannie Mae Mortgage pass-thru certificates 1% 12/1/2036  | 67136298 | 58827222 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 24193455 | 22130847 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 15544816 | 14195257 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 4056742 | 3510888 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 23259895 | 18521329 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 10/1/2036  | 2622174 | 2394524 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 9561739 | 8767471 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 9154054 | 8393651 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 4893677 | 4487172 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 431658 | 395801 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 295883 | 271305 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2037  | 2835386 | 2593656 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 2396075 | 2076639 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041 (h) | 30765798 | 26399107 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2050  | 43062 | 34357 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 8430802 | 7730478 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 299402 | 274531 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 8927239 | 7731475 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2050  | 150663 | 119970 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 647161 | 591988 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 479732 | 438832 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 470544 | 430428 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 2491105 | 2154352 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 26909947 | 21520285 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 18779329 | 14924213 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 620636 | 567724 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 616665 | 564091 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 195955 | 178943 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 2547428 | 2201663 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2051  | 904749 | 719017 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 4723041 | 4313000 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 640361 | 584766 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2031  | 4972745 | 4757776 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 333690 | 304720 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2051  | 29325 | 23305 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 10066905 | 9192923 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2036  | 673381 | 614920 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 1772370 | 1424591 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2050  | 65522 | 52337 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 8/1/2051  | 325451 | 258640 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2035  | 88118 | 80908 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2037  | 11064122 | 10343070 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 34965847 | 29282306 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 31231609 | 26242891 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 198414 | 166349 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 7719252 | 6880922 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 1639989 | 1463556 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 33568 | 29942 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 8532741 | 7220444 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 4408244 | 3690326 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 1360473 | 1138909 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 37364 | 31582 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 29503810 | 24791078 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 20357252 | 17181867 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 8253927 | 6940661 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 3526772 | 2976655 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2036  | 285052 | 265896 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 44460729 | 39985095 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 12998476 | 11594520 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 10380426 | 9257716 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 4830067 | 4063074 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 2807620 | 2350377 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 2788024 | 2333972 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 28488166 | 24044497 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 17920021 | 15068803 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 4943245 | 4153646 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 1039785 | 877597 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 720143 | 607813 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 588396 | 494961 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 38710578 | 36187798 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 467963 | 436003 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 3595314 | 3231493 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 2617339 | 2360039 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2041  | 3869751 | 3447885 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 10874986 | 9103908 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 2868237 | 2400225 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 2296148 | 1931530 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 185542 | 156833 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 12240121 | 10284970 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 10961834 | 9217719 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 8909485 | 7491914 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 6085845 | 5136557 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 2594982 | 2555279 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 2094314 | 1957827 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 631558 | 590399 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 570144 | 531205 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 437392 | 408887 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 433619 | 405495 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2036  | 226188 | 212296 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 30156 | 27073 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 1457743 | 1227171 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 100713 | 84531 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 12836 | 10773 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 16326691 | 13744290 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 1126249 | 949869 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 820269 | 685913 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 502752 | 424174 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2036  | 553434 | 515810 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2037  | 559500 | 522688 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 4110144 | 3688015 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 442127 | 372195 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 330325 | 279007 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 189367 | 158941 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 42464 | 35615 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 14866333 | 12519563 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 13399461 | 11280061 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 10443830 | 8788660 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 10090538 | 8494513 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 6017724 | 5065897 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 4521099 | 3801756 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 4219412 | 3542795 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 3693851 | 3117673 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 2162434 | 1825131 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1402859 | 1173077 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1099978 | 927713 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 754601 | 636660 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 505931 | 421639 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 1024173 | 922443 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 17235664 | 14412540 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 4714755 | 3942499 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 3208636 | 2683076 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 504420 | 426212 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 90296 | 76324 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 5907915 | 4940225 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 250331 | 208624 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2035  | 13524156 | 12706177 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2036  | 648553 | 606692 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2042  | 11836620 | 10631625 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 35316552 | 33180508 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 33168582 | 31162453 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 24120430 | 22661559 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 17138350 | 16101775 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 14806299 | 13910772 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2036  | 722193 | 675127 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 740839 | 667148 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 168328 | 150738 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2051  | 430593 | 357103 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 346486 | 325530 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2036  | 241575 | 225680 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 8645933 | 7737773 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 38722172 | 32440158 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 6007556 | 5059216 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 831091 | 699897 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 7923494 | 6638042 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 7859454 | 6564742 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 1036668 | 872698 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 448464 | 376129 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 138804 | 116416 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 572162 | 535411 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 2436709 | 2041395 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2050  | 2420462 | 2026989 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2051  | 1250147 | 1055145 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2041  | 2459467 | 2194531 |
| Fannie Mae Mortgage pass-thru certificates 2% 9/1/2050  | 2577819 | 2159612 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 2896473 | 2816393 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 193837 | 188217 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 147990 | 142757 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 111127 | 107156 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 91790 | 88614 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2033  | 85824 | 82724 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2040  | 191046 | 177366 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 337583 | 307408 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 98301 | 89272 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 25394 | 23104 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 23307 | 21214 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 13319 | 12109 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 54372816 | 48138191 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 2337694 | 2052841 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 15156683 | 13338231 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 5912710 | 5153433 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 4264052 | 3736474 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 806955 | 711652 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 641392 | 565643 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 603253 | 532007 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 435582 | 384139 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 2808079 | 2731399 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 629425 | 612448 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2037  | 572156 | 540218 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 9115667 | 8070425 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 955473 | 845018 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 37164906 | 32392397 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 5119076 | 4485709 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 1578101 | 1391724 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 1835896 | 1785744 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2036  | 89573 | 85536 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 11955796 | 11007886 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 8781451 | 8059064 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 5578293 | 5123851 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 3793102 | 3493953 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 3541754 | 3261693 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1731794 | 1594378 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2042  | 13687 | 12458 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 42600861 | 37130297 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 22907849 | 20159436 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 20586112 | 18039056 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 15578407 | 13650939 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 3423746 | 3000137 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1446665 | 1280784 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 5133406 | 4989765 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 12643012 | 12293135 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2042  | 11033 | 10082 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2049  | 3188765 | 2804194 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2050  | 18056 | 15867 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 23641725 | 20716608 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 12339094 | 10858688 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 11800858 | 10340774 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 384858 | 334956 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 38152 | 33467 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 1544753 | 1503073 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 259042 | 248501 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041  | 5254923 | 4850630 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2042  | 8850479 | 8156790 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2043  | 196134 | 178310 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2051  | 172279 | 151287 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 7362528 | 6552820 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 1066447 | 924501 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 974092 | 849005 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 523045 | 457840 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 457468 | 403440 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2035  | 6914379 | 6633020 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2035  | 6148024 | 5897850 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2036  | 15960134 | 15295725 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 1656073 | 1535752 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 131393 | 122018 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 2048498 | 1902228 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  | 17939 | 16299 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  | 9631 | 8741 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 16182722 | 14200712 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 322598 | 284600 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 16334960 | 14370037 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 3704275 | 3266793 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 91643 | 80276 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2053  | 89657 | 78031 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2031  | 787743 | 768197 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 2781680 | 2705660 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 6183116 | 5904463 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 6237438 | 5892651 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2041  | 4999467 | 4611449 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 3902214 | 3583555 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 148232 | 134772 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 40271 | 36561 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 22796 | 20760 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 18149213 | 16141875 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 25103787 | 21997774 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 22539088 | 19834918 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 3634488 | 3200705 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1770322 | 1565670 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 1009514 | 984459 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 982871 | 957814 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 890438 | 868346 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 873279 | 851308 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 857150 | 835309 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 708281 | 690681 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 344111 | 335795 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2035  | 17799676 | 17053125 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 1705530 | 1581384 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 2417276 | 2229408 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 1823952 | 1690466 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 554884 | 510753 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 228846 | 210385 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 66954914 | 59089259 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 45387154 | 39799910 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 34468476 | 30419226 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 27093313 | 23910475 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 16734523 | 14742456 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 14674781 | 12804086 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 184556 | 161894 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 6215239 | 5465670 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 579847 | 509916 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2053  | 320621 | 279048 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 1268960 | 1236621 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 804879 | 784365 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2031  | 783531 | 764090 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2040  | 3147368 | 2915817 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 23645188 | 20867424 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2052  | 991735 | 864072 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2031  | 390008 | 380200 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2040  | 452373 | 418714 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 3484292 | 3209196 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 1904906 | 1759050 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2049  | 7243637 | 6442477 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 6393356 | 5660266 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 3170531 | 2800049 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 31240 | 27658 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 568626 | 554137 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 487424 | 475151 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2043  | 5182 | 4694 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2050 (g) | 10312738 | 9130234 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 34341159 | 30124429 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 27490586 | 24115034 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 26550663 | 23290523 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 2378549 | 2075339 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2036  | 10769540 | 10317846 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2036  | 199677 | 190679 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  | 7489872 | 6885782 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 27750978 | 24568929 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 11105732 | 9832300 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 8378911 | 7368398 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 798002 | 695527 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2033  | 30680 | 30085 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 227569 | 223156 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 501349 | 472085 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 106055 | 99777 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 70380 | 66440 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 64720 | 60828 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 61750 | 58139 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 51487 | 48441 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 46555 | 43721 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 35497 | 33385 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 28885 | 27322 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 22190 | 21015 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 13377 | 12643 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 10859 | 10224 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 9962 | 9347 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 9839 | 9308 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 9803 | 9207 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 9543 | 8964 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 8542 | 8025 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 8095 | 7607 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 8037 | 7576 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7555 | 7108 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7300 | 6871 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7168 | 6744 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 3581 | 3352 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2045  | 43039 | 40681 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 8876349 | 8095857 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 8631006 | 7810052 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 8262619 | 7476704 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 1235632 | 1120419 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 343830 | 312845 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2033  | 33958 | 33317 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2036  | 849913 | 826441 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 45118 | 42397 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 379493 | 352528 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 45397 | 41604 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051 (f) | 41182902 | 37780500 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 21011359 | 19229503 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 6465855 | 5895296 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 1171916 | 1147394 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 46333 | 45417 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 1117374 | 1100930 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 248571 | 234302 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 37355 | 35137 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 26783 | 25236 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 18358 | 17198 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 8971 | 8459 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 7935 | 7507 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 7959 | 7483 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 7336 | 6980 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 6930 | 6485 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 5114974 | 4709973 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 1751723 | 1597695 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 23429535 | 21581720 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 22729174 | 20830051 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 17842829 | 16329678 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 14011228 | 12840528 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 11550391 | 10563648 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 7606063 | 6882598 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 249996 | 229733 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 168516 | 154857 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2028  | 2704 | 2676 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 4512182 | 4436816 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 2161686 | 2125681 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 191258 | 186892 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 147497 | 139074 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 65640 | 61744 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 37915 | 35681 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 23954 | 22442 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 23469 | 22091 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 22242 | 20938 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 21609 | 20339 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 21311 | 20005 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 20831 | 19631 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 10152 | 9626 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 7704 | 7260 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6733 | 6342 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 5031 | 4711 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 4875 | 4587 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 4408 | 4176 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 3089 | 2930 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 19109169 | 17620003 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 16125684 | 14707762 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 24995187 | 22852052 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 9453835 | 8619611 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 6081253 | 5567436 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 4410437 | 4036412 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 485132 | 440504 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 1885136 | 1860753 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 1632347 | 1612752 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 77317 | 75763 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2034  | 95898 | 93801 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 777978 | 766892 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 415475 | 390428 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 304033 | 285805 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 222900 | 209855 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 164678 | 154907 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 145627 | 136893 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 85328 | 80328 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 77297 | 72654 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 63893 | 59933 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 37994 | 35839 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 31429 | 29558 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 30321 | 28386 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 17221 | 16152 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 10754 | 10111 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 5610 | 5254 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 4973 | 4684 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 2267 | 2178 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 6696327 | 6166116 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 4785305 | 4406408 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2051  | 734955 | 670331 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 26300968 | 23930806 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052 (e) | 25634629 | 23436667 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 19753895 | 17912004 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 12473654 | 11404139 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 7916770 | 7203336 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 2122763 | 1931466 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 37744 | 34343 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 88996 | 87447 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 77255 | 75816 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2040  | 295632 | 286544 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 111747 | 105203 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 29555 | 27801 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 21337 | 20061 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 8970 | 8424 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 7122 | 6697 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 5229 | 4919 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 4523 | 4260 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2044  | 31776 | 29659 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2045  | 81002 | 75787 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2045  | 32326 | 29986 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 2717771 | 2525511 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 9212007 | 8482606 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 4777823 | 4403997 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 23700811 | 21764943 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 17645926 | 16110873 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 9227341 | 8395801 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 7122923 | 6558934 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 2169476 | 2003800 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 30143 | 27333 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2033  | 142682 | 139765 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2033  | 116500 | 114222 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2033  | 44828 | 43952 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2035  | 2796208 | 2732375 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2038  | 132986 | 130116 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 82353 | 77460 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 16025 | 15048 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 15332 | 14411 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 14277 | 13411 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 339352 | 316936 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2047  | 21290400 | 19976244 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 9281129 | 8543354 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 20185151 | 18574287 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 7311561 | 6682369 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 2489274 | 2275061 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 365626 | 334619 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2033  | 653444 | 640306 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 366842 | 344376 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 300359 | 282420 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 44782 | 42086 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 27382 | 25737 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 21844 | 20511 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 19695 | 18492 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 11167 | 10497 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 5891 | 5539 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 4936 | 4616 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 47805 | 44481 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 3539 | 3309 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 717030 | 660256 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2051  | 87082 | 79561 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2052  | 560414 | 509561 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 6740 | 6299 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 4864 | 4558 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 4836 | 4533 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 3501 | 3276 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2044  | 288213 | 270882 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 62931897 | 57870323 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 3584640 | 3289608 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2032  | 14503 | 14233 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 2215433 | 2184555 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2035  | 94973 | 92263 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2036  | 392817 | 380200 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 70394 | 66410 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 16662 | 15664 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 717531 | 672337 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 16724 | 15711 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 9711 | 9101 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 5591 | 5274 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 20473 | 19127 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 17929 | 16744 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046 (f) | 3100527 | 2882159 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 4945333 | 4549128 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 76189 | 68966 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 26733631 | 24524981 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 1251083 | 1138340 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 817619 | 747003 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2052  | 14814655 | 13539789 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2052  | 12652218 | 11563439 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2031  | 14478 | 14329 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2032  | 346154 | 339641 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2034  | 3279360 | 3225378 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2038  | 45564 | 44216 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 204464 | 191789 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 86049 | 80633 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 11955 | 11198 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 99649 | 92613 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 90397 | 83937 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 33274 | 30800 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2046  | 1420345 | 1319423 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 40664434 | 37266742 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2050  | 4337597 | 3986016 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 8337452 | 7651243 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2052  | 9590233 | 8818896 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2052  | 9135601 | 8346587 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2052  | 5663459 | 5176094 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 210531 | 206608 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2032  | 32140 | 31535 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2033  | 115653 | 113239 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 4866401 | 4785104 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 234492 | 220527 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 38111 | 35737 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 30730 | 28774 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 13995 | 13134 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 3196148 | 2969047 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 1173897 | 1090487 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2051  | 781540 | 711110 |
| Fannie Mae Mortgage pass-thru certificates 3.25% 12/1/2041  | 4483 | 4329 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 8/1/2042  | 51666 | 49492 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 9/1/2042  | 24350 | 23301 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2041  | 5425 | 5279 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2042  | 61245 | 59388 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 192000 | 185850 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 24824 | 24020 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 1625493 | 1556652 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 5483525 | 5275283 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 3832324 | 3705937 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2050  | 19148339 | 18520698 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 3297688 | 3133296 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 2063299 | 1956573 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 842858 | 796627 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 21630 | 20464 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2033  | 3045 | 3020 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2034  | 155571 | 153800 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2040  | 7883 | 7668 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 467413 | 452561 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 169604 | 164249 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 108210 | 105208 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 44068 | 42678 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 26482 | 25652 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 12348 | 11993 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 7815 | 7558 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 113412 | 108934 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 12703963 | 12142119 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 5014205 | 4826920 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2051  | 464529 | 439485 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2051  | 41714 | 39465 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 49872 | 48238 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 26919 | 26005 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 25657 | 24812 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 14564 | 14048 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 9089 | 8799 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 7669 | 7410 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 25231 | 24391 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 7358 | 7061 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2047  | 833541 | 802408 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2048  | 3308511 | 3177698 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 2878813 | 2723606 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2034  | 2487320 | 2474611 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 119351 | 115783 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 32909 | 31910 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 11619 | 11250 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2044  | 6366 | 6140 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 19132 | 18466 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 16321289 | 15779698 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 611670 | 585765 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 140137 | 134202 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 22463 | 21610 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 381721 | 366867 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 241276 | 230606 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2051  | 19512123 | 18447963 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2051  | 7624379 | 7213323 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2035  | 3073288 | 3035413 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 89902 | 86771 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 20400 | 19742 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 19429 | 18719 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2048  | 827045 | 793570 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2048  | 106765 | 102444 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 6678866 | 6333395 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 4655087 | 4414299 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 2640458 | 2503877 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 1721466 | 1635111 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 35438 | 33448 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 103246 | 99623 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 90759 | 87752 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2048  | 780253 | 750378 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2048  | 104881 | 100210 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2050  | 18976982 | 18096196 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 17022004 | 16093651 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 1348857 | 1282037 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 31532 | 30550 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 16569 | 16035 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 5419 | 5246 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 241628 | 233509 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 186096 | 179711 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 32863 | 31763 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 22624 | 21878 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 9970 | 9644 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 367123 | 352493 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  | 8713981 | 8320428 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  | 2252744 | 2187586 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2048  | 383669 | 368979 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052 (e) | 69735551 | 66368133 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 2463938 | 2329559 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2052  | 110998 | 105222 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 293768 | 283753 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 187993 | 181633 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 6474 | 6239 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2044  | 3217 | 3122 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 102195 | 97898 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 298035 | 287089 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2047  | 84150 | 80876 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2048  | 725068 | 697307 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2048  | 412316 | 396529 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2049  | 2296812 | 2185185 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 1624572 | 1536986 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2052  | 140101 | 132548 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 236541 | 229154 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 10125 | 9812 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 5949 | 5760 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 188264 | 181898 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 5035 | 4878 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2048  | 1897004 | 1816071 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2049  | 1502355 | 1434504 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 547924 | 542541 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 185708 | 183883 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2038  | 13982 | 13809 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 14979 | 14501 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2043  | 19034 | 18357 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 13400010 | 12973130 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 8950403 | 8453871 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 1381839 | 1316839 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 4495650 | 4444460 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 700073 | 693195 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 202186 | 195852 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 65040 | 63113 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 27638 | 26730 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 231172 | 224059 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 36962 | 35797 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 7510 | 7258 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2044  | 13381 | 12882 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 144429 | 138313 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2047  | 436904 | 420585 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2048  | 222239 | 213244 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2049  | 3797057 | 3625569 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2050  | 26882364 | 25626261 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2050  | 1076013 | 1020355 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2051  | 16804070 | 15858195 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2051  | 16744207 | 15851935 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2052  | 23893 | 22567 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2034  | 3086252 | 3055933 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2034  | 2098294 | 2074402 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 113230 | 109670 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 108372 | 104930 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 59373 | 57490 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 35027 | 33902 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 32360 | 31422 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 21023 | 20407 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 18422 | 17836 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 10338 | 10009 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 9128 | 8858 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 1802698 | 1730859 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 3304486 | 3181061 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 20206592 | 19117186 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 15943262 | 15103635 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 15648409 | 14814530 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 5823993 | 5510001 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 3815096 | 3611796 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 816710 | 773699 |
| Fannie Mae Mortgage pass-thru certificates 3.65% 5/1/2042  | 6336 | 6171 |
| Fannie Mae Mortgage pass-thru certificates 3.65% 8/1/2042  | 16408 | 15968 |
| Fannie Mae Mortgage pass-thru certificates 3.9% 4/1/2042  | 8049 | 7962 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 404749 | 403448 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 34345 | 34214 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 13984 | 13934 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 11028 | 10995 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 9555 | 9519 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 4197 | 4184 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 3626 | 3617 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 826 | 824 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 505484 | 503765 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 37704 | 37529 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 5449 | 5415 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 1653 | 1650 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2043  | 1488328 | 1481770 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 39220 | 38835 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  | 17848 | 17564 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2051  | 36290 | 35497 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2052  | 439642 | 434709 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 1255 | 1251 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 104694 | 104393 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 92471 | 92048 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 19737 | 19697 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 16479 | 16429 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 10984 | 10953 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 428200 | 426527 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 300172 | 298921 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 17909 | 17823 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 5757 | 5735 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 1698 | 1698 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 855029 | 851329 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 48630 | 48165 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 383055 | 378996 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 536894 | 535197 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 134724 | 134421 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 121730 | 121253 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 113880 | 113398 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 107584 | 107203 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 103862 | 103571 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 99332 | 99065 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 92599 | 92309 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 88372 | 87961 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 80604 | 80304 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 78322 | 78104 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 75696 | 75379 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 69880 | 69660 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 54044 | 53814 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 51333 | 51090 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 45789 | 45620 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 45332 | 45230 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 36126 | 35957 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 30376 | 30342 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 12430 | 12342 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 10753 | 10719 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 3806 | 3795 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 1913 | 1910 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 285287 | 284151 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 163195 | 162530 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 140032 | 139421 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 6316 | 6277 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 190997 | 189014 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2049  | 1021211 | 1004645 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 587066 | 580662 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 76964 | 76124 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 277143 | 276116 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 5211 | 5190 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 4798 | 4792 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 4440 | 4430 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 3732 | 3724 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 3456 | 3435 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 3115 | 3103 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 2306 | 2300 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 57307 | 57040 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 42705 | 42527 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 12315 | 12264 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 8306 | 8271 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2042  | 17401 | 17335 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 28089 | 27846 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 26369 | 26144 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 71697 | 70889 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  | 340476 | 336656 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 334143 | 333086 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 43033 | 42892 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 12311 | 12269 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 5469 | 5446 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 4065 | 4054 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 3720 | 3709 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 3144 | 3132 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 356211 | 354567 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 28694 | 28599 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 22589 | 22454 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 8539 | 8529 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 3801 | 3789 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 3440 | 3421 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 294873 | 291593 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 93913 | 92860 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2052  | 293008 | 289720 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2053  | 63010 | 61299 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2036  | 9509 | 9508 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 7327 | 7310 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 3122 | 3115 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 17138 | 17054 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 16777 | 16715 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 9258 | 9225 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 8345 | 8328 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 7475 | 7450 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 6653 | 6622 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 3500 | 3493 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 2335 | 2328 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 166447 | 165520 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 19379 | 19301 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 17338 | 17264 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 10839 | 10788 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 10101 | 10046 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 49944 | 49479 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 46148 | 45696 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 8416274 | 8377420 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 572419 | 566637 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 37325 | 36894 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 148747 | 148108 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 103724 | 103284 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 48808 | 48598 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 29307 | 29167 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 21839 | 21720 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 18847 | 18727 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 14285 | 14216 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 6364 | 6333 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 2661 | 2655 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2044  | 49214 | 48869 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 67776056 | 67176334 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 47405606 | 47191960 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 43268 | 42852 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 13760 | 13611 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 9414 | 9313 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 114001 | 112686 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 119672 | 117768 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 76634 | 75415 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 54788 | 53916 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 11058 | 10882 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 878455 | 863107 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 81947 | 81027 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2040  | 3982031 | 3997077 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 552741 | 544811 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 217902 | 214503 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 23116 | 22749 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 49648751 | 48765804 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 30094479 | 29606304 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041  | 49141 | 48972 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  | 97994 | 97080 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 605110 | 597753 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2043  | 9607 | 9535 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 541137 | 535742 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 306852 | 302258 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2052  | 81367 | 80454 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 3311 | 3305 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 26140 | 25959 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 9409 | 9339 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 7868 | 7808 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 101456 | 100411 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 62423 | 61904 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 61548 | 60859 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2047  | 837773 | 824183 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  | 2515787 | 2449033 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 617139 | 621014 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 16670 | 16605 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 8453 | 8420 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 19861 | 19777 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 9035 | 8982 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 7724 | 7687 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 4839 | 4831 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 2149 | 2141 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 647254 | 640396 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2047  | 9319 | 9226 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 442027 | 437205 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 34147 | 33775 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 747558 | 738936 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2053  | 34424169 | 33778626 |
| Fannie Mae Mortgage pass-thru certificates 4.25% 11/1/2041  | 14681 | 14741 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2034  | 1252 | 1269 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 6271 | 6375 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2047  | 4937 | 4971 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 146827 | 147249 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 20531 | 20590 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 761010 | 762248 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 171320 | 174182 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 8958 | 9110 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 7149 | 7268 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 12278 | 12485 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 417452 | 424165 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 59290 | 59553 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 5378017 | 5403572 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 9353 | 9512 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 5310 | 5400 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 47923 | 48739 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 2573 | 2614 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 1109354 | 1128244 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 30250 | 30764 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 56258 | 56913 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 9592 | 9704 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2045  | 102923 | 104681 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 19710 | 19798 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 6575 | 6604 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2033  | 16613 | 16833 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2038  | 4156 | 4213 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  | 84101 | 85506 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 17237 | 17531 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 17089 | 17377 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 3921 | 3988 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 2949 | 2998 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 2888 | 2937 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2041  | 93581 | 95161 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 7463 | 7564 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 1945 | 1974 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 53503 | 53891 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 11623 | 11707 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 9515034 | 9589982 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2033  | 4580 | 4634 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 3943 | 4010 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 1581 | 1608 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 97096 | 98660 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 587969 | 597968 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2047  | 5463 | 5501 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 75925 | 76143 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 34239 | 34337 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 3562742 | 3569652 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 288518 | 288798 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 94717 | 96529 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 31977 | 32422 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 11175 | 11365 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 567 | 572 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 7213 | 7335 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2045  | 57876 | 58549 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 513563 | 522271 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 75357 | 76628 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 40375 | 40731 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 46119 | 46381 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 11310 | 11375 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 9039 | 9102 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 84197 | 84440 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 17578 | 17628 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 554230 | 562092 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 156454 | 158617 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 97877 | 99205 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 2719 | 2764 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 6376 | 6484 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 35041 | 35617 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 16692 | 16968 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2045  | 17967 | 18176 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 56084 | 56403 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 46678 | 46906 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 30963 | 31139 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 14115 | 14253 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 12612 | 12684 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 10913 | 10975 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 2214718 | 2252157 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 58257 | 58370 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 7131854 | 7268263 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 1268 | 1289 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2040  | 3006 | 3057 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 42487 | 42729 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 16842 | 16958 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 7764 | 7818 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 48280 | 49203 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  | 151252 | 153460 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 192719 | 195824 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2045  | 50157 | 50709 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2046  | 9662 | 9747 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2046  | 2730 | 2754 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 692357 | 696512 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 21507 | 21636 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 12954 | 13011 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 8047 | 8101 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2026  | 87 | 87 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 1485 | 1500 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 713 | 718 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 110300 | 112148 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 14828 | 15080 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 4538 | 4614 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 2721 | 2767 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 626 | 637 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2040  | 3468 | 3527 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2041  | 1497 | 1522 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2045  | 23517 | 23790 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 558003 | 561352 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 220893 | 224633 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 96571 | 97000 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 22233 | 22510 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 11109 | 11256 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 9905 | 10030 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 7424 | 7528 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 6660 | 6749 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 3482 | 3528 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 3385 | 3430 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 1733 | 1750 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 1696 | 1716 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 815 | 826 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2035  | 169800 | 167769 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2037  | 3015 | 3044 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 128362 | 130817 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 1113 | 1132 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 1065 | 1083 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 4717 | 4798 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 3066 | 3115 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049  | 3271564 | 3273819 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 24259 | 24577 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 11155 | 11306 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 11103 | 11250 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 8866 | 8982 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 4174 | 4231 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 3755 | 3806 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 57411 | 58260 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 26384 | 26754 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2039  | 1549 | 1571 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 6193 | 6298 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 1642 | 1670 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2041  | 99560 | 101249 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 241152 | 245257 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2043  | 14783 | 15030 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 102892 | 103349 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 23090 | 23193 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2049  | 8983424 | 9026112 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2029  | 1060 | 1072 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041  | 117017 | 121148 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 20518763 | 20907947 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 7158949 | 7290259 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  | 155901 | 160014 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 13012832 | 13292181 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 12698808 | 12939669 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 8125602 | 8269564 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2039  | 346616 | 352947 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 8751122 | 8911637 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 487519 | 500396 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 85285 | 87672 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2033  | 4141 | 4238 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  | 9088 | 9423 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2039  | 220743 | 225852 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2040  | 190525 | 193505 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 11408 | 11813 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 4889 | 5060 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2053  | 34163 | 34422 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 10003 | 10367 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2052  | 3499482 | 3583355 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 504866 | 518058 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 177912 | 182563 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 13613 | 14091 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2044  | 7197 | 7460 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2052  | 1295328 | 1325564 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 18320 | 18755 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 2798 | 2866 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 178879 | 183916 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2044  | 15153 | 15709 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2044  | 7110 | 7370 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2040  | 1066377 | 1083056 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 2015 | 2087 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2044  | 16942 | 17567 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2044  | 5991 | 6211 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2052  | 27950073 | 28567551 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2052  | 2556843 | 2606937 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2052  | 1979909 | 2023650 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2052  | 1455726 | 1484247 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2052  | 21547 | 21841 |
| Fannie Mae Mortgage pass-thru certificates 5.31% 8/1/2041 (c) | 153856 | 157161 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2033  | 386 | 401 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2054  | 1079980 | 1102443 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 19771481 | 20491635 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 19910446 | 20385226 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 4345098 | 4497593 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2032  | 369 | 383 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2034  | 212681 | 220561 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2053  | 1070418 | 1091678 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2054  | 2780869 | 2846346 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2033  | 636 | 657 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2033  | 218 | 225 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 6216525 | 6407987 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2054  | 2656159 | 2711405 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2054  | 2654770 | 2709987 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2054  | 1866062 | 1904728 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2054  | 5480385 | 5580071 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2053  | 56710 | 57795 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2055  | 16813186 | 17361225 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 17658351 | 18213245 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 6532252 | 6653928 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2054  | 6446250 | 6567734 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 16763792 | 17306292 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 11939725 | 12326112 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 2385917 | 2468347 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 13049901 | 13369242 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 151538 | 154855 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2055  | 2275493 | 2320687 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2053  | 21964182 | 22674974 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 14684818 | 15140537 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 8124225 | 8404908 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 5175785 | 5367138 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2032  | 437 | 451 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 11270716 | 11539476 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 189431 | 193150 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.505%, 5.755% 1/1/2035 (b)(c) | 1219 | 1249 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 5.785% 3/1/2035 (b)(c) | 1026 | 1053 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 5.907% 12/1/2034 (b)(c) | 1262 | 1293 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.066% 10/1/2033 (b)(c) | 466 | 477 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.565%, 5.744% 7/1/2035 (b)(c) | 665 | 684 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.96%, 6.585% 9/1/2035 (b)(c) | 1151 | 1195 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 2323 | 2453 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 437 | 461 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  | 44323 | 47030 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  | 42787 | 45494 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2042  | 3120 | 3319 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2055  | 1155983 | 1204450 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2055  | 461598 | 481059 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 22620072 | 23693935 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 12511080 | 13097210 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2056  | 5843111 | 6122333 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 32107 | 33700 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 17129 | 18025 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 2693 | 2848 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 2458 | 2599 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 1749 | 1851 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 418 | 438 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 274 | 290 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 210 | 222 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  | 41228 | 43665 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2038  | 1117037 | 1159131 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2053  | 9873617 | 10383744 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 20227555 | 21173614 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2055  | 38567027 | 40397955 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2055  | 33086604 | 34550858 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 74787 | 78464 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 13207 | 13908 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 5855 | 6154 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 753 | 797 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 582 | 616 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2037  | 7298 | 7775 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 23943912 | 24803697 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 79622815 | 83122900 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 27966473 | 29239529 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 10371113 | 10856179 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 4069951 | 4261578 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2038  | 17452 | 18605 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 26650976 | 27855822 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 3926244 | 4122147 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 385908 | 403794 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 374654 | 392294 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 372038 | 389171 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2036  | 22843 | 23936 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 14942 | 15895 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2039  | 1315 | 1400 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 8039651 | 8285656 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 15070230 | 15765658 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  | 1291302 | 1330007 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  | 852 | 900 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2037  | 2709 | 2868 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040  | 51872 | 55088 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 25486516 | 26250446 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 53927 | 55342 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 21687352 | 22688132 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 7824 | 8218 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 1950 | 2062 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 1110 | 1169 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 26117 | 27589 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 17084890 | 17841252 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 11470602 | 11964076 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 27339497 | 28158968 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 33145327 | 34729223 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 1007961 | 1056128 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 7619 | 8038 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 2611 | 2748 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 2560 | 2699 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 365 | 384 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 165 | 174 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2036  | 77 | 79 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 6866 | 7306 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2039  | 16767348 | 17367763 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  | 98016 | 104165 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 17268153 | 18075798 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 3826760 | 3996174 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 26707270 | 27756086 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 26213629 | 27406894 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 15794156 | 16262633 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 15094786 | 15810215 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 38757718 | 39990734 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 35282175 | 36866196 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 14966813 | 15677346 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 13630932 | 14204567 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 882246 | 922531 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 417828 | 436789 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 4555 | 4797 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 1856 | 1954 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 1214 | 1279 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 574 | 604 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 56 | 58 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 113641 | 118912 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 36360212 | 37438708 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 22821848 | 23910639 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  | 20957911 | 21939766 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  | 14521239 | 15172750 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2029  | 2201 | 2259 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 23697 | 25001 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 3099 | 3261 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 916 | 970 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 479 | 507 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 390 | 411 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 53 | 55 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 3138 | 3335 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2038  | 2810816 | 2916738 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 7007187 | 7284555 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 39347584 | 40514689 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 16112226 | 16870842 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 294027 | 308790 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2053  | 13598945 | 14389159 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 5871440 | 6232803 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2035  | 3383 | 3616 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053  | 12720151 | 13438431 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 4633 | 4851 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035  | 44896 | 47187 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2036  | 493 | 528 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  | 20538553 | 21738436 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  | 4061886 | 4300455 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2054  | 126365 | 133040 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2036  | 172 | 183 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2037  | 1053 | 1126 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2054  | 1432385 | 1514679 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2054  | 1022317 | 1081643 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2055  | 160134 | 169301 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2055  | 146562 | 155335 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2055  | 122480 | 129789 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 5801696 | 6054519 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 44317597 | 46917064 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 10473634 | 11098607 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2038  | 135 | 145 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 10157792 | 10748046 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2054  | 999722 | 1056190 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2036  | 1638 | 1746 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 14205113 | 15034990 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 8463376 | 8832187 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2055  | 9368868 | 9942556 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2055  | 194636 | 206919 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 13567 | 14205 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 2724 | 2851 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 5633 | 5930 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 241 | 257 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2053  | 355653 | 374857 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2053  | 323275 | 339711 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 10841767 | 11302363 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 6820105 | 7205222 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 5697183 | 6074528 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 4663057 | 4935477 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 3076864 | 3256618 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2055  | 9332212 | 9918237 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2055  | 5123879 | 5452043 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 2434 | 2601 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 429 | 459 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 326 | 349 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 41068 | 43118 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 32175 | 33781 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 7440 | 7827 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2054  | 14022702 | 14841923 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2054  | 7710194 | 8163041 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 6789648 | 7212297 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 5196127 | 5526077 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2035  | 143 | 153 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 9678064 | 10239686 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2054  | 143273 | 150810 |
| Fannie Mae Mortgage pass-thru certificates 6.783% 2/1/2039 (c) | 42419 | 44395 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027  | 226 | 227 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 11 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 8 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2029  | 34 | 36 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 375 | 396 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 87 | 92 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 5335214 | 5671674 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 3453440 | 3672577 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2054  | 3018447 | 3216585 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 149 | 149 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2027  | 3 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 12 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 171 | 180 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 59 | 62 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 47 | 49 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2031  | 79 | 84 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 147 | 157 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 110 | 116 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2053  | 1951597 | 2079704 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 27 | 28 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 16 | 17 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 43 | 45 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 29 | 30 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 29 | 30 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2029  | 407 | 427 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 6788094 | 7244816 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 431458 | 457743 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2053  | 324369 | 343614 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2054  | 105786 | 112945 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 113 | 113 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2028  | 76 | 77 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2031  | 400 | 420 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2031  | 200 | 211 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2032  | 91 | 96 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 3252100 | 3458461 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 1512715 | 1597382 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2053  | 476197 | 503825 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2027  | 8 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 177 | 186 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 140 | 147 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 39 | 41 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2029  | 381 | 400 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2030  | 207 | 218 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2030  | 12 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2032  | 106 | 111 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2033  | 684 | 730 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2054  | 5053299 | 5383430 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2028  | 9 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 2684 | 2835 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 170 | 179 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 83 | 87 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2028  | 24 | 25 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2031  | 83 | 88 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 227 | 241 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 155 | 165 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2029  | 1691 | 1775 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2030  | 6546 | 6872 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 124 | 130 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 115 | 122 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2028  | 677 | 711 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2029  | 443 | 465 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 2433 | 2586 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 971 | 1020 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 496 | 521 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 235 | 250 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 717 | 752 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 9 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 178 | 187 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 57 | 60 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2031  | 145 | 153 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2031  | 53 | 56 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 336 | 357 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 316 | 334 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 76 | 81 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2037  | 1267 | 1372 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2054  | 147546 | 158038 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 204 | 204 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2027  | 178 | 179 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2028  | 80 | 84 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 85 | 90 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 59 | 60 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 30 | 31 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2031  | 254 | 267 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2031  | 32 | 33 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 4323 | 4599 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 1090 | 1158 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2054  | 253945 | 272956 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 308 | 309 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2027  | 36 | 38 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 196 | 206 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 166 | 174 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 104 | 109 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2029  | 30 | 32 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2030  | 651 | 683 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 1041 | 1093 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 98 | 103 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 48 | 51 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 26 | 26 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2032  | 887 | 945 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2053  | 4114418 | 4374212 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2053  | 154658 | 164073 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  | 3257639 | 3480131 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  | 1673727 | 1792747 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2054  | 1142134 | 1221568 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 151 | 152 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 3 | 3 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 257 | 261 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 196 | 199 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 116 | 118 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 99 | 101 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 89 | 91 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 79 | 81 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 7 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 13 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 3 | 3 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 2 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 90 | 92 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 19 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 2 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2028  | 226 | 231 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2028  | 11 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 772 | 808 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 96 | 100 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2026  | 2 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 95 | 97 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 72 | 73 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 68 | 69 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 44 | 45 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 37 | 37 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 13 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 13 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2028  | 60 | 61 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029  | 53 | 55 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029  | 17 | 17 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2031  | 203 | 214 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 85 | 87 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 63 | 65 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2028  | 114 | 117 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2029  | 66 | 68 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2030  | 386 | 408 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 77 | 78 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 70 | 70 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 45 | 46 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 14 | 14 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 315 | 328 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 18 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2031  | 164 | 173 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 311 | 315 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 68 | 70 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2029  | 113 | 115 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2032  | 210 | 223 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2028  | 79 | 81 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2029  | 14 | 15 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2032  | 1247 | 1337 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2032  | 226 | 242 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 253 | 256 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 18 | 18 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 17 | 17 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 9 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2029  | 35 | 37 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2032  | 628 | 669 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 33 | 33 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 3 | 3 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 104 | 106 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 16 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2028  | 137 | 141 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 258 | 277 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 138 | 147 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 70 | 75 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 55 | 58 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 40 | 41 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 39 | 39 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 24 | 24 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 11 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 208 | 217 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 47 | 48 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 34 | 35 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 1 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028  | 36 | 37 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 258 | 269 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 74 | 76 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 11 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 3502 | 3573 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 93 | 98 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2032  | 3416 | 3656 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2026  | 29 | 29 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 209 | 213 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 190 | 193 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 18 | 18 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 7 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 264 | 274 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 137 | 142 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 22 | 23 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 19 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2030  | 14 | 15 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2032  | 872 | 936 |
| Fannie Mae Mortgage pass-thru certificates 8% 3/1/2037  | 2559 | 2773 |
| Fannie Mae Mortgage pass-thru certificates 9% 10/1/2030  | 2228 | 2371 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 15686805 | 14349429 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 23006756 | 18319760 |
| Freddie Mac Gold Pool 1.5% 10/1/2035  | 131981 | 121018 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 6260614 | 5740562 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 1068319 | 979577 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 719628 | 577746 |
| Freddie Mac Gold Pool 1.5% 12/1/2031  | 12198548 | 11642326 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 9548552 | 8755379 |
| Freddie Mac Gold Pool 1.5% 12/1/2036  | 265196 | 241841 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 1453806 | 1259050 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 481460 | 386535 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 115630 | 92941 |
| Freddie Mac Gold Pool 1.5% 2/1/2036  | 586229 | 536250 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 9181324 | 7939581 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 23415131 | 18608353 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  | 370364 | 338788 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 2549095 | 2202780 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 14469236 | 11498917 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 187111 | 150395 |
| Freddie Mac Gold Pool 1.5% 4/1/2036  | 4838006 | 4417984 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 11112459 | 9598196 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 6063687 | 5232446 |
| Freddie Mac Gold Pool 1.5% 4/1/2051 (e) | 261220409 | 207595751 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 48908062 | 44799550 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 653783 | 597023 |
| Freddie Mac Gold Pool 1.5% 6/1/2036  | 662914 | 605361 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 459951 | 369698 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 4980834 | 4573316 |
| Freddie Mac Gold Pool 1.5% 8/1/2036  | 403609 | 368127 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 6032580 | 5048241 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 2930073 | 2451971 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 1383177 | 1163102 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 982786 | 826417 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 125303 | 105562 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 4953219 | 4165122 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 3103428 | 2620316 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 874506 | 738098 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 1011406 | 902165 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 20741767 | 17428622 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 1521165 | 1279136 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 1483020 | 1251694 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 6420421 | 5724658 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 86479421 | 72395556 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 15185182 | 12835533 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 241321 | 203981 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 26639 | 22368 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 21416156 | 17995289 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 11109119 | 9320740 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 5447896 | 4581092 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 2051210 | 1724846 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1266608 | 1065080 |
| Freddie Mac Gold Pool 2% 12/1/2035  | 1527017 | 1427501 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 30388188 | 25553184 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 455434 | 384394 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 319842 | 269952 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 825265 | 769419 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 587750 | 549446 |
| Freddie Mac Gold Pool 2% 2/1/2036  | 512615 | 479208 |
| Freddie Mac Gold Pool 2% 2/1/2041  | 3940594 | 3537687 |
| Freddie Mac Gold Pool 2% 2/1/2042  | 2284207 | 2033387 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 64199771 | 54265948 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 43074893 | 36194411 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 33760768 | 28346959 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 10522377 | 8769265 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 4480946 | 3773593 |
| Freddie Mac Gold Pool 2% 3/1/2036  | 458435 | 428416 |
| Freddie Mac Gold Pool 2% 3/1/2036  | 13878 | 12952 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 2388170 | 2151607 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 19896822 | 16668901 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 35654108 | 29713848 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 14063922 | 11799870 |
| Freddie Mac Gold Pool 2% 4/1/2042  | 25599410 | 22981706 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 7180205 | 6024314 |
| Freddie Mac Gold Pool 2% 5/1/2036  | 787207 | 735905 |
| Freddie Mac Gold Pool 2% 5/1/2041  | 2096137 | 1878063 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 52072142 | 43982318 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 3367942 | 2834181 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 2281794 | 1920881 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 1085931 | 910776 |
| Freddie Mac Gold Pool 2% 6/1/2035  | 5261004 | 4942803 |
| Freddie Mac Gold Pool 2% 6/1/2041  | 3489998 | 3124981 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 131959906 | 110634130 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 17849698 | 15031980 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 31457869 | 28193873 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 15621867 | 13978459 |
| Freddie Mac Gold Pool 2% 7/1/2050  | 404546 | 340685 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 4922367 | 4111491 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 1398615 | 1168217 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 1280341 | 1077829 |
| Freddie Mac Gold Pool 2% 8/1/2050  | 1910015 | 1608504 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 3722444 | 3116214 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 54535781 | 45688278 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 4695259 | 3930599 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 887104 | 746790 |
| Freddie Mac Gold Pool 2.5% 1/1/2033  | 831685 | 806433 |
| Freddie Mac Gold Pool 2.5% 1/1/2033  | 10059 | 9750 |
| Freddie Mac Gold Pool 2.5% 1/1/2041  | 751638 | 693769 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 8566000 | 7859420 |
| Freddie Mac Gold Pool 2.5% 1/1/2051  | 23478 | 20617 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 10418991 | 9168953 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 234114 | 205880 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 24470 | 21580 |
| Freddie Mac Gold Pool 2.5% 10/1/2031  | 97596 | 95204 |
| Freddie Mac Gold Pool 2.5% 10/1/2040  | 4053511 | 3749880 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 4153480 | 3815276 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 11384801 | 10036677 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 10894866 | 9645613 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 476567 | 417603 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 2382437 | 2317320 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 17529765 | 16158349 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 2434933 | 2240684 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 1610764 | 1485047 |
| Freddie Mac Gold Pool 2.5% 11/1/2049  | 263154 | 231417 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 8588230 | 7584679 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 8140449 | 7199398 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 3135765 | 2764446 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 16128605 | 14233867 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 2367524 | 2063499 |
| Freddie Mac Gold Pool 2.5% 12/1/2041  | 37218 | 34143 |
| Freddie Mac Gold Pool 2.5% 12/1/2050  | 2881419 | 2548321 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 18494510 | 16206241 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 15435527 | 13525737 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 5211402 | 4542183 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 818047 | 721434 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 3279273 | 3027385 |
| Freddie Mac Gold Pool 2.5% 2/1/2050  | 1439358 | 1265769 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 63491481 | 56092222 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 71834 | 63081 |
| Freddie Mac Gold Pool 2.5% 3/1/2047  | 245047 | 216566 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 3953788 | 3472012 |
| Freddie Mac Gold Pool 2.5% 3/1/2052  | 50037674 | 43549569 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 1619809 | 1486912 |
| Freddie Mac Gold Pool 2.5% 4/1/2052 (f) | 8670678 | 7646655 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 1347426 | 1172713 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 19819273 | 18274302 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 6926218 | 6427191 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 22105066 | 19287181 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 10751953 | 9488847 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 1545461 | 1363905 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 293572 | 286774 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 185826 | 181333 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 1939579 | 1785004 |
| Freddie Mac Gold Pool 2.5% 6/1/2052  | 151677 | 132010 |
| Freddie Mac Gold Pool 2.5% 7/1/2031  | 315748 | 308115 |
| Freddie Mac Gold Pool 2.5% 7/1/2041  | 3646839 | 3376883 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 20977466 | 18572097 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 10919173 | 9643247 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 14776914 | 13004026 |
| Freddie Mac Gold Pool 2.5% 8/1/2031  | 533051 | 519985 |
| Freddie Mac Gold Pool 2.5% 8/1/2032  | 431383 | 418424 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 1315087 | 1210803 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 36651076 | 32448503 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 2868032 | 2648749 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 97664 | 95867 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 74744 | 73273 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 52766 | 51786 |
| Freddie Mac Gold Pool 3% 1/1/2034  | 39061 | 38307 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 44824 | 42233 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 44251 | 41458 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 15456064 | 14111512 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 5094940 | 4635800 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 5008527 | 4557174 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 1376026 | 1252023 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 652679 | 593862 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 187513 | 170615 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 15457 | 14537 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 11898478 | 10904308 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 20009248 | 18324881 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 1305315 | 1204408 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 264561 | 240389 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 6371 | 6022 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 11199326 | 10323069 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 9522981 | 8789789 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 1193497 | 1088554 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 6632147 | 6032406 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 3675833 | 3344578 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 2872841 | 2619336 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 328603 | 298990 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 592037 | 583324 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 1217013 | 1196684 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 25809 | 25344 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 678165 | 639288 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 56799 | 53552 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 21096 | 19872 |
| Freddie Mac Gold Pool 3% 12/1/2046  | 1365155 | 1269622 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 9747335 | 8890258 |
| Freddie Mac Gold Pool 3% 12/1/2051  | 1054355 | 959340 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 563333 | 555306 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 44344 | 43468 |
| Freddie Mac Gold Pool 3% 2/1/2034  | 5488 | 5368 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 183790 | 178788 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 10244 | 9965 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 48785 | 46113 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 31956 | 30066 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 21379 | 20159 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 9055 | 8510 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 1373757 | 1264984 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 5945716 | 5409906 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 1721996 | 1564662 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 868784 | 789406 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 746363 | 679103 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 727650 | 659802 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 683186 | 623754 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 657663 | 596341 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 170850 | 167616 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 23882 | 22501 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 21465466 | 19618269 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 19185022 | 17444137 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 15488685 | 14223578 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 2558928 | 2328326 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 1709117 | 1572722 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 34601 | 31634 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 10616 | 10452 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 3674 | 3620 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 578333 | 566602 |
| Freddie Mac Gold Pool 3% 4/1/2037  | 1996306 | 1938256 |
| Freddie Mac Gold Pool 3% 4/1/2043  | 9757 | 9197 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 69564 | 64739 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 58232 | 54193 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 21615610 | 19755492 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 2715054 | 2499229 |
| Freddie Mac Gold Pool 3% 4/1/2052  | 2355061 | 2159757 |
| Freddie Mac Gold Pool 3% 4/1/2052  | 2051660 | 1877671 |
| Freddie Mac Gold Pool 3% 4/1/2052  | 1526703 | 1395323 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 30385 | 28292 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 1125316 | 1047270 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 171420 | 159532 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 2706373 | 2472632 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 864629 | 790494 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 627827 | 572034 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 80929 | 79771 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 31135 | 30696 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 18551 | 18278 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 10666 | 10521 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 10192 | 10033 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 7870 | 7745 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 6817 | 6725 |
| Freddie Mac Gold Pool 3% 6/1/2035  | 1097489 | 1071063 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 1115096 | 1037759 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 5442391 | 5009765 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 8186971 | 7449187 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 439011 | 401781 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 17193 | 16901 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 63840 | 59529 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 23652 | 22411 |
| Freddie Mac Gold Pool 3% 7/1/2052  | 14708411 | 13465669 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 23570 | 23170 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 15418 | 15153 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 8754 | 8269 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 6778 | 6383 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 26769 | 24917 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 16026 | 14996 |
| Freddie Mac Gold Pool 3% 8/1/2050  | 17464885 | 16087483 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 153398 | 141588 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 3802183 | 3466671 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 2571804 | 2347274 |
| Freddie Mac Gold Pool 3.5% 1/1/2045  | 143794 | 139393 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 135772 | 130325 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 42524 | 40906 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 1987456 | 1897695 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 1596456 | 1524355 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 54900 | 52712 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 40630 | 39087 |
| Freddie Mac Gold Pool 3.5% 10/1/2034  | 3208611 | 3175153 |
| Freddie Mac Gold Pool 3.5% 10/1/2040  | 50056 | 48606 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 510880 | 495072 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 245940 | 238427 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 29419 | 28525 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 4182 | 4050 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 156429 | 150587 |
| Freddie Mac Gold Pool 3.5% 10/1/2048  | 2035634 | 1942152 |
| Freddie Mac Gold Pool 3.5% 10/1/2049  | 1017974 | 974225 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 10340365 | 9782881 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 1263607 | 1202984 |
| Freddie Mac Gold Pool 3.5% 10/1/2052  | 658432 | 623756 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 2055548 | 2033726 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 1124262 | 1111198 |
| Freddie Mac Gold Pool 3.5% 11/1/2040  | 104227 | 101413 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 15812 | 15227 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 4082 | 3920 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 1148052 | 1104454 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 178129 | 171118 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 171166 | 169882 |
| Freddie Mac Gold Pool 3.5% 12/1/2040  | 100199 | 97474 |
| Freddie Mac Gold Pool 3.5% 12/1/2045  | 9762 | 9375 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 134167 | 128634 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 269989 | 258097 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 264535 | 254489 |
| Freddie Mac Gold Pool 3.5% 12/1/2048  | 373795 | 356629 |
| Freddie Mac Gold Pool 3.5% 12/1/2051  | 8447023 | 7983696 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 1821634 | 1796175 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 1619113 | 1607202 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 6925557 | 6706337 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 133818 | 129906 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 54671 | 53198 |
| Freddie Mac Gold Pool 3.5% 2/1/2045  | 12016 | 11630 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 826483 | 790078 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 442997 | 425343 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 277396 | 265177 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 5795091 | 5477225 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 5630588 | 5349898 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 969614 | 963544 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 323114 | 311286 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 88127 | 85068 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 69985 | 67517 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 28040 | 27189 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 6232836 | 6005104 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 6884 | 6618 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 325616 | 310968 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 9861468 | 9365551 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 9022418 | 8552906 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 3641317 | 3458656 |
| Freddie Mac Gold Pool 3.5% 4/1/2034  | 3196163 | 3169758 |
| Freddie Mac Gold Pool 3.5% 4/1/2040  | 123611 | 120364 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 1232816 | 1199772 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 10873 | 10559 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 214728 | 207913 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 70560 | 68395 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 380517 | 364945 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 262445 | 252279 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 23260 | 22359 |
| Freddie Mac Gold Pool 3.5% 4/1/2047  | 5552973 | 5279623 |
| Freddie Mac Gold Pool 3.5% 4/1/2048  | 210073 | 201570 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 13788725 | 13122889 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 7673461 | 7326902 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1520273 | 1439260 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1308751 | 1243918 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 238670 | 225429 |
| Freddie Mac Gold Pool 3.5% 5/1/2032  | 151617 | 150839 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 199690 | 198030 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 235495 | 229376 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 41880 | 40782 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 740592 | 712351 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 41723 | 40161 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 22201 | 21397 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 9891 | 9602 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 2636498 | 2542611 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 88054 | 84643 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 22608 | 21683 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 8820 | 8477 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 6751 | 6465 |
| Freddie Mac Gold Pool 3.5% 5/1/2047  | 5764273 | 5476919 |
| Freddie Mac Gold Pool 3.5% 5/1/2047  | 3803161 | 3613570 |
| Freddie Mac Gold Pool 3.5% 5/1/2049  | 66178 | 62920 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 15324656 | 14551130 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 12340809 | 11729465 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 432311 | 409679 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 745770 | 740960 |
| Freddie Mac Gold Pool 3.5% 6/1/2040  | 208803 | 203606 |
| Freddie Mac Gold Pool 3.5% 6/1/2042  | 5547 | 5384 |
| Freddie Mac Gold Pool 3.5% 6/1/2045 (g) | 1237466 | 1193137 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 897394 | 863884 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 146240 | 141030 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 66965 | 64599 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 15844 | 15287 |
| Freddie Mac Gold Pool 3.5% 6/1/2048  | 186865 | 178459 |
| Freddie Mac Gold Pool 3.5% 6/1/2049  | 146171 | 140026 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  | 171131 | 162172 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 241914 | 240370 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 65039 | 64616 |
| Freddie Mac Gold Pool 3.5% 7/1/2040  | 19904 | 19359 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 4372761 | 4236619 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 62758 | 60982 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 30233 | 28996 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 12231 | 11757 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 2776721 | 2673008 |
| Freddie Mac Gold Pool 3.5% 7/1/2051  | 4496866 | 4257235 |
| Freddie Mac Gold Pool 3.5% 7/1/2052  | 1179849 | 1118082 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 337646 | 334762 |
| Freddie Mac Gold Pool 3.5% 8/1/2038  | 84280 | 83239 |
| Freddie Mac Gold Pool 3.5% 8/1/2040  | 133918 | 130423 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 796500 | 772558 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 118204 | 114607 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 4315114 | 4153940 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 507820 | 488852 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 323302 | 311227 |
| Freddie Mac Gold Pool 3.5% 8/1/2048  | 140385 | 134070 |
| Freddie Mac Gold Pool 3.5% 8/1/2048  | 62391 | 59525 |
| Freddie Mac Gold Pool 3.5% 8/1/2049  | 16828760 | 16063457 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 1740982 | 1658545 |
| Freddie Mac Gold Pool 3.5% 9/1/2040  | 107922 | 105197 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 9564516 | 9260373 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 5442050 | 5266988 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 1665 | 1612 |
| Freddie Mac Gold Pool 3.5% 9/1/2043  | 88124 | 85258 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 3121651 | 3004148 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 363724 | 348726 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 85748 | 82545 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 71027 | 68375 |
| Freddie Mac Gold Pool 3.5% 9/1/2048  | 953631 | 909837 |
| Freddie Mac Gold Pool 3.5% 9/1/2048  | 164282 | 156737 |
| Freddie Mac Gold Pool 3.5% 9/1/2048  | 139916 | 133491 |
| Freddie Mac Gold Pool 3.5% 9/1/2052  | 1548405 | 1467344 |
| Freddie Mac Gold Pool 4% 1/1/2036  | 577319 | 585708 |
| Freddie Mac Gold Pool 4% 1/1/2039  | 117337 | 118198 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 42536 | 42450 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 20224 | 20203 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 5371 | 5358 |
| Freddie Mac Gold Pool 4% 1/1/2042  | 17839 | 17780 |
| Freddie Mac Gold Pool 4% 1/1/2043  | 11555 | 11485 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 34840 | 34579 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 26707 | 26537 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 340964 | 339964 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 42533 | 42411 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 31577 | 31492 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 16817 | 16740 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 8625 | 8621 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 6079 | 6043 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 86765 | 86190 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 28965 | 28747 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 12489 | 12398 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 11323 | 11270 |
| Freddie Mac Gold Pool 4% 10/1/2044  | 57703 | 57219 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 21500 | 21362 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 923913 | 908926 |
| Freddie Mac Gold Pool 4% 11/1/2040  | 82893 | 82700 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 55360 | 55158 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 5791 | 5793 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 2523 | 2516 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 733358 | 731440 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 594573 | 592744 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 76208 | 75882 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 66509 | 66153 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 38737 | 38571 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 22694 | 22562 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 2111 | 2115 |
| Freddie Mac Gold Pool 4% 11/1/2043  | 28567 | 28438 |
| Freddie Mac Gold Pool 4% 11/1/2047  | 1537653 | 1513002 |
| Freddie Mac Gold Pool 4% 11/1/2048  | 246018 | 242027 |
| Freddie Mac Gold Pool 4% 11/1/2051  | 121851 | 120522 |
| Freddie Mac Gold Pool 4% 12/1/2033  | 626548 | 629730 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 10268 | 10254 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 4316 | 4308 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 3708445 | 3697325 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 31242 | 31062 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 17381 | 17343 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 1665750 | 1658491 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 5949 | 5896 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 11526570 | 11341779 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 796321 | 783554 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 142027 | 141760 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 5675 | 5659 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 149330 | 148789 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 29570 | 29500 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 58405 | 58085 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 44576 | 44305 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 35003 | 34777 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 19250 | 19128 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 35086 | 34866 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 19244 | 19140 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 18657 | 18508 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 496875 | 493361 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 176996 | 175713 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 499967 | 492733 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 36243 | 35730 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 67572 | 66704 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 47270 | 46739 |
| Freddie Mac Gold Pool 4% 2/1/2053 (g) | 16671576 | 16375090 |
| Freddie Mac Gold Pool 4% 2/1/2053  | 4059668 | 3987471 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 31665 | 31527 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 30878 | 30784 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 6434 | 6398 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 19544 | 19486 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 11808 | 11735 |
| Freddie Mac Gold Pool 4% 3/1/2044  | 41134 | 40831 |
| Freddie Mac Gold Pool 4% 3/1/2053  | 491309 | 477965 |
| Freddie Mac Gold Pool 4% 4/1/2040  | 784 | 785 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 475107 | 473037 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 301871 | 300931 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 11900 | 11834 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 10762 | 10745 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 8531 | 8517 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 5772 | 5740 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 565783 | 563511 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 30959 | 30816 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 11521 | 11516 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 170677 | 168901 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 164637 | 162203 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 135826 | 133818 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 73759 | 72669 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 27602 | 27194 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 8139 | 8019 |
| Freddie Mac Gold Pool 4% 4/1/2052  | 121872 | 120306 |
| Freddie Mac Gold Pool 4% 4/1/2052  | 95969 | 94737 |
| Freddie Mac Gold Pool 4% 5/1/2033  | 338803 | 340500 |
| Freddie Mac Gold Pool 4% 5/1/2038  | 4989385 | 5033822 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 52805 | 52698 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 40552 | 40299 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 14049 | 13951 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 13792 | 13698 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 12635 | 12549 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 4169 | 4146 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 1232488 | 1229017 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 60988 | 60412 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 946040 | 932351 |
| Freddie Mac Gold Pool 4% 5/1/2050  | 1711522 | 1679480 |
| Freddie Mac Gold Pool 4% 5/1/2052  | 1622392 | 1586442 |
| Freddie Mac Gold Pool 4% 5/1/2053  | 992924 | 972474 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 60451 | 60990 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 44866 | 45266 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 15251 | 15199 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 2451 | 2454 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 35114 | 35019 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 21164 | 21024 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 46484 | 46108 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 2918906 | 2878496 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 217126 | 214595 |
| Freddie Mac Gold Pool 4% 6/1/2052  | 80399 | 79497 |
| Freddie Mac Gold Pool 4% 7/1/2041  | 3293 | 3282 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 648732 | 645580 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 79871 | 79368 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 61922 | 61609 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 34181 | 34008 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 22931 | 22775 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 19900 | 19760 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 19138 | 19002 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 7541 | 7489 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 835795 | 833777 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 132402 | 131268 |
| Freddie Mac Gold Pool 4% 7/1/2052  | 116526 | 115218 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 307300 | 310037 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 229919 | 231608 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 36147 | 35915 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 29342 | 29264 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 21550 | 21503 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 6871 | 6822 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 9254 | 9186 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 9052 | 9018 |
| Freddie Mac Gold Pool 4% 8/1/2052  | 58699 | 58022 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 48079 | 47950 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 15800 | 15758 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 11523 | 11508 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 8774 | 8759 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 4766158 | 4748562 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 48188 | 48093 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 58071 | 57744 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 54501 | 54171 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 52077 | 51785 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 47774 | 47436 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 45847 | 45548 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 31268 | 31093 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 16794 | 16668 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 1401 | 1403 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 32933 | 32715 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 1293570 | 1272587 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 254489 | 250361 |
| Freddie Mac Gold Pool 4% 9/1/2051  | 135456 | 133979 |
| Freddie Mac Gold Pool 4.5% 1/1/2040  | 13313 | 13551 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 12479 | 12706 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 8428 | 8578 |
| Freddie Mac Gold Pool 4.5% 1/1/2042  | 420916 | 428595 |
| Freddie Mac Gold Pool 4.5% 1/1/2045  | 15726 | 15938 |
| Freddie Mac Gold Pool 4.5% 1/1/2047  | 31784 | 32022 |
| Freddie Mac Gold Pool 4.5% 10/1/2035  | 1008 | 1025 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 177946 | 181151 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 44616 | 45427 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 7753 | 7892 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 1749 | 1781 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 39360 | 40080 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 24798 | 25252 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 116799 | 118936 |
| Freddie Mac Gold Pool 4.5% 10/1/2043  | 23270 | 23669 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 87478 | 87641 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 35216 | 35557 |
| Freddie Mac Gold Pool 4.5% 11/1/2031  | 2637 | 2655 |
| Freddie Mac Gold Pool 4.5% 11/1/2039  | 1159 | 1180 |
| Freddie Mac Gold Pool 4.5% 11/1/2039  | 676 | 688 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 22310 | 22716 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 1939 | 1974 |
| Freddie Mac Gold Pool 4.5% 11/1/2044  | 122192 | 123756 |
| Freddie Mac Gold Pool 4.5% 11/1/2044  | 4876 | 4947 |
| Freddie Mac Gold Pool 4.5% 12/1/2039  | 1037 | 1056 |
| Freddie Mac Gold Pool 4.5% 12/1/2039  | 356 | 362 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 17114 | 17428 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 12976 | 13213 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 865 | 881 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 27666 | 28021 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 4876 | 4947 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  | 76286 | 77653 |
| Freddie Mac Gold Pool 4.5% 12/1/2046  | 32117 | 32357 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 1537469 | 1544656 |
| Freddie Mac Gold Pool 4.5% 2/1/2037  | 979 | 995 |
| Freddie Mac Gold Pool 4.5% 2/1/2040  | 2742 | 2791 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 60306 | 61403 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 20338 | 20710 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 19745 | 20105 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 19412 | 19766 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 16952 | 17262 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 16035 | 16325 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 10383 | 10569 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 8964 | 9127 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 3440 | 3503 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  | 11304 | 11502 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 133219 | 134217 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 164586 | 167595 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 74921 | 76289 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 16671 | 16973 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 16256 | 16553 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 12454 | 12682 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 3234 | 3293 |
| Freddie Mac Gold Pool 4.5% 3/1/2042  | 1676 | 1707 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 9272 | 9431 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 204542 | 208282 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 26128 | 26603 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 22517 | 22930 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 2574 | 2621 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 864 | 879 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 371826 | 372896 |
| Freddie Mac Gold Pool 4.5% 5/1/2035  | 6838 | 6949 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 58865 | 59932 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 14399 | 14661 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 1233 | 1255 |
| Freddie Mac Gold Pool 4.5% 5/1/2040  | 2153 | 2192 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 28092 | 28603 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 18546 | 18885 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 9770 | 9948 |
| Freddie Mac Gold Pool 4.5% 5/1/2045  | 130403 | 131991 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 369080 | 371843 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 271596 | 273629 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 127114 | 128066 |
| Freddie Mac Gold Pool 4.5% 6/1/2038  | 8315 | 8450 |
| Freddie Mac Gold Pool 4.5% 6/1/2039  | 3041 | 3096 |
| Freddie Mac Gold Pool 4.5% 6/1/2040  | 4679 | 4764 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 27260 | 27749 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 18644 | 18985 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 18162 | 18490 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 11750 | 11964 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 7389 | 7525 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 7384 | 7516 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 1908 | 1943 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 529446 | 533245 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 82804 | 83450 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 30626 | 31177 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 13605 | 13853 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 11754 | 11968 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 449435 | 457120 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 8740 | 8900 |
| Freddie Mac Gold Pool 4.5% 7/1/2044  | 2799 | 2847 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 224354 | 225964 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 150604 | 152203 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 66476 | 66995 |
| Freddie Mac Gold Pool 4.5% 7/1/2049  | 8936183 | 8978646 |
| Freddie Mac Gold Pool 4.5% 8/1/2033  | 3123 | 3168 |
| Freddie Mac Gold Pool 4.5% 8/1/2035  | 870 | 883 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 23589 | 24019 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 6568 | 6688 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 1699 | 1730 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 1051 | 1070 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 69964 | 71241 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 11459 | 11668 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 10930 | 11130 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 8645 | 8802 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 386 | 393 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 39293 | 39982 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 4614 | 4696 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 641 | 652 |
| Freddie Mac Gold Pool 4.5% 9/1/2040  | 19344 | 19696 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 178870 | 182108 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 96128 | 97882 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 77230 | 78644 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 10805 | 11002 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 2116 | 2155 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 74066 | 76104 |
| Freddie Mac Gold Pool 5% 1/1/2037  | 3261 | 3361 |
| Freddie Mac Gold Pool 5% 1/1/2040  | 32361 | 33505 |
| Freddie Mac Gold Pool 5% 1/1/2041  | 2404 | 2493 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 10876429 | 11064031 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 8480 | 8714 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 6177 | 6340 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 278 | 286 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 17279691 | 17607438 |
| Freddie Mac Gold Pool 5% 11/1/2033  | 18411 | 18892 |
| Freddie Mac Gold Pool 5% 11/1/2035  | 5074 | 5232 |
| Freddie Mac Gold Pool 5% 11/1/2037  | 418 | 432 |
| Freddie Mac Gold Pool 5% 11/1/2040  | 4972 | 5147 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 27020955 | 27516578 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 7855126 | 8023754 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 6019 | 6190 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 3511 | 3608 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 1089 | 1117 |
| Freddie Mac Gold Pool 5% 12/1/2034  | 7333 | 7544 |
| Freddie Mac Gold Pool 5% 12/1/2035  | 13509 | 13937 |
| Freddie Mac Gold Pool 5% 12/1/2052 (e) | 18515957 | 18855581 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 3184808 | 3241234 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 3174344 | 3232569 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 2894386 | 2945667 |
| Freddie Mac Gold Pool 5% 2/1/2035  | 8108 | 8309 |
| Freddie Mac Gold Pool 5% 2/1/2040  | 7707 | 7990 |
| Freddie Mac Gold Pool 5% 2/1/2041  | 5805 | 6022 |
| Freddie Mac Gold Pool 5% 2/1/2041  | 5454 | 5659 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 11080 | 11487 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 10953 | 11365 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 1347 | 1363 |
| Freddie Mac Gold Pool 5% 4/1/2034  | 2848 | 2930 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 20320 | 20888 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 7486 | 7715 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 5226 | 5385 |
| Freddie Mac Gold Pool 5% 4/1/2036  | 43876 | 45232 |
| Freddie Mac Gold Pool 5% 4/1/2040  | 48169 | 49925 |
| Freddie Mac Gold Pool 5% 4/1/2041  | 2435 | 2527 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 3433 | 3527 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 1669 | 1715 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 1293 | 1332 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 256 | 263 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 19261 | 19843 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 477 | 489 |
| Freddie Mac Gold Pool 5% 5/1/2040  | 6701 | 6937 |
| Freddie Mac Gold Pool 5% 5/1/2041  | 9823 | 10194 |
| Freddie Mac Gold Pool 5% 5/1/2052  | 6375937 | 6502849 |
| Freddie Mac Gold Pool 5% 5/1/2052  | 535635 | 548473 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 3601 | 3706 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 1595 | 1644 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 1180 | 1221 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 1097 | 1136 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 29477 | 30536 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 24426 | 25307 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 718954 | 745441 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 12098 | 12556 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 8065259 | 8218235 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 3459323 | 3535747 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 1534512 | 1571290 |
| Freddie Mac Gold Pool 5% 7/1/2033  | 647 | 650 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 125241 | 128918 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 17063 | 17592 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 969 | 999 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 194 | 200 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 107 | 110 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 5640 | 5835 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 14090 | 14621 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 13089 | 13584 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 7966 | 8241 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 5509 | 5641 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 5007 | 5191 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 4991 | 5177 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 4115 | 4239 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 2366 | 2432 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 675 | 692 |
| Freddie Mac Gold Pool 5% 8/1/2034  | 30521 | 31387 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 2226 | 2291 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 343 | 354 |
| Freddie Mac Gold Pool 5% 8/1/2036  | 11541 | 11909 |
| Freddie Mac Gold Pool 5% 8/1/2036  | 754 | 779 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 24166 | 25006 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 1298 | 1342 |
| Freddie Mac Gold Pool 5% 9/1/2033  | 7043 | 7231 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 12329 | 12715 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 766 | 788 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 84 | 86 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 6735007 | 6862751 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 2274842 | 2303914 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 27972129 | 28921380 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 10739359 | 11082705 |
| Freddie Mac Gold Pool 5.5% 1/1/2056  | 93743246 | 96806203 |
| Freddie Mac Gold Pool 5.5% 1/1/2056  | 43874557 | 45208708 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 18195423 | 18782831 |
| Freddie Mac Gold Pool 5.5% 11/1/2054  | 16900851 | 17494000 |
| Freddie Mac Gold Pool 5.5% 12/1/2054  | 10093900 | 10331569 |
| Freddie Mac Gold Pool 5.5% 12/1/2054  | 287037 | 295765 |
| Freddie Mac Gold Pool 5.5% 12/1/2054  | 65507 | 66639 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 2880175 | 2939855 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 2716826 | 2773333 |
| Freddie Mac Gold Pool 5.5% 3/1/2034  | 41719 | 43441 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (e)(f)(g) | 53630198 | 55600378 |
| Freddie Mac Gold Pool 5.5% 4/1/2055  | 692753 | 707392 |
| Freddie Mac Gold Pool 5.5% 5/1/2034  | 292913 | 304095 |
| Freddie Mac Gold Pool 5.5% 5/1/2053  | 16442285 | 16958966 |
| Freddie Mac Gold Pool 5.5% 5/1/2055  | 877927 | 895981 |
| Freddie Mac Gold Pool 5.5% 7/1/2035  | 26465 | 27537 |
| Freddie Mac Gold Pool 5.5% 8/1/2055  | 19286614 | 19939385 |
| Freddie Mac Gold Pool 5.5% 9/1/2052  | 21656074 | 22356895 |
| Freddie Mac Gold Pool 5.5% 9/1/2053  | 19483534 | 20131097 |
| Freddie Mac Gold Pool 5.5% 9/1/2054  | 4323096 | 4466713 |
| Freddie Mac Gold Pool 6% 1/1/2029  | 95 | 97 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 1736 | 1805 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 1070 | 1112 |
| Freddie Mac Gold Pool 6% 10/1/2032  | 852 | 888 |
| Freddie Mac Gold Pool 6% 10/1/2034  | 1759 | 1824 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 17017915 | 17813857 |
| Freddie Mac Gold Pool 6% 11/1/2028  | 92 | 94 |
| Freddie Mac Gold Pool 6% 11/1/2029  | 78 | 80 |
| Freddie Mac Gold Pool 6% 11/1/2031  | 1147 | 1193 |
| Freddie Mac Gold Pool 6% 11/1/2032  | 9588 | 9981 |
| Freddie Mac Gold Pool 6% 11/1/2038  | 3713767 | 3853715 |
| Freddie Mac Gold Pool 6% 11/1/2052  | 1198468 | 1238230 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 4581753 | 4763114 |
| Freddie Mac Gold Pool 6% 12/1/2032  | 456 | 475 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 25454 | 27127 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 7000 | 7441 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 2468205 | 2579788 |
| Freddie Mac Gold Pool 6% 12/1/2055  | 28545038 | 29918023 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 90 | 92 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 54 | 56 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 24 | 25 |
| Freddie Mac Gold Pool 6% 2/1/2040  | 6867122 | 7155944 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 32735613 | 34368982 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 15168999 | 15883205 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 4733158 | 4954531 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 76 | 78 |
| Freddie Mac Gold Pool 6% 4/1/2031  | 887 | 919 |
| Freddie Mac Gold Pool 6% 4/1/2032  | 2507 | 2609 |
| Freddie Mac Gold Pool 6% 4/1/2033  | 3017 | 3146 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 47802370 | 50008249 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 1976650 | 2059834 |
| Freddie Mac Gold Pool 6% 5/1/2029  | 31 | 32 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 22779 | 23606 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 73766437 | 77262657 |
| Freddie Mac Gold Pool 6% 5/1/2055  | 14294448 | 14918341 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 385 | 395 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 151 | 155 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 74 | 76 |
| Freddie Mac Gold Pool 6% 6/1/2031  | 307 | 319 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 121 | 124 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 58 | 60 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 40 | 41 |
| Freddie Mac Gold Pool 6% 7/1/2032  | 2290 | 2377 |
| Freddie Mac Gold Pool 6% 7/1/2033  | 2967 | 3104 |
| Freddie Mac Gold Pool 6% 7/1/2037  | 2022 | 2150 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 47513555 | 49214949 |
| Freddie Mac Gold Pool 6% 8/1/2037  | 22851 | 24224 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 51364056 | 53770405 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 38122790 | 39932628 |
| Freddie Mac Gold Pool 6% 9/1/2033  | 21130 | 22074 |
| Freddie Mac Gold Pool 6% 9/1/2036  | 8291 | 8793 |
| Freddie Mac Gold Pool 6% 9/1/2054 (g) | 34510260 | 36135117 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 27654724 | 28965442 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 20209890 | 21091967 |
| Freddie Mac Gold Pool 6.5% 1/1/2032  | 9207 | 9629 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 23314289 | 24667227 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 9789956 | 10342927 |
| Freddie Mac Gold Pool 6.5% 10/1/2032  | 8890 | 9344 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 5542718 | 5864364 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 4892665 | 5168943 |
| Freddie Mac Gold Pool 6.5% 11/1/2054  | 7312037 | 7739214 |
| Freddie Mac Gold Pool 6.5% 12/1/2053  | 3759832 | 3980660 |
| Freddie Mac Gold Pool 6.5% 12/1/2054  | 4832895 | 5152995 |
| Freddie Mac Gold Pool 6.5% 2/1/2037  | 477 | 496 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 361 | 378 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 201 | 212 |
| Freddie Mac Gold Pool 6.5% 3/1/2036  | 60731 | 63730 |
| Freddie Mac Gold Pool 6.5% 3/1/2037  | 708 | 761 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 805 | 844 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 179 | 188 |
| Freddie Mac Gold Pool 6.5% 4/1/2054  | 750360 | 792743 |
| Freddie Mac Gold Pool 6.5% 5/1/2031  | 409 | 427 |
| Freddie Mac Gold Pool 6.5% 5/1/2033  | 4507 | 4679 |
| Freddie Mac Gold Pool 6.5% 5/1/2055  | 3077528 | 3256118 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 29070942 | 30769295 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 17119989 | 18184356 |
| Freddie Mac Gold Pool 6.5% 7/1/2032  | 172 | 180 |
| Freddie Mac Gold Pool 6.5% 7/1/2054  | 67575 | 71903 |
| Freddie Mac Gold Pool 6.5% 7/1/2055  | 7211607 | 7650946 |
| Freddie Mac Gold Pool 6.5% 7/1/2055  | 1500622 | 1588641 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 2512 | 2635 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 1735 | 1822 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 1672 | 1757 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 92278 | 99282 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 3670121 | 3884534 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 3242441 | 3425535 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 20511956 | 21787204 |
| Freddie Mac Gold Pool 7% 1/1/2036  | 4108 | 4354 |
| Freddie Mac Gold Pool 7% 1/1/2053  | 23691 | 24985 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 10959860 | 11655314 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 7359956 | 7843080 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 6838995 | 7270289 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 6654300 | 7091103 |
| Freddie Mac Gold Pool 7% 1/1/2054  | 4236094 | 4506218 |
| Freddie Mac Gold Pool 7% 10/1/2053  | 175430 | 184753 |
| Freddie Mac Gold Pool 7% 11/1/2026  | 84 | 84 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 6829 | 7225 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 6259 | 6671 |
| Freddie Mac Gold Pool 7% 12/1/2026  | 133 | 134 |
| Freddie Mac Gold Pool 7% 12/1/2053  | 776096 | 819534 |
| Freddie Mac Gold Pool 7% 12/1/2053  | 560093 | 591599 |
| Freddie Mac Gold Pool 7% 2/1/2054  | 3542971 | 3765297 |
| Freddie Mac Gold Pool 7% 3/1/2054  | 104700 | 111845 |
| Freddie Mac Gold Pool 7% 4/1/2032  | 2086 | 2194 |
| Freddie Mac Gold Pool 7% 6/1/2054  | 6334908 | 6761138 |
| Freddie Mac Gold Pool 7% 6/1/2054  | 6237353 | 6635091 |
| Freddie Mac Gold Pool 7% 7/1/2029  | 9609 | 10088 |
| Freddie Mac Gold Pool 7% 7/1/2054  | 144488 | 154022 |
| Freddie Mac Gold Pool 7% 8/1/2026  | 224 | 225 |
| Freddie Mac Gold Pool 7% 8/1/2034  | 840 | 905 |
| Freddie Mac Gold Pool 7% 8/1/2054  | 2787942 | 2977265 |
| Freddie Mac Gold Pool 7% 9/1/2026  | 475 | 477 |
| Freddie Mac Gold Pool 7% 9/1/2035  | 17092 | 18132 |
| Freddie Mac Gold Pool 7% 9/1/2054  | 3585583 | 3811704 |
| Freddie Mac Gold Pool 7% 9/1/2055  | 19116762 | 20408965 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 10 | 9 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 143 | 149 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 82 | 87 |
| Freddie Mac Gold Pool 7.5% 2/1/2032  | 12473 | 13299 |
| Freddie Mac Gold Pool 7.5% 5/1/2031  | 90 | 94 |
| Freddie Mac Gold Pool 7.5% 6/1/2027  | 33 | 34 |
| Freddie Mac Gold Pool 7.5% 7/1/2034  | 4552 | 4750 |
| Freddie Mac Gold Pool 7.5% 9/1/2030  | 513 | 542 |
| Freddie Mac Gold Pool 7.5% 9/1/2030  | 32 | 34 |
| Freddie Mac Gold Pool 7.5% 9/1/2031  | 341 | 361 |
| Freddie Mac Gold Pool 8% 11/1/2031  | 270 | 284 |
| Freddie Mac Gold Pool 8% 2/1/2030  | 21 | 21 |
| Freddie Mac Gold Pool 8% 4/1/2032  | 36 | 38 |
| Freddie Mac Gold Pool 8% 7/1/2030  | 249 | 263 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 555 | 580 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 20 | 20 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 7 | 7 |
| Freddie Mac Gold Pool 8% 9/1/2030  | 17 | 17 |
| Freddie Mac Gold Pool 8.5% 1/1/2028  | 2 | 1 |
| Freddie Mac Gold Pool 8.5% 12/1/2027  | 3 | 2 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 5 | 4 |
| Freddie Mac Gold Pool 8.5% 8/1/2026  | 6 | 5 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 150 | 153 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 4 | 3 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  | 13265117 | 13864811 |
| Freddie Mac Manufactured Housing participation certificates 6% 4/1/2055  | 4579360 | 4787817 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 5960754 | 6316439 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 5261102 | 5588190 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 1713083 | 1828152 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 6/1/2055  | 17228063 | 18315300 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.325%, 5.616% 1/1/2036 (b)(c) | 2553 | 2611 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.375%, 5.884% 3/1/2036 (b)(c) | 13132 | 13466 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.5%, 5.85% 3/1/2036 (b)(c) | 13267 | 13693 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.202% 12/1/2040 (b)(c) | 104202 | 109127 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.406% 7/1/2041 (b)(c) | 17376 | 18219 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.436% 9/1/2041 (b)(c) | 25064 | 26309 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.864%, 6.864% 4/1/2036 (b)(c) | 6955 | 7233 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.63% 9/1/2041 (b)(c) | 3049 | 3202 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 4/1/2041 (b)(c) | 568 | 596 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.535% 6/1/2041 (b)(c) | 616 | 647 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.672% 6/1/2041 (b)(c) | 7738 | 8126 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.778% 5/1/2041 (b)(c) | 5513 | 5790 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.863% 5/1/2041 (b)(c) | 7050 | 7404 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.939%, 6.607% 10/1/2042 (b)(c) | 11376 | 11946 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.961%, 6.711% 6/1/2033 (b)(c) | 2385 | 2464 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.01%, 7.01% 4/1/2038 (b)(c) | 5692 | 5977 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.031%, 6.658% 3/1/2033 (b)(c) | 95 | 97 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.045%, 6.684% 7/1/2036 (b)(c) | 5941 | 6198 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.035%, 6.095% 6/1/2033 (b)(c) | 10070 | 10319 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.2597%, 6.321% 6/1/2033 (b)(c) | 13521 | 13879 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.375%, 6.328% 3/1/2035 (b)(c) | 28066 | 28963 |
| Freddie Mac Non Gold Pool 4% 9/1/2040  | 3879 | 3873 |
| Freddie Mac Non Gold Pool 5% 9/1/2054  | 925305 | 941120 |
| Freddie Mac Non Gold Pool 5.5% 4/1/2055  | 11016321 | 11378849 |
| Freddie Mac Non Gold Pool 5.5% 5/1/2053  | 7403021 | 7651847 |
| Freddie Mac Non Gold Pool 5.5% 6/1/2053  | 3687181 | 3806504 |
| Freddie Mac Non Gold Pool 5.5% 7/1/2053  | 5264589 | 5434958 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 24523848 | 25348129 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 8225307 | 8501771 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 8065106 | 8326105 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.125%, 5.375% 8/1/2037 (b)(c) | 4084 | 4146 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.178% 10/1/2036 (b)(c) | 6691 | 6872 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.994%, 6.307% 10/1/2035 (b)(c) | 7792 | 8035 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.02%, 6.26% 6/1/2037 (b)(c) | 12585 | 13088 |
| Freddie Mac Non Gold Pool 6% 11/1/2054  | 12920255 | 13500320 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 10014767 | 10458129 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 9822910 | 10242430 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 7077597 | 7382081 |
| Freddie Mac Non Gold Pool 6% 6/1/2054  | 16595805 | 17330515 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 9502814 | 9923511 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 7670832 | 8000838 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 8695781 | 9039989 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 9892976 | 10454703 |
| Ginnie Mae I Pool 2% 11/20/2052  | 18627 | 15818 |
| Ginnie Mae I Pool 2% 3/20/2053  | 1637446 | 1388457 |
| Ginnie Mae I Pool 2% 5/20/2053  | 1101121 | 933686 |
| Ginnie Mae I Pool 2% 6/20/2053  | 1371431 | 1162892 |
| Ginnie Mae I Pool 2% 8/20/2052  | 17304 | 14743 |
| Ginnie Mae I Pool 2% 9/20/2052  | 111290 | 94342 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 12157083 | 10697071 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 18830303 | 16568868 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 9995238 | 8794854 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 9055013 | 7959057 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 62099585 | 54583481 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 16154897 | 14209718 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 7672097 | 6743519 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 26240353 | 23064403 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 16203794 | 14242599 |
| Ginnie Mae I Pool 3% 12/15/2042  | 150707 | 140866 |
| Ginnie Mae I Pool 3% 12/20/2042  | 216356 | 202412 |
| Ginnie Mae I Pool 3% 2/15/2045  | 81903 | 76040 |
| Ginnie Mae I Pool 3% 2/15/2045  | 70153 | 64990 |
| Ginnie Mae I Pool 3% 2/20/2050  | 2914216 | 2676244 |
| Ginnie Mae I Pool 3% 2/20/2050  | 1343562 | 1233848 |
| Ginnie Mae I Pool 3% 3/15/2045  | 132707 | 122977 |
| Ginnie Mae I Pool 3% 3/20/2043  | 140793 | 131772 |
| Ginnie Mae I Pool 3% 3/20/2043  | 58620 | 54900 |
| Ginnie Mae I Pool 3% 4/15/2043  | 18158 | 16923 |
| Ginnie Mae I Pool 3% 4/15/2043  | 14770 | 13815 |
| Ginnie Mae I Pool 3% 4/15/2045  | 50677 | 46904 |
| Ginnie Mae I Pool 3% 4/15/2045  | 4215 | 3895 |
| Ginnie Mae I Pool 3% 5/15/2042  | 22626 | 21226 |
| Ginnie Mae I Pool 3% 5/15/2043  | 17815 | 16487 |
| Ginnie Mae I Pool 3% 5/15/2043  | 13661 | 12761 |
| Ginnie Mae I Pool 3% 5/15/2043  | 12793 | 11977 |
| Ginnie Mae I Pool 3% 5/15/2043  | 5211 | 4853 |
| Ginnie Mae I Pool 3% 5/15/2043  | 4658 | 4350 |
| Ginnie Mae I Pool 3% 5/15/2045  | 875 | 809 |
| Ginnie Mae I Pool 3% 6/15/2042  | 6937 | 6497 |
| Ginnie Mae I Pool 3% 6/15/2043  | 24538 | 22989 |
| Ginnie Mae I Pool 3% 6/15/2043  | 17865 | 16850 |
| Ginnie Mae I Pool 3% 6/15/2043  | 17751 | 16528 |
| Ginnie Mae I Pool 3% 6/20/2042  | 33784 | 31775 |
| Ginnie Mae I Pool 3.5% 1/15/2041  | 5102 | 4895 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 68493 | 65317 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 50578 | 48318 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 684 | 654 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 75567 | 72142 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 2298 | 2197 |
| Ginnie Mae I Pool 3.5% 1/20/2048  | 1103410 | 1047123 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 10008016 | 9486719 |
| Ginnie Mae I Pool 3.5% 11/15/2040  | 9028 | 8660 |
| Ginnie Mae I Pool 3.5% 11/15/2042  | 167641 | 160078 |
| Ginnie Mae I Pool 3.5% 12/15/2040  | 1875 | 1800 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 65270 | 62367 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 60753 | 58000 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 37448 | 35889 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 5844 | 5609 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 166583 | 159507 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 76169 | 72791 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 59249 | 56806 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 17820 | 17051 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 71351 | 68271 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 59500 | 56779 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 46711 | 44555 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 24566 | 23511 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 3123 | 2988 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 329071 | 314793 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 38427 | 36637 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 12911 | 12337 |
| Ginnie Mae I Pool 3.5% 2/15/2044  | 50452 | 47888 |
| Ginnie Mae I Pool 3.5% 2/20/2041  | 467560 | 450659 |
| Ginnie Mae I Pool 3.5% 2/20/2043  | 99401 | 95062 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 13402 | 12869 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 6174 | 5916 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 5933 | 5675 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 1739 | 1661 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 25826 | 24689 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 2399 | 2290 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 42388 | 40538 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 282171 | 269989 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 53652 | 51065 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 16896 | 16212 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 12666 | 12151 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 11007 | 10487 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 10944 | 10486 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 9664 | 9249 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 4265 | 4076 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 46153 | 44221 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 30487 | 29211 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 23169 | 22199 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 22278 | 21346 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 19731 | 18905 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 12314 | 11775 |
| Ginnie Mae I Pool 3.5% 6/15/2042  | 2340 | 2234 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 23178 | 22070 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 19244 | 18300 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 14603 | 13947 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 9820 | 9439 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 7846 | 7477 |
| Ginnie Mae I Pool 3.5% 6/20/2043  | 11164 | 10662 |
| Ginnie Mae I Pool 3.5% 6/20/2044  | 590268 | 563232 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 112726 | 108008 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 33138 | 31751 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 28962 | 27750 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 26650 | 25534 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 25823 | 24742 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 15574 | 14922 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 10540 | 10109 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 47706 | 45574 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 16446 | 15711 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 4154 | 3967 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 8965 | 8543 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 2935 | 2801 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 88902 | 84671 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 1096718 | 1051845 |
| Ginnie Mae I Pool 3.5% 7/20/2052  | 53165343 | 50429301 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 4288 | 4094 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 31428978 | 29791909 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 11785 | 11236 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 5613 | 5356 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 5555 | 5336 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 3205 | 3057 |
| Ginnie Mae I Pool 3.5% 9/15/2043  | 4535 | 4321 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 63433174 | 60129074 |
| Ginnie Mae I Pool 4% 1/15/2040  | 12469 | 12299 |
| Ginnie Mae I Pool 4% 1/15/2040  | 12005 | 11822 |
| Ginnie Mae I Pool 4% 1/15/2041  | 60207 | 59239 |
| Ginnie Mae I Pool 4% 1/15/2041  | 2465 | 2425 |
| Ginnie Mae I Pool 4% 1/15/2042  | 4743 | 4660 |
| Ginnie Mae I Pool 4% 1/15/2043  | 17690 | 17358 |
| Ginnie Mae I Pool 4% 1/15/2047  | 43099 | 42064 |
| Ginnie Mae I Pool 4% 1/15/2047  | 41590 | 40592 |
| Ginnie Mae I Pool 4% 1/15/2047  | 31962 | 31195 |
| Ginnie Mae I Pool 4% 1/15/2047  | 15251 | 14885 |
| Ginnie Mae I Pool 4% 10/15/2039  | 14661 | 14460 |
| Ginnie Mae I Pool 4% 10/15/2040  | 71023 | 69910 |
| Ginnie Mae I Pool 4% 10/15/2040  | 70155 | 69048 |
| Ginnie Mae I Pool 4% 10/15/2040  | 60892 | 59957 |
| Ginnie Mae I Pool 4% 10/15/2040  | 6546 | 6445 |
| Ginnie Mae I Pool 4% 10/15/2040  | 5599 | 5513 |
| Ginnie Mae I Pool 4% 10/15/2040  | 2669 | 2628 |
| Ginnie Mae I Pool 4% 10/15/2041  | 155832 | 153118 |
| Ginnie Mae I Pool 4% 10/15/2041  | 61253 | 60238 |
| Ginnie Mae I Pool 4% 10/15/2041  | 52157 | 51314 |
| Ginnie Mae I Pool 4% 10/15/2041  | 33461 | 32913 |
| Ginnie Mae I Pool 4% 10/15/2041  | 27222 | 26755 |
| Ginnie Mae I Pool 4% 10/15/2041  | 19426 | 19127 |
| Ginnie Mae I Pool 4% 10/15/2041  | 15360 | 15079 |
| Ginnie Mae I Pool 4% 10/15/2041  | 10274 | 10099 |
| Ginnie Mae I Pool 4% 10/15/2041  | 7583 | 7459 |
| Ginnie Mae I Pool 4% 10/15/2041  | 6428 | 6327 |
| Ginnie Mae I Pool 4% 10/15/2041  | 4677 | 4601 |
| Ginnie Mae I Pool 4% 10/15/2041  | 2441 | 2396 |
| Ginnie Mae I Pool 4% 10/20/2042  | 221285 | 217065 |
| Ginnie Mae I Pool 4% 10/20/2052  | 65910133 | 63915594 |
| Ginnie Mae I Pool 4% 11/15/2039  | 10814 | 10671 |
| Ginnie Mae I Pool 4% 11/15/2040  | 17489 | 17207 |
| Ginnie Mae I Pool 4% 11/15/2040  | 1983 | 1956 |
| Ginnie Mae I Pool 4% 11/15/2041  | 131266 | 129062 |
| Ginnie Mae I Pool 4% 11/15/2041  | 20179 | 19817 |
| Ginnie Mae I Pool 4% 11/15/2042  | 5956 | 5847 |
| Ginnie Mae I Pool 4% 11/20/2042  | 26971 | 26421 |
| Ginnie Mae I Pool 4% 12/15/2039  | 35051 | 34520 |
| Ginnie Mae I Pool 4% 12/15/2039  | 6170 | 6078 |
| Ginnie Mae I Pool 4% 12/15/2040  | 8142 | 8032 |
| Ginnie Mae I Pool 4% 12/15/2040  | 6468 | 6363 |
| Ginnie Mae I Pool 4% 12/15/2040  | 4230 | 4158 |
| Ginnie Mae I Pool 4% 12/15/2040  | 3605 | 3548 |
| Ginnie Mae I Pool 4% 12/15/2040  | 2856 | 2807 |
| Ginnie Mae I Pool 4% 12/15/2041  | 56209 | 55283 |
| Ginnie Mae I Pool 4% 12/15/2041  | 42386 | 41642 |
| Ginnie Mae I Pool 4% 12/15/2041  | 20915 | 20554 |
| Ginnie Mae I Pool 4% 12/15/2041  | 11756 | 11554 |
| Ginnie Mae I Pool 4% 12/15/2041  | 2164 | 2127 |
| Ginnie Mae I Pool 4% 12/15/2042  | 3771 | 3704 |
| Ginnie Mae I Pool 4% 12/15/2046  | 8286 | 8100 |
| Ginnie Mae I Pool 4% 2/15/2040  | 51862 | 51055 |
| Ginnie Mae I Pool 4% 2/15/2040  | 30843 | 30391 |
| Ginnie Mae I Pool 4% 2/15/2040  | 30110 | 29641 |
| Ginnie Mae I Pool 4% 2/15/2041  | 17082 | 16815 |
| Ginnie Mae I Pool 4% 2/15/2041  | 9285 | 9124 |
| Ginnie Mae I Pool 4% 2/15/2042  | 18674 | 18349 |
| Ginnie Mae I Pool 4% 2/15/2042  | 11777 | 11577 |
| Ginnie Mae I Pool 4% 2/15/2045  | 57344 | 56109 |
| Ginnie Mae I Pool 4% 3/15/2040  | 258326 | 254357 |
| Ginnie Mae I Pool 4% 3/15/2041  | 129955 | 127932 |
| Ginnie Mae I Pool 4% 3/15/2041  | 5609 | 5521 |
| Ginnie Mae I Pool 4% 3/15/2041  | 4792 | 4725 |
| Ginnie Mae I Pool 4% 3/15/2042  | 67885 | 66677 |
| Ginnie Mae I Pool 4% 3/15/2042  | 10193 | 10004 |
| Ginnie Mae I Pool 4% 3/15/2042  | 7520 | 7390 |
| Ginnie Mae I Pool 4% 3/20/2044  | 301258 | 294103 |
| Ginnie Mae I Pool 4% 3/20/2047  | 724788 | 712367 |
| Ginnie Mae I Pool 4% 4/15/2040  | 21135 | 20797 |
| Ginnie Mae I Pool 4% 4/15/2040  | 9341 | 9206 |
| Ginnie Mae I Pool 4% 4/15/2041  | 4084 | 4019 |
| Ginnie Mae I Pool 4% 4/15/2042  | 11624 | 11403 |
| Ginnie Mae I Pool 4% 4/15/2043  | 41832 | 41052 |
| Ginnie Mae I Pool 4% 4/15/2043  | 2671 | 2624 |
| Ginnie Mae I Pool 4% 4/15/2046  | 359178 | 351232 |
| Ginnie Mae I Pool 4% 4/20/2048  | 223701 | 218610 |
| Ginnie Mae I Pool 4% 4/20/2048  | 197186 | 192697 |
| Ginnie Mae I Pool 4% 5/15/2040  | 18428 | 18134 |
| Ginnie Mae I Pool 4% 5/15/2041  | 11502 | 11382 |
| Ginnie Mae I Pool 4% 5/15/2042  | 468 | 466 |
| Ginnie Mae I Pool 4% 5/15/2043  | 8268 | 8098 |
| Ginnie Mae I Pool 4% 5/15/2045  | 53281 | 52072 |
| Ginnie Mae I Pool 4% 5/20/2049  | 87197 | 84749 |
| Ginnie Mae I Pool 4% 6/15/2041  | 16271 | 16001 |
| Ginnie Mae I Pool 4% 6/15/2041  | 10734 | 10556 |
| Ginnie Mae I Pool 4% 6/15/2041  | 4833 | 4747 |
| Ginnie Mae I Pool 4% 6/15/2041  | 2702 | 2666 |
| Ginnie Mae I Pool 4% 6/15/2042  | 11389 | 11169 |
| Ginnie Mae I Pool 4% 6/15/2043  | 2057 | 2021 |
| Ginnie Mae I Pool 4% 6/15/2045  | 14271 | 13970 |
| Ginnie Mae I Pool 4% 7/15/2039  | 13600 | 13399 |
| Ginnie Mae I Pool 4% 7/15/2041  | 6282 | 6177 |
| Ginnie Mae I Pool 4% 7/15/2041  | 5155 | 5077 |
| Ginnie Mae I Pool 4% 7/15/2041  | 3009 | 2955 |
| Ginnie Mae I Pool 4% 7/15/2045  | 38969 | 38075 |
| Ginnie Mae I Pool 4% 7/15/2046  | 28936 | 28305 |
| Ginnie Mae I Pool 4% 7/15/2046  | 23245 | 22737 |
| Ginnie Mae I Pool 4% 8/15/2039  | 9514 | 9381 |
| Ginnie Mae I Pool 4% 8/15/2039  | 5862 | 5773 |
| Ginnie Mae I Pool 4% 8/15/2039  | 4295 | 4228 |
| Ginnie Mae I Pool 4% 8/15/2040  | 2926 | 2882 |
| Ginnie Mae I Pool 4% 8/15/2041  | 9123 | 8972 |
| Ginnie Mae I Pool 4% 8/15/2041  | 5975 | 5883 |
| Ginnie Mae I Pool 4% 8/15/2041  | 1921 | 1893 |
| Ginnie Mae I Pool 4% 8/15/2042  | 29619 | 29052 |
| Ginnie Mae I Pool 4% 8/15/2043  | 4277 | 4186 |
| Ginnie Mae I Pool 4% 8/15/2043  | 1760 | 1722 |
| Ginnie Mae I Pool 4% 9/15/2039  | 8985 | 8869 |
| Ginnie Mae I Pool 4% 9/15/2040  | 2349 | 2314 |
| Ginnie Mae I Pool 4% 9/15/2041  | 61952 | 60904 |
| Ginnie Mae I Pool 4% 9/15/2041  | 8219 | 8084 |
| Ginnie Mae I Pool 4% 9/15/2041  | 7645 | 7524 |
| Ginnie Mae I Pool 4% 9/15/2041  | 3227 | 3167 |
| Ginnie Mae I Pool 4% 9/15/2041  | 2383 | 2341 |
| Ginnie Mae I Pool 4% 9/15/2041  | 924 | 911 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 7024 | 7111 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 4941 | 5002 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 1198 | 1213 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 40008 | 40506 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 16192 | 16393 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 13390 | 13555 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 11907 | 12055 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 8806 | 8915 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 8691 | 8796 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 6074 | 6149 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 4932 | 4993 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 980 | 992 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 576 | 583 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 11176 | 11312 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 32573 | 32976 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 30639 | 31020 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 25853 | 26171 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 17477 | 17693 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 12214 | 12363 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 9738 | 9858 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 9616 | 9735 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 6675 | 6756 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 1891 | 1915 |
| Ginnie Mae I Pool 4.5% 2/15/2041  | 7652 | 7737 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 106263 | 107575 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 10655 | 10787 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 5682 | 5752 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 5516 | 5585 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 3829 | 3876 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 188087 | 190422 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 4151 | 4203 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 33691 | 34105 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 17402 | 17619 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 13322 | 13488 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 7532 | 7625 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 3112 | 3150 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 3022 | 3059 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 84336463 | 83908970 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 6050 | 6124 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 51697 | 52336 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 4104 | 4155 |
| Ginnie Mae I Pool 4.5% 5/20/2041  | 15157 | 15336 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 20928 | 21183 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 19333 | 19571 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 3809 | 3856 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 3005 | 3042 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 2590 | 2622 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 164931 | 166982 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 101832 | 103090 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 49303 | 49913 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 37511 | 37974 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 22160 | 22434 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 21949 | 22220 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 18659 | 18889 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 17424 | 17640 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 4902 | 4963 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 2666 | 2699 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 1820 | 1843 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 326803 | 330849 |
| Ginnie Mae I Pool 4.5% 6/20/2041  | 6245 | 6319 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 17088 | 17297 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 65211 | 66017 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 58759 | 59485 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 52484 | 53132 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 41526 | 42039 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 39739 | 40230 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 28912 | 29270 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 15097 | 15284 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 14911 | 15096 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 4908 | 4969 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 4186 | 4238 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 2881 | 2917 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 1170 | 1185 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 647 | 655 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 182478 | 184722 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 108190 | 109520 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 86561 | 87624 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 34547 | 34973 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 21566 | 21834 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 16289 | 16489 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 2901 | 2937 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 15773 | 15968 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 1929 | 1953 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 1468 | 1486 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 1128 | 1141 |
| Ginnie Mae I Pool 4.5% 8/15/2041  | 3744 | 3790 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 32083 | 32479 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 15810 | 16004 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 6336 | 6414 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 5729 | 5800 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 5459 | 5526 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 2410 | 2440 |
| Ginnie Mae I Pool 5% 1/15/2034  | 1224 | 1258 |
| Ginnie Mae I Pool 5% 1/15/2040  | 531 | 545 |
| Ginnie Mae I Pool 5% 10/15/2033  | 662 | 680 |
| Ginnie Mae I Pool 5% 10/15/2034  | 955 | 982 |
| Ginnie Mae I Pool 5% 10/15/2039  | 12061 | 12484 |
| Ginnie Mae I Pool 5% 10/15/2039  | 9364 | 9699 |
| Ginnie Mae I Pool 5% 10/15/2039  | 7408 | 7673 |
| Ginnie Mae I Pool 5% 10/15/2039  | 4171 | 4317 |
| Ginnie Mae I Pool 5% 10/15/2039  | 2492 | 2578 |
| Ginnie Mae I Pool 5% 10/20/2054  | 1080910 | 1086757 |
| Ginnie Mae I Pool 5% 11/15/2033  | 427 | 439 |
| Ginnie Mae I Pool 5% 11/15/2039  | 15306 | 15857 |
| Ginnie Mae I Pool 5% 11/15/2039  | 13363 | 13857 |
| Ginnie Mae I Pool 5% 11/15/2039  | 5040 | 5220 |
| Ginnie Mae I Pool 5% 11/15/2039  | 4774 | 4946 |
| Ginnie Mae I Pool 5% 11/15/2039  | 896 | 929 |
| Ginnie Mae I Pool 5% 11/15/2040  | 4877 | 5053 |
| Ginnie Mae I Pool 5% 11/15/2040  | 1315 | 1363 |
| Ginnie Mae I Pool 5% 12/15/2039  | 11965 | 12396 |
| Ginnie Mae I Pool 5% 12/15/2039  | 6093 | 6309 |
| Ginnie Mae I Pool 5% 12/15/2039  | 5017 | 5201 |
| Ginnie Mae I Pool 5% 2/15/2039  | 2169 | 2245 |
| Ginnie Mae I Pool 5% 3/15/2041  | 10122 | 10479 |
| Ginnie Mae I Pool 5% 3/15/2041  | 3748 | 3883 |
| Ginnie Mae I Pool 5% 4/15/2033  | 1178 | 1208 |
| Ginnie Mae I Pool 5% 4/15/2039  | 2090 | 2166 |
| Ginnie Mae I Pool 5% 4/15/2040  | 113106 | 117167 |
| Ginnie Mae I Pool 5% 4/15/2040  | 94277 | 97646 |
| Ginnie Mae I Pool 5% 4/15/2040  | 5144 | 5332 |
| Ginnie Mae I Pool 5% 4/15/2040  | 4760 | 4931 |
| Ginnie Mae I Pool 5% 4/15/2040  | 1777 | 1842 |
| Ginnie Mae I Pool 5% 4/15/2041  | 15156 | 15688 |
| Ginnie Mae I Pool 5% 4/15/2041  | 3693 | 3824 |
| Ginnie Mae I Pool 5% 4/15/2041  | 1647 | 1705 |
| Ginnie Mae I Pool 5% 4/20/2048  | 2664748 | 2747674 |
| Ginnie Mae I Pool 5% 5/15/2039  | 27796 | 28767 |
| Ginnie Mae I Pool 5% 5/15/2039  | 15304 | 15841 |
| Ginnie Mae I Pool 5% 5/15/2040  | 5187 | 5375 |
| Ginnie Mae I Pool 5% 5/15/2040  | 3128 | 3244 |
| Ginnie Mae I Pool 5% 5/15/2040  | 1115 | 1155 |
| Ginnie Mae I Pool 5% 6/15/2039  | 1859 | 1923 |
| Ginnie Mae I Pool 5% 6/15/2040  | 287690 | 298020 |
| Ginnie Mae I Pool 5% 6/15/2040  | 8325 | 8624 |
| Ginnie Mae I Pool 5% 6/15/2040  | 4570 | 4729 |
| Ginnie Mae I Pool 5% 6/15/2041  | 12159 | 12581 |
| Ginnie Mae I Pool 5% 6/15/2041  | 1723 | 1783 |
| Ginnie Mae I Pool 5% 6/15/2041  | 1641 | 1699 |
| Ginnie Mae I Pool 5% 7/15/2039  | 21067 | 21799 |
| Ginnie Mae I Pool 5% 7/15/2039  | 16618 | 17203 |
| Ginnie Mae I Pool 5% 7/15/2040  | 13595 | 14086 |
| Ginnie Mae I Pool 5% 7/15/2040  | 13299 | 13779 |
| Ginnie Mae I Pool 5% 7/15/2040  | 6517 | 6753 |
| Ginnie Mae I Pool 5% 7/15/2040  | 5678 | 5886 |
| Ginnie Mae I Pool 5% 7/15/2040  | 2651 | 2743 |
| Ginnie Mae I Pool 5% 7/15/2040  | 883 | 915 |
| Ginnie Mae I Pool 5% 8/15/2039  | 10115 | 10472 |
| Ginnie Mae I Pool 5% 8/15/2039  | 8946 | 9262 |
| Ginnie Mae I Pool 5% 8/15/2039  | 4083 | 4227 |
| Ginnie Mae I Pool 5% 8/15/2039  | 2896 | 3000 |
| Ginnie Mae I Pool 5% 8/15/2039  | 1656 | 1714 |
| Ginnie Mae I Pool 5% 8/15/2039  | 883 | 914 |
| Ginnie Mae I Pool 5% 8/15/2040  | 21587 | 22373 |
| Ginnie Mae I Pool 5% 8/15/2040  | 18203 | 18860 |
| Ginnie Mae I Pool 5% 8/15/2040  | 16165 | 16756 |
| Ginnie Mae I Pool 5% 8/15/2040  | 4901 | 5081 |
| Ginnie Mae I Pool 5% 9/15/2039  | 68562 | 70963 |
| Ginnie Mae I Pool 5% 9/15/2039  | 13930 | 14423 |
| Ginnie Mae I Pool 5% 9/15/2039  | 9950 | 10303 |
| Ginnie Mae I Pool 5% 9/15/2039  | 6976 | 7222 |
| Ginnie Mae I Pool 5% 9/15/2039  | 4632 | 4797 |
| Ginnie Mae I Pool 5% 9/15/2039  | 4255 | 4409 |
| Ginnie Mae I Pool 5% 9/15/2039  | 3778 | 3911 |
| Ginnie Mae I Pool 5% 9/15/2039  | 2924 | 3028 |
| Ginnie Mae I Pool 5% 9/15/2039  | 2473 | 2560 |
| Ginnie Mae I Pool 5% 9/15/2039  | 1253 | 1298 |
| Ginnie Mae I Pool 5% 9/15/2040  | 10389 | 10763 |
| Ginnie Mae I Pool 5% 9/15/2040  | 6734 | 6968 |
| Ginnie Mae I Pool 5% 9/15/2040  | 2335 | 2420 |
| Ginnie Mae I Pool 5% 9/15/2041  | 190040 | 196782 |
| Ginnie Mae I Pool 5.5% 1/15/2034  | 150 | 156 |
| Ginnie Mae I Pool 5.5% 1/15/2039  | 11586 | 12142 |
| Ginnie Mae I Pool 5.5% 10/15/2035  | 9131 | 9561 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 615 | 643 |
| Ginnie Mae I Pool 5.5% 3/15/2039  | 1815 | 1901 |
| Ginnie Mae I Pool 5.5% 3/20/2054  | 3786285 | 3905026 |
| Ginnie Mae I Pool 5.5% 4/15/2034  | 667 | 695 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 2462 | 2571 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 684 | 714 |
| Ginnie Mae I Pool 5.5% 5/15/2039  | 6811 | 7138 |
| Ginnie Mae I Pool 5.5% 7/15/2037  | 663 | 694 |
| Ginnie Mae I Pool 5.5% 7/15/2038  | 1807 | 1883 |
| Ginnie Mae I Pool 5.5% 7/15/2039  | 3947 | 4147 |
| Ginnie Mae I Pool 5.5% 8/15/2033  | 1852 | 1933 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 66826 | 70141 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 40042 | 42012 |
| Ginnie Mae I Pool 6% 10/15/2030  | 2740 | 2833 |
| Ginnie Mae I Pool 6% 10/15/2039  | 1696 | 1794 |
| Ginnie Mae I Pool 6% 11/15/2039  | 4866 | 5153 |
| Ginnie Mae I Pool 6% 11/15/2039  | 2778 | 2942 |
| Ginnie Mae I Pool 6% 11/15/2039  | 1844 | 1950 |
| Ginnie Mae I Pool 6% 11/15/2039  | 1082 | 1140 |
| Ginnie Mae I Pool 6% 11/15/2039  | 921 | 969 |
| Ginnie Mae I Pool 6% 11/15/2039  | 718 | 758 |
| Ginnie Mae I Pool 6% 5/15/2040  | 144172 | 151996 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 5823 | 6222 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 3222 | 3427 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 796 | 847 |
| Ginnie Mae I Pool 6.5% 10/15/2035  | 3915 | 4214 |
| Ginnie Mae I Pool 6.5% 10/15/2036  | 1268 | 1357 |
| Ginnie Mae I Pool 6.5% 11/15/2034  | 1443 | 1508 |
| Ginnie Mae I Pool 6.5% 6/15/2037  | 1511 | 1615 |
| Ginnie Mae I Pool 6.5% 7/15/2035  | 465 | 498 |
| Ginnie Mae I Pool 6.5% 8/15/2034  | 6568 | 7000 |
| Ginnie Mae I Pool 6.5% 8/15/2034  | 151 | 158 |
| Ginnie Mae I Pool 6.5% 8/15/2036  | 1124 | 1203 |
| Ginnie Mae I Pool 6.5% 9/15/2034  | 2555 | 2721 |
| Ginnie Mae I Pool 7% 1/15/2027  | 2 | 2 |
| Ginnie Mae I Pool 7% 1/15/2028  | 219 | 222 |
| Ginnie Mae I Pool 7% 1/15/2028  | 95 | 96 |
| Ginnie Mae I Pool 7% 1/15/2028  | 76 | 77 |
| Ginnie Mae I Pool 7% 1/15/2028  | 63 | 64 |
| Ginnie Mae I Pool 7% 1/15/2028  | 63 | 64 |
| Ginnie Mae I Pool 7% 1/15/2028  | 59 | 60 |
| Ginnie Mae I Pool 7% 1/15/2028  | 54 | 54 |
| Ginnie Mae I Pool 7% 1/15/2028  | 45 | 46 |
| Ginnie Mae I Pool 7% 1/15/2028  | 45 | 45 |
| Ginnie Mae I Pool 7% 1/15/2028  | 18 | 19 |
| Ginnie Mae I Pool 7% 1/15/2028  | 13 | 13 |
| Ginnie Mae I Pool 7% 1/15/2029  | 172 | 175 |
| Ginnie Mae I Pool 7% 1/15/2029  | 121 | 123 |
| Ginnie Mae I Pool 7% 1/15/2029  | 87 | 88 |
| Ginnie Mae I Pool 7% 1/15/2029  | 67 | 68 |
| Ginnie Mae I Pool 7% 1/15/2029  | 44 | 45 |
| Ginnie Mae I Pool 7% 1/15/2030  | 552 | 565 |
| Ginnie Mae I Pool 7% 1/15/2030  | 49 | 50 |
| Ginnie Mae I Pool 7% 1/15/2031  | 3661 | 3761 |
| Ginnie Mae I Pool 7% 1/15/2031  | 179 | 184 |
| Ginnie Mae I Pool 7% 1/15/2032  | 1172 | 1215 |
| Ginnie Mae I Pool 7% 1/15/2032  | 243 | 248 |
| Ginnie Mae I Pool 7% 10/15/2026  | 9 | 9 |
| Ginnie Mae I Pool 7% 10/15/2028  | 1508 | 1535 |
| Ginnie Mae I Pool 7% 10/15/2028  | 618 | 622 |
| Ginnie Mae I Pool 7% 10/15/2028  | 482 | 490 |
| Ginnie Mae I Pool 7% 10/15/2028  | 85 | 86 |
| Ginnie Mae I Pool 7% 10/15/2028  | 39 | 39 |
| Ginnie Mae I Pool 7% 10/15/2028  | 17 | 18 |
| Ginnie Mae I Pool 7% 10/15/2030  | 435 | 450 |
| Ginnie Mae I Pool 7% 10/15/2030  | 151 | 155 |
| Ginnie Mae I Pool 7% 10/15/2031  | 1012 | 1052 |
| Ginnie Mae I Pool 7% 10/15/2031  | 650 | 676 |
| Ginnie Mae I Pool 7% 10/15/2031  | 240 | 248 |
| Ginnie Mae I Pool 7% 10/15/2031  | 206 | 209 |
| Ginnie Mae I Pool 7% 10/15/2031  | 200 | 208 |
| Ginnie Mae I Pool 7% 10/15/2031  | 176 | 183 |
| Ginnie Mae I Pool 7% 10/15/2031  | 67 | 69 |
| Ginnie Mae I Pool 7% 10/15/2032  | 1432 | 1483 |
| Ginnie Mae I Pool 7% 11/15/2028  | 276 | 281 |
| Ginnie Mae I Pool 7% 11/15/2028  | 207 | 209 |
| Ginnie Mae I Pool 7% 11/15/2029  | 488 | 501 |
| Ginnie Mae I Pool 7% 11/15/2031  | 574 | 595 |
| Ginnie Mae I Pool 7% 11/15/2031  | 551 | 565 |
| Ginnie Mae I Pool 7% 11/15/2032  | 533 | 551 |
| Ginnie Mae I Pool 7% 12/15/2027  | 95 | 96 |
| Ginnie Mae I Pool 7% 12/15/2027  | 15 | 15 |
| Ginnie Mae I Pool 7% 12/15/2027  | 13 | 13 |
| Ginnie Mae I Pool 7% 12/15/2028  | 2492 | 2542 |
| Ginnie Mae I Pool 7% 12/15/2028  | 393 | 401 |
| Ginnie Mae I Pool 7% 12/15/2028  | 186 | 189 |
| Ginnie Mae I Pool 7% 12/15/2028  | 170 | 173 |
| Ginnie Mae I Pool 7% 12/15/2028  | 131 | 133 |
| Ginnie Mae I Pool 7% 12/15/2028  | 55 | 56 |
| Ginnie Mae I Pool 7% 12/15/2028  | 27 | 27 |
| Ginnie Mae I Pool 7% 12/15/2030  | 263 | 272 |
| Ginnie Mae I Pool 7% 12/15/2031  | 953 | 988 |
| Ginnie Mae I Pool 7% 12/15/2031  | 454 | 472 |
| Ginnie Mae I Pool 7% 12/15/2031  | 44 | 45 |
| Ginnie Mae I Pool 7% 2/15/2028  | 2102 | 2130 |
| Ginnie Mae I Pool 7% 2/15/2028  | 661 | 668 |
| Ginnie Mae I Pool 7% 2/15/2028  | 276 | 280 |
| Ginnie Mae I Pool 7% 2/15/2028  | 70 | 71 |
| Ginnie Mae I Pool 7% 2/15/2028  | 67 | 67 |
| Ginnie Mae I Pool 7% 2/15/2028  | 65 | 65 |
| Ginnie Mae I Pool 7% 2/15/2028  | 60 | 61 |
| Ginnie Mae I Pool 7% 2/15/2028  | 50 | 50 |
| Ginnie Mae I Pool 7% 2/15/2028  | 26 | 26 |
| Ginnie Mae I Pool 7% 2/15/2028  | 20 | 20 |
| Ginnie Mae I Pool 7% 2/15/2028  | 14 | 14 |
| Ginnie Mae I Pool 7% 2/15/2029  | 38 | 38 |
| Ginnie Mae I Pool 7% 2/15/2032  | 1496 | 1557 |
| Ginnie Mae I Pool 7% 2/15/2032  | 884 | 903 |
| Ginnie Mae I Pool 7% 2/15/2032  | 415 | 431 |
| Ginnie Mae I Pool 7% 2/15/2032  | 149 | 154 |
| Ginnie Mae I Pool 7% 2/15/2032  | 109 | 111 |
| Ginnie Mae I Pool 7% 2/15/2032  | 99 | 103 |
| Ginnie Mae I Pool 7% 3/15/2028  | 288 | 292 |
| Ginnie Mae I Pool 7% 3/15/2028  | 170 | 172 |
| Ginnie Mae I Pool 7% 3/15/2028  | 97 | 98 |
| Ginnie Mae I Pool 7% 3/15/2028  | 96 | 98 |
| Ginnie Mae I Pool 7% 3/15/2028  | 76 | 77 |
| Ginnie Mae I Pool 7% 3/15/2028  | 73 | 74 |
| Ginnie Mae I Pool 7% 3/15/2028  | 62 | 62 |
| Ginnie Mae I Pool 7% 3/15/2028  | 42 | 42 |
| Ginnie Mae I Pool 7% 3/15/2028  | 30 | 31 |
| Ginnie Mae I Pool 7% 3/15/2028  | 17 | 17 |
| Ginnie Mae I Pool 7% 3/15/2029  | 236 | 240 |
| Ginnie Mae I Pool 7% 3/15/2029  | 108 | 110 |
| Ginnie Mae I Pool 7% 3/15/2029  | 61 | 62 |
| Ginnie Mae I Pool 7% 3/15/2029  | 27 | 28 |
| Ginnie Mae I Pool 7% 3/15/2029  | 18 | 18 |
| Ginnie Mae I Pool 7% 3/15/2029  | 15 | 16 |
| Ginnie Mae I Pool 7% 3/15/2031  | 94 | 97 |
| Ginnie Mae I Pool 7% 3/15/2031  | 91 | 94 |
| Ginnie Mae I Pool 7% 3/15/2031  | 67 | 69 |
| Ginnie Mae I Pool 7% 3/15/2031  | 28 | 29 |
| Ginnie Mae I Pool 7% 3/15/2032  | 590 | 615 |
| Ginnie Mae I Pool 7% 3/15/2032  | 257 | 267 |
| Ginnie Mae I Pool 7% 3/15/2032  | 207 | 215 |
| Ginnie Mae I Pool 7% 3/15/2032  | 64 | 66 |
| Ginnie Mae I Pool 7% 3/15/2032  | 48 | 50 |
| Ginnie Mae I Pool 7% 3/15/2032  | 37 | 38 |
| Ginnie Mae I Pool 7% 4/15/2028  | 1441 | 1462 |
| Ginnie Mae I Pool 7% 4/15/2028  | 214 | 217 |
| Ginnie Mae I Pool 7% 4/15/2028  | 156 | 158 |
| Ginnie Mae I Pool 7% 4/15/2028  | 98 | 99 |
| Ginnie Mae I Pool 7% 4/15/2028  | 75 | 76 |
| Ginnie Mae I Pool 7% 4/15/2028  | 59 | 60 |
| Ginnie Mae I Pool 7% 4/15/2028  | 36 | 36 |
| Ginnie Mae I Pool 7% 4/15/2028  | 25 | 26 |
| Ginnie Mae I Pool 7% 4/15/2028  | 17 | 17 |
| Ginnie Mae I Pool 7% 4/15/2029  | 160 | 163 |
| Ginnie Mae I Pool 7% 4/15/2029  | 56 | 57 |
| Ginnie Mae I Pool 7% 4/15/2031  | 284 | 294 |
| Ginnie Mae I Pool 7% 4/15/2031  | 163 | 169 |
| Ginnie Mae I Pool 7% 4/15/2031  | 68 | 70 |
| Ginnie Mae I Pool 7% 4/15/2032  | 931 | 970 |
| Ginnie Mae I Pool 7% 4/15/2032  | 477 | 496 |
| Ginnie Mae I Pool 7% 4/15/2032  | 446 | 462 |
| Ginnie Mae I Pool 7% 4/15/2032  | 332 | 346 |
| Ginnie Mae I Pool 7% 4/15/2032  | 140 | 145 |
| Ginnie Mae I Pool 7% 4/15/2032  | 125 | 129 |
| Ginnie Mae I Pool 7% 4/15/2032  | 117 | 121 |
| Ginnie Mae I Pool 7% 4/15/2032  | 84 | 85 |
| Ginnie Mae I Pool 7% 4/15/2032  | 74 | 77 |
| Ginnie Mae I Pool 7% 4/15/2032  | 33 | 33 |
| Ginnie Mae I Pool 7% 4/20/2032  | 15193 | 15841 |
| Ginnie Mae I Pool 7% 5/15/2027  | 2 | 2 |
| Ginnie Mae I Pool 7% 5/15/2028  | 647 | 655 |
| Ginnie Mae I Pool 7% 5/15/2028  | 264 | 267 |
| Ginnie Mae I Pool 7% 5/15/2028  | 68 | 69 |
| Ginnie Mae I Pool 7% 5/15/2028  | 58 | 59 |
| Ginnie Mae I Pool 7% 5/15/2028  | 7 | 7 |
| Ginnie Mae I Pool 7% 5/15/2028  | 6 | 6 |
| Ginnie Mae I Pool 7% 5/15/2029  | 182 | 186 |
| Ginnie Mae I Pool 7% 5/15/2029  | 109 | 112 |
| Ginnie Mae I Pool 7% 5/15/2031  | 284 | 291 |
| Ginnie Mae I Pool 7% 5/15/2031  | 176 | 180 |
| Ginnie Mae I Pool 7% 5/15/2031  | 146 | 151 |
| Ginnie Mae I Pool 7% 5/15/2031  | 69 | 70 |
| Ginnie Mae I Pool 7% 5/15/2032  | 6398 | 6664 |
| Ginnie Mae I Pool 7% 5/15/2032  | 740 | 769 |
| Ginnie Mae I Pool 7% 5/15/2032  | 342 | 354 |
| Ginnie Mae I Pool 7% 5/15/2032  | 261 | 269 |
| Ginnie Mae I Pool 7% 5/15/2032  | 165 | 168 |
| Ginnie Mae I Pool 7% 5/15/2032  | 135 | 138 |
| Ginnie Mae I Pool 7% 5/15/2032  | 128 | 133 |
| Ginnie Mae I Pool 7% 5/15/2032  | 101 | 105 |
| Ginnie Mae I Pool 7% 6/15/2028  | 815 | 827 |
| Ginnie Mae I Pool 7% 6/15/2028  | 476 | 482 |
| Ginnie Mae I Pool 7% 6/15/2028  | 366 | 372 |
| Ginnie Mae I Pool 7% 6/15/2028  | 305 | 309 |
| Ginnie Mae I Pool 7% 6/15/2028  | 272 | 276 |
| Ginnie Mae I Pool 7% 6/15/2028  | 213 | 216 |
| Ginnie Mae I Pool 7% 6/15/2028  | 185 | 187 |
| Ginnie Mae I Pool 7% 6/15/2028  | 166 | 168 |
| Ginnie Mae I Pool 7% 6/15/2028  | 110 | 112 |
| Ginnie Mae I Pool 7% 6/15/2028  | 60 | 61 |
| Ginnie Mae I Pool 7% 6/15/2028  | 48 | 49 |
| Ginnie Mae I Pool 7% 6/15/2028  | 39 | 40 |
| Ginnie Mae I Pool 7% 6/15/2028  | 27 | 27 |
| Ginnie Mae I Pool 7% 6/15/2028  | 19 | 19 |
| Ginnie Mae I Pool 7% 6/15/2028  | 7 | 7 |
| Ginnie Mae I Pool 7% 6/15/2029  | 37 | 38 |
| Ginnie Mae I Pool 7% 6/15/2031  | 860 | 891 |
| Ginnie Mae I Pool 7% 6/15/2031  | 458 | 475 |
| Ginnie Mae I Pool 7% 6/15/2031  | 386 | 400 |
| Ginnie Mae I Pool 7% 6/15/2032  | 12999 | 13528 |
| Ginnie Mae I Pool 7% 6/15/2032  | 8233 | 8578 |
| Ginnie Mae I Pool 7% 6/15/2032  | 3408 | 3550 |
| Ginnie Mae I Pool 7% 6/15/2032  | 3311 | 3447 |
| Ginnie Mae I Pool 7% 6/15/2032  | 3146 | 3258 |
| Ginnie Mae I Pool 7% 6/15/2032  | 2087 | 2176 |
| Ginnie Mae I Pool 7% 6/15/2032  | 2012 | 2089 |
| Ginnie Mae I Pool 7% 6/15/2032  | 1168 | 1218 |
| Ginnie Mae I Pool 7% 6/15/2032  | 766 | 794 |
| Ginnie Mae I Pool 7% 6/15/2032  | 584 | 606 |
| Ginnie Mae I Pool 7% 6/15/2032  | 444 | 462 |
| Ginnie Mae I Pool 7% 6/15/2032  | 320 | 331 |
| Ginnie Mae I Pool 7% 6/15/2032  | 304 | 315 |
| Ginnie Mae I Pool 7% 6/15/2032  | 154 | 159 |
| Ginnie Mae I Pool 7% 6/15/2032  | 124 | 128 |
| Ginnie Mae I Pool 7% 6/15/2032  | 107 | 111 |
| Ginnie Mae I Pool 7% 6/15/2032  | 93 | 97 |
| Ginnie Mae I Pool 7% 6/15/2032  | 21 | 21 |
| Ginnie Mae I Pool 7% 7/15/2028  | 524 | 532 |
| Ginnie Mae I Pool 7% 7/15/2028  | 352 | 357 |
| Ginnie Mae I Pool 7% 7/15/2028  | 185 | 188 |
| Ginnie Mae I Pool 7% 7/15/2028  | 171 | 174 |
| Ginnie Mae I Pool 7% 7/15/2028  | 146 | 149 |
| Ginnie Mae I Pool 7% 7/15/2028  | 98 | 100 |
| Ginnie Mae I Pool 7% 7/15/2028  | 78 | 79 |
| Ginnie Mae I Pool 7% 7/15/2028  | 77 | 78 |
| Ginnie Mae I Pool 7% 7/15/2028  | 38 | 38 |
| Ginnie Mae I Pool 7% 7/15/2028  | 35 | 35 |
| Ginnie Mae I Pool 7% 7/15/2028  | 31 | 32 |
| Ginnie Mae I Pool 7% 7/15/2028  | 29 | 29 |
| Ginnie Mae I Pool 7% 7/15/2028  | 27 | 27 |
| Ginnie Mae I Pool 7% 7/15/2028  | 14 | 14 |
| Ginnie Mae I Pool 7% 7/15/2028  | 13 | 13 |
| Ginnie Mae I Pool 7% 7/15/2029  | 360 | 367 |
| Ginnie Mae I Pool 7% 7/15/2029  | 165 | 168 |
| Ginnie Mae I Pool 7% 7/15/2029  | 118 | 120 |
| Ginnie Mae I Pool 7% 7/15/2029  | 80 | 82 |
| Ginnie Mae I Pool 7% 7/15/2029  | 12 | 12 |
| Ginnie Mae I Pool 7% 7/15/2030  | 548 | 560 |
| Ginnie Mae I Pool 7% 7/15/2031  | 1633 | 1691 |
| Ginnie Mae I Pool 7% 7/15/2031  | 638 | 662 |
| Ginnie Mae I Pool 7% 7/15/2031  | 398 | 412 |
| Ginnie Mae I Pool 7% 7/15/2031  | 252 | 259 |
| Ginnie Mae I Pool 7% 7/15/2031  | 160 | 165 |
| Ginnie Mae I Pool 7% 7/15/2032  | 4854 | 5052 |
| Ginnie Mae I Pool 7% 7/15/2032  | 2153 | 2215 |
| Ginnie Mae I Pool 7% 7/15/2032  | 1078 | 1124 |
| Ginnie Mae I Pool 7% 7/15/2032  | 759 | 787 |
| Ginnie Mae I Pool 7% 7/15/2032  | 324 | 338 |
| Ginnie Mae I Pool 7% 7/15/2032  | 249 | 257 |
| Ginnie Mae I Pool 7% 7/15/2032  | 180 | 186 |
| Ginnie Mae I Pool 7% 7/15/2032  | 108 | 113 |
| Ginnie Mae I Pool 7% 8/15/2028  | 271 | 275 |
| Ginnie Mae I Pool 7% 8/15/2029  | 28 | 29 |
| Ginnie Mae I Pool 7% 8/15/2029  | 12 | 12 |
| Ginnie Mae I Pool 7% 8/15/2031  | 156 | 162 |
| Ginnie Mae I Pool 7% 8/15/2031  | 89 | 93 |
| Ginnie Mae I Pool 7% 8/15/2031  | 83 | 86 |
| Ginnie Mae I Pool 7% 8/15/2032  | 1339 | 1387 |
| Ginnie Mae I Pool 7% 8/15/2032  | 634 | 660 |
| Ginnie Mae I Pool 7% 8/15/2032  | 246 | 253 |
| Ginnie Mae I Pool 7% 8/15/2032  | 75 | 78 |
| Ginnie Mae I Pool 7% 8/15/2032  | 34 | 35 |
| Ginnie Mae I Pool 7% 9/15/2027  | 9 | 10 |
| Ginnie Mae I Pool 7% 9/15/2028  | 748 | 761 |
| Ginnie Mae I Pool 7% 9/15/2028  | 602 | 612 |
| Ginnie Mae I Pool 7% 9/15/2028  | 366 | 372 |
| Ginnie Mae I Pool 7% 9/15/2028  | 160 | 163 |
| Ginnie Mae I Pool 7% 9/15/2028  | 113 | 114 |
| Ginnie Mae I Pool 7% 9/15/2028  | 101 | 101 |
| Ginnie Mae I Pool 7% 9/15/2028  | 80 | 81 |
| Ginnie Mae I Pool 7% 9/15/2028  | 40 | 40 |
| Ginnie Mae I Pool 7% 9/15/2028  | 24 | 24 |
| Ginnie Mae I Pool 7% 9/15/2028  | 18 | 18 |
| Ginnie Mae I Pool 7% 9/15/2028  | 16 | 16 |
| Ginnie Mae I Pool 7% 9/15/2029  | 16 | 16 |
| Ginnie Mae I Pool 7% 9/15/2030  | 1179 | 1218 |
| Ginnie Mae I Pool 7% 9/15/2031  | 4227 | 4371 |
| Ginnie Mae I Pool 7% 9/15/2031  | 1481 | 1537 |
| Ginnie Mae I Pool 7% 9/15/2031  | 613 | 636 |
| Ginnie Mae I Pool 7% 9/15/2031  | 517 | 537 |
| Ginnie Mae I Pool 7% 9/15/2031  | 380 | 394 |
| Ginnie Mae I Pool 7% 9/15/2031  | 203 | 211 |
| Ginnie Mae I Pool 7% 9/15/2031  | 151 | 157 |
| Ginnie Mae I Pool 7% 9/15/2031  | 42 | 43 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 82 | 85 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 26 | 27 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 207 | 210 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 203 | 204 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 20 | 20 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 10 | 10 |
| Ginnie Mae I Pool 7.5% 12/15/2026  | 1 | 1 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 102 | 104 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 76 | 77 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 8 | 8 |
| Ginnie Mae I Pool 7.5% 12/15/2028  | 51 | 52 |
| Ginnie Mae I Pool 7.5% 2/15/2027  | 19 | 20 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 80 | 82 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 57 | 57 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 29 | 29 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 21 | 21 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 19 | 19 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 5 | 5 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 34 | 34 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 2 | 2 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 141 | 143 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 27 | 27 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 14 | 14 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 202 | 204 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 89 | 90 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 77 | 77 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 74 | 75 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 25 | 25 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 8 | 8 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 8 | 8 |
| Ginnie Mae I Pool 7.5% 7/15/2028  | 428 | 438 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 752 | 779 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 72 | 74 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 115 | 117 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 40 | 40 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 17 | 17 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 13 | 13 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 9 | 9 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 221 | 226 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 36 | 37 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 245 | 248 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 21 | 21 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 13 | 13 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 261 | 267 |
| Ginnie Mae I Pool 7.5% 9/15/2031  | 681 | 709 |
| Ginnie Mae I Pool 8% 1/15/2028  | 150 | 153 |
| Ginnie Mae I Pool 8% 11/15/2027  | 29 | 29 |
| Ginnie Mae I Pool 8% 12/15/2027  | 147 | 149 |
| Ginnie Mae I Pool 8% 12/15/2027  | 50 | 50 |
| Ginnie Mae I Pool 8% 12/15/2027  | 38 | 38 |
| Ginnie Mae I Pool 8% 7/15/2027  | 45 | 46 |
| Ginnie Mae I Pool 8% 8/15/2027  | 13 | 13 |
| Ginnie Mae I Pool 8% 8/15/2027  | 12 | 12 |
| Ginnie Mae I Pool 8.5% 1/15/2031  | 788 | 820 |
| Ginnie Mae I Pool 8.5% 10/15/2028  | 93 | 94 |
| Ginnie Mae I Pool 8.5% 11/15/2027  | 45 | 46 |
| Ginnie Mae I Pool 8.5% 11/15/2027  | 14 | 14 |
| Ginnie Mae I Pool 8.5% 12/15/2029  | 43 | 44 |
| Ginnie Mae I Pool 8.5% 7/15/2030  | 60 | 62 |
| Ginnie Mae I Pool 8.5% 8/15/2029  | 46 | 47 |
| Ginnie Mae II Pool 2% 1/20/2051  | 230406001 | 195316596 |
| Ginnie Mae II Pool 2% 1/20/2054  | 361181 | 306260 |
| Ginnie Mae II Pool 2% 1/20/2054  | 295744 | 250773 |
| Ginnie Mae II Pool 2% 10/20/2050  | 138047712 | 116998018 |
| Ginnie Mae II Pool 2% 10/20/2051  | 11342026 | 9611161 |
| Ginnie Mae II Pool 2% 11/20/2050  | 43329597 | 36730768 |
| Ginnie Mae II Pool 2% 11/20/2051  | 3848714 | 3261376 |
| Ginnie Mae II Pool 2% 11/20/2053  | 1074831 | 911393 |
| Ginnie Mae II Pool 2% 12/20/2050  | 59051622 | 50044585 |
| Ginnie Mae II Pool 2% 12/20/2051  | 1662500 | 1408792 |
| Ginnie Mae II Pool 2% 2/20/2051  | 9824590 | 8325680 |
| Ginnie Mae II Pool 2% 2/20/2052  | 5489200 | 4651513 |
| Ginnie Mae II Pool 2% 3/1/2056 (d) | 371025000 | 314269269 |
| Ginnie Mae II Pool 2% 3/20/2051  | 2907647 | 2464830 |
| Ginnie Mae II Pool 2% 3/20/2052  | 23512777 | 19931927 |
| Ginnie Mae II Pool 2% 4/1/2056 (d) | 153725000 | 130227688 |
| Ginnie Mae II Pool 2% 4/20/2051  | 3889585 | 3296010 |
| Ginnie Mae II Pool 2% 5/20/2051  | 9403302 | 7968299 |
| Ginnie Mae II Pool 2% 6/20/2051  | 447548 | 379250 |
| Ginnie Mae II Pool 2% 6/20/2054  | 389773 | 330291 |
| Ginnie Mae II Pool 2% 7/20/2051  | 3381777 | 2865697 |
| Ginnie Mae II Pool 2% 7/20/2053  | 1200383 | 1017854 |
| Ginnie Mae II Pool 2% 7/20/2054  | 745959 | 632121 |
| Ginnie Mae II Pool 2% 8/20/2051  | 109026105 | 92388034 |
| Ginnie Mae II Pool 2% 8/20/2053  | 526571 | 446130 |
| Ginnie Mae II Pool 2% 9/20/2050  | 74461937 | 63261462 |
| Ginnie Mae II Pool 2% 9/20/2051  | 48248348 | 40885346 |
| Ginnie Mae II Pool 2.5% 1/20/2052  | 19473975 | 17190007 |
| Ginnie Mae II Pool 2.5% 11/20/2047  | 43392 | 38750 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 58966815 | 52051004 |
| Ginnie Mae II Pool 2.5% 2/20/2052  | 99449 | 87785 |
| Ginnie Mae II Pool 2.5% 3/1/2056 (d) | 355825000 | 313923119 |
| Ginnie Mae II Pool 2.5% 3/20/2052  | 2024645 | 1787347 |
| Ginnie Mae II Pool 2.5% 4/1/2056 (d) | 151150000 | 133338801 |
| Ginnie Mae II Pool 2.5% 4/20/2052  | 7794089 | 6880583 |
| Ginnie Mae II Pool 2.5% 5/20/2051  | 12569025 | 11094891 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 13731673 | 12121180 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 94046635 | 83016554 |
| Ginnie Mae II Pool 3% 1/20/2032  | 4089885 | 4022328 |
| Ginnie Mae II Pool 3% 1/20/2043  | 1048340 | 984718 |
| Ginnie Mae II Pool 3% 10/20/2031  | 1331914 | 1310658 |
| Ginnie Mae II Pool 3% 10/20/2043  | 80302 | 75243 |
| Ginnie Mae II Pool 3% 11/20/2031  | 1440599 | 1417068 |
| Ginnie Mae II Pool 3% 12/20/2031  | 2185960 | 2150668 |
| Ginnie Mae II Pool 3% 12/20/2042  | 87433 | 82124 |
| Ginnie Mae II Pool 3% 12/20/2046  | 18207289 | 16902569 |
| Ginnie Mae II Pool 3% 2/20/2031  | 170452 | 167996 |
| Ginnie Mae II Pool 3% 2/20/2050  | 6808 | 6265 |
| Ginnie Mae II Pool 3% 3/20/2031  | 341247 | 336262 |
| Ginnie Mae II Pool 3% 3/20/2050  | 11087048 | 10199012 |
| Ginnie Mae II Pool 3% 4/20/2031  | 1289460 | 1270369 |
| Ginnie Mae II Pool 3% 4/20/2052  | 145902892 | 133874599 |
| Ginnie Mae II Pool 3% 5/20/2031  | 2747742 | 2706520 |
| Ginnie Mae II Pool 3% 5/20/2051  | 22234398 | 20406248 |
| Ginnie Mae II Pool 3% 5/20/2052  | 187516515 | 172057578 |
| Ginnie Mae II Pool 3% 6/20/2050  | 185148 | 170144 |
| Ginnie Mae II Pool 3% 6/20/2051  | 5890952 | 5407140 |
| Ginnie Mae II Pool 3% 7/20/2031  | 36301 | 35743 |
| Ginnie Mae II Pool 3% 7/20/2051  | 7467567 | 6857771 |
| Ginnie Mae II Pool 3% 8/20/2031  | 423056 | 416465 |
| Ginnie Mae II Pool 3% 8/20/2042  | 12154 | 11426 |
| Ginnie Mae II Pool 3% 8/20/2051  | 8862219 | 8130229 |
| Ginnie Mae II Pool 3% 9/20/2031  | 170522 | 167833 |
| Ginnie Mae II Pool 3% 9/20/2043  | 3604 | 3376 |
| Ginnie Mae II Pool 3% 9/20/2051  | 100229 | 91951 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 38483 | 36899 |
| Ginnie Mae II Pool 3.5% 10/20/2043  | 41367 | 39694 |
| Ginnie Mae II Pool 3.5% 10/20/2045  | 2065765 | 1971556 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 276871 | 266862 |
| Ginnie Mae II Pool 3.5% 11/20/2045  | 55286 | 52766 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 217831 | 210409 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 288231 | 277814 |
| Ginnie Mae II Pool 3.5% 12/20/2043  | 42416 | 40677 |
| Ginnie Mae II Pool 3.5% 12/20/2045  | 1147059 | 1094370 |
| Ginnie Mae II Pool 3.5% 12/20/2047  | 20420 | 19572 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 194849 | 187286 |
| Ginnie Mae II Pool 3.5% 2/20/2044  | 2311 | 2215 |
| Ginnie Mae II Pool 3.5% 2/20/2046  | 711808 | 678983 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 6911 | 6641 |
| Ginnie Mae II Pool 3.5% 3/20/2044  | 16054 | 15390 |
| Ginnie Mae II Pool 3.5% 3/20/2045  | 118984 | 113725 |
| Ginnie Mae II Pool 3.5% 3/20/2046  | 11662 | 11124 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 126234 | 121290 |
| Ginnie Mae II Pool 3.5% 4/20/2045  | 113911 | 108857 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 3187830 | 3048995 |
| Ginnie Mae II Pool 3.5% 5/20/2045  | 8154 | 7791 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 45275 | 43380 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 11396 | 10919 |
| Ginnie Mae II Pool 3.5% 6/20/2043  | 293070 | 281479 |
| Ginnie Mae II Pool 3.5% 7/20/2045  | 200280 | 191256 |
| Ginnie Mae II Pool 3.5% 7/20/2047  | 9739 | 9347 |
| Ginnie Mae II Pool 3.5% 7/20/2049  | 34635147 | 33098957 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 26919 | 25844 |
| Ginnie Mae II Pool 3.5% 8/20/2045  | 82458 | 78727 |
| Ginnie Mae II Pool 3.5% 8/20/2047  | 2962223 | 2842872 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 109032 | 105248 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 1234322 | 1184470 |
| Ginnie Mae II Pool 3.5% 9/20/2045  | 33397 | 31885 |
| Ginnie Mae II Pool 3.5% 9/20/2046  | 1332782 | 1280749 |
| Ginnie Mae II Pool 4% 1/20/2041  | 478546 | 472460 |
| Ginnie Mae II Pool 4% 1/20/2042  | 53451 | 52712 |
| Ginnie Mae II Pool 4% 1/20/2045  | 1068947 | 1049459 |
| Ginnie Mae II Pool 4% 1/20/2046  | 23952 | 23474 |
| Ginnie Mae II Pool 4% 10/20/2040  | 222922 | 220120 |
| Ginnie Mae II Pool 4% 10/20/2041  | 1012246 | 998567 |
| Ginnie Mae II Pool 4% 10/20/2044  | 610046 | 599057 |
| Ginnie Mae II Pool 4% 10/20/2045  | 3781 | 3706 |
| Ginnie Mae II Pool 4% 10/20/2055  | 860847 | 828474 |
| Ginnie Mae II Pool 4% 11/20/2040  | 745981 | 736549 |
| Ginnie Mae II Pool 4% 11/20/2041  | 31597 | 31164 |
| Ginnie Mae II Pool 4% 11/20/2042  | 5574789 | 5491864 |
| Ginnie Mae II Pool 4% 11/20/2044  | 1314079 | 1290120 |
| Ginnie Mae II Pool 4% 12/20/2044  | 35625 | 34976 |
| Ginnie Mae II Pool 4% 12/20/2045  | 30926 | 30315 |
| Ginnie Mae II Pool 4% 2/20/2041  | 23787 | 23482 |
| Ginnie Mae II Pool 4% 2/20/2045  | 1133591 | 1113048 |
| Ginnie Mae II Pool 4% 3/1/2056 (d) | 20000000 | 19236718 |
| Ginnie Mae II Pool 4% 3/20/2041  | 67070 | 66209 |
| Ginnie Mae II Pool 4% 3/20/2047  | 2235061 | 2196760 |
| Ginnie Mae II Pool 4% 4/20/2042  | 192243 | 189518 |
| Ginnie Mae II Pool 4% 4/20/2047  | 16744563 | 16457620 |
| Ginnie Mae II Pool 4% 5/20/2046  | 807411 | 791104 |
| Ginnie Mae II Pool 4% 6/20/2042  | 2772 | 2732 |
| Ginnie Mae II Pool 4% 6/20/2045  | 1431189 | 1404143 |
| Ginnie Mae II Pool 4% 6/20/2055  | 31734 | 30540 |
| Ginnie Mae II Pool 4% 7/20/2033  | 942 | 936 |
| Ginnie Mae II Pool 4% 7/20/2044  | 78438 | 77051 |
| Ginnie Mae II Pool 4% 7/20/2045  | 6076262 | 5958848 |
| Ginnie Mae II Pool 4% 8/20/2041  | 7977 | 7870 |
| Ginnie Mae II Pool 4% 8/20/2043  | 113278 | 111464 |
| Ginnie Mae II Pool 4% 8/20/2044  | 85172 | 83657 |
| Ginnie Mae II Pool 4% 8/20/2045  | 1672338 | 1639673 |
| Ginnie Mae II Pool 4% 8/20/2048  | 2739827 | 2684314 |
| Ginnie Mae II Pool 4% 9/20/2040  | 301640 | 297841 |
| Ginnie Mae II Pool 4% 9/20/2045  | 3574 | 3504 |
| Ginnie Mae II Pool 4.5% 1/20/2041  | 65671 | 66443 |
| Ginnie Mae II Pool 4.5% 1/20/2045  | 20319 | 20543 |
| Ginnie Mae II Pool 4.5% 1/20/2055  | 4004980 | 3963402 |
| Ginnie Mae II Pool 4.5% 10/20/2039  | 10082 | 10024 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 141984 | 141154 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 14045 | 14210 |
| Ginnie Mae II Pool 4.5% 10/20/2044  | 17438 | 17630 |
| Ginnie Mae II Pool 4.5% 11/20/2039  | 22315 | 22576 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 59678 | 59292 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 35564 | 35982 |
| Ginnie Mae II Pool 4.5% 11/20/2041  | 8459 | 8559 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 174064960 | 172339524 |
| Ginnie Mae II Pool 4.5% 12/20/2039  | 56183 | 55869 |
| Ginnie Mae II Pool 4.5% 12/20/2040  | 28475 | 28292 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 252976 | 255952 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 2451 | 2436 |
| Ginnie Mae II Pool 4.5% 2/20/2042  | 11217 | 11349 |
| Ginnie Mae II Pool 4.5% 2/20/2055  | 6769369 | 6692747 |
| Ginnie Mae II Pool 4.5% 3/1/2056 (d) | 4800000 | 4741896 |
| Ginnie Mae II Pool 4.5% 3/20/2036  | 4913 | 4966 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 17144 | 17346 |
| Ginnie Mae II Pool 4.5% 3/20/2046  | 49911 | 50462 |
| Ginnie Mae II Pool 4.5% 4/1/2056 (d) | 4800000 | 4736084 |
| Ginnie Mae II Pool 4.5% 4/20/2035  | 102500 | 103595 |
| Ginnie Mae II Pool 4.5% 4/20/2040  | 26701 | 26540 |
| Ginnie Mae II Pool 4.5% 4/20/2041  | 142283 | 143956 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 18145 | 18358 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 725001 | 733529 |
| Ginnie Mae II Pool 4.5% 5/20/2042  | 149637 | 151397 |
| Ginnie Mae II Pool 4.5% 5/20/2043  | 4328 | 4379 |
| Ginnie Mae II Pool 4.5% 5/20/2046  | 27882 | 28189 |
| Ginnie Mae II Pool 4.5% 6/20/2033  | 3544 | 3575 |
| Ginnie Mae II Pool 4.5% 6/20/2039  | 11093 | 11034 |
| Ginnie Mae II Pool 4.5% 6/20/2040  | 25874 | 25732 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 474008 | 479583 |
| Ginnie Mae II Pool 4.5% 6/20/2043  | 8926 | 9031 |
| Ginnie Mae II Pool 4.5% 6/20/2044  | 18028 | 18238 |
| Ginnie Mae II Pool 4.5% 7/20/2039  | 2150 | 2143 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 28058 | 28387 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 2276 | 2263 |
| Ginnie Mae II Pool 4.5% 8/20/2040  | 3117 | 3154 |
| Ginnie Mae II Pool 4.5% 9/20/2039  | 41714 | 42202 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 155468 | 157296 |
| Ginnie Mae II Pool 4.5% 9/20/2046  | 7222 | 7306 |
| Ginnie Mae II Pool 5% 1/20/2054  | 768434 | 775233 |
| Ginnie Mae II Pool 5% 1/20/2055  | 88014616 | 88435714 |
| Ginnie Mae II Pool 5% 11/20/2054  | 74356378 | 74712128 |
| Ginnie Mae II Pool 5% 12/20/2054  | 13322025 | 13385763 |
| Ginnie Mae II Pool 5% 12/20/2054  | 4043720 | 4082022 |
| Ginnie Mae II Pool 5% 2/20/2054  | 45439 | 45841 |
| Ginnie Mae II Pool 5% 3/1/2056 (d) | 35075000 | 35198310 |
| Ginnie Mae II Pool 5% 4/1/2056 (d) | 35075000 | 35150355 |
| Ginnie Mae II Pool 5% 6/20/2048  | 2490895 | 2552630 |
| Ginnie Mae II Pool 5% 9/20/2033  | 101111 | 103220 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 3210574 | 3309253 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 268583 | 272453 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 11066865 | 11233231 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 3904651 | 4034425 |
| Ginnie Mae II Pool 5.5% 2/20/2055  | 854450 | 866494 |
| Ginnie Mae II Pool 5.5% 3/1/2056 (d) | 1742425000 | 1764860290 |
| Ginnie Mae II Pool 5.5% 4/1/2056 (d) | 1269775000 | 1284785264 |
| Ginnie Mae II Pool 5.5% 7/20/2055  | 6003816 | 6086565 |
| Ginnie Mae II Pool 5.5% 8/20/2054  | 12231141 | 12445587 |
| Ginnie Mae II Pool 6% 11/20/2031  | 2769 | 2863 |
| Ginnie Mae II Pool 6% 12/20/2054  | 39308771 | 40205011 |
| Ginnie Mae II Pool 6% 3/1/2056 (d) | 1151900000 | 1175266752 |
| Ginnie Mae II Pool 6% 4/1/2056 (d) | 453500000 | 462380573 |
| Ginnie Mae II Pool 6% 5/20/2032  | 13021 | 13500 |
| Ginnie Mae II Pool 6.5% 1/20/2032  | 119 | 123 |
| Ginnie Mae II Pool 6.5% 11/20/2031  | 493 | 513 |
| Ginnie Mae II Pool 6.5% 3/1/2056 (d) | 145150000 | 150846629 |
| Ginnie Mae II Pool 6.5% 3/20/2031  | 606 | 629 |
| Ginnie Mae II Pool 6.5% 4/1/2056 (d) | 57500000 | 59684799 |
| Ginnie Mae II Pool 6.5% 4/20/2031  | 74 | 76 |
| Ginnie Mae II Pool 6.5% 6/20/2031  | 71 | 73 |
| Ginnie Mae II Pool 6.5% 7/20/2031  | 89 | 92 |
| Ginnie Mae II Pool 6.5% 8/20/2031  | 85 | 88 |
| Ginnie Mae II Pool 7% 2/20/2032  | 4553 | 4753 |
| Ginnie Mae II Pool 7% 3/20/2032  | 2343 | 2448 |
| Uniform Mortgage Backed Securities 2% 3/1/2056 (d) | 1153550000 | 955328698 |
| Uniform Mortgage Backed Securities 2% 4/1/2056 (d) | 671600000 | 556247462 |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 (d) | 24275000 | 21021582 |
| Uniform Mortgage Backed Securities 3% 3/1/2056 (d) | 38850000 | 35130416 |
| Uniform Mortgage Backed Securities 3.5% 3/1/2056 (d) | 64100000 | 60409244 |
| Uniform Mortgage Backed Securities 4% 3/1/2056 (d) | 84925000 | 82546438 |
| Uniform Mortgage Backed Securities 4.5% 3/1/2056 (d) | 9225000 | 9121939 |
| Uniform Mortgage Backed Securities 4.5% 4/1/2056 (d) | 3800000 | 3754577 |
| Uniform Mortgage Backed Securities 5% 3/1/2041 (d) | 741475000 | 752741935 |
| Uniform Mortgage Backed Securities 5% 3/1/2056 (d) | 6150000 | 6177866 |
| Uniform Mortgage Backed Securities 5% 4/1/2041 (d) | 488700000 | 495839565 |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 (d) | 245950000 | 249908270 |
| Uniform Mortgage Backed Securities 6% 3/1/2056 (d) | 848350000 | 870188395 |
| Uniform Mortgage Backed Securities 6% 4/1/2056 (d) | 30600000 | 31384128 |
| Uniform Mortgage Backed Securities 6.5% 3/1/2056 (d) | 124100000 | 128874946 |
| TOTAL UNITED STATES |  | 20859139832 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $20,850,827,096) |  | <br> **20859139832** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 14.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 14.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 14.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 14.1%** |
|  | Yield (%) (y) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 2.25% 2/15/2052  | 2.99 to 3.67 | 70500000 | 44599512 |
| US Treasury Bonds 2.25% 8/15/2046  | 4.78 to 4.92 | 830000 | 567804 |
| US Treasury Bonds 2.375% 5/15/2051  | 2.35 to 2.40 | 488726000 | 320840985 |
| US Treasury Bonds 2.875% 5/15/2052  | 2.96 to 3.67 | 409400000 | 297486670 |
| US Treasury Bonds 3.625% 2/15/2053  | 3.73 to 3.90 | 244816000 | 205511555 |
| US Treasury Bonds 3.625% 5/15/2053  | 4.31 | 2100000 | 1761785 |
| US Treasury Bonds 4% 11/15/2052  | 4.95 to 5.00 | 177678000 | 159632578 |
| US Treasury Bonds 4.125% 8/15/2044  | 4.70 | 1300000 | 1231141 |
| US Treasury Bonds 4.125% 8/15/2053 (h) | 4.36 to 5.10 | 424900000 | 389795956 |
| US Treasury Bonds 4.25% 2/15/2054  | 4.52 to 4.79 | 166600000 | 156063851 |
| US Treasury Bonds 4.25% 8/15/2054  | 4.51 to 4.64 | 152050000 | 142463722 |
| US Treasury Bonds 4.375% 8/15/2043  | 5.28 | 358000 | 352140 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.56 to 4.82 | 75198700 | 73465605 |
| US Treasury Bonds 4.5% 2/15/2044  | 4.45 to 4.72 | 2975000 | 2965587 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.59 to 5.12 | 170870000 | 172478580 |
| US Treasury Bonds 4.625% 11/15/2045  | 4.61 to 4.79 | 21966000 | 22110152 |
| US Treasury Bonds 4.625% 11/15/2055  | 4.72 to 4.93 | 197297700 | 196958595 |
| US Treasury Bonds 4.625% 2/15/2055  | 4.78 to 4.95 | 155995900 | 155581544 |
| US Treasury Bonds 4.625% 5/15/2044  | 4.57 to 4.72 | 1535000 | 1552449 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.55 to 4.65 | 54200000 | 54026391 |
| US Treasury Bonds 4.75% 11/15/2053  | 4.77 to 4.79 | 120000000 | 121940626 |
| US Treasury Bonds 4.75% 2/15/2056  | 4.63 to 4.86 | 46700000 | 47590219 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.91 to 5.00 | 104793100 | 106647446 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.94 to 4.98 | 183340000 | 186691684 |
| US Treasury Bonds 4.875% 8/15/2045  | 4.56 to 4.87 | 37948000 | 39471849 |
| US Treasury Bonds 5% 5/15/2045  | 4.89 | 17000000 | 17970859 |
| US Treasury Bonds 6.25% 5/15/2030 (g) | 4.41 to 4.46 | 5440000 | 6024588 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.47 to 2.67 | 59522022 | 58690446 |
| US Treasury Notes 2.75% 8/15/2032 (f) | 4.00 to 4.16 | 114019500 | 107931037 |
| US Treasury Notes 3.375% 5/15/2033  | 3.82 to 3.97 | 221200000 | 216058828 |
| US Treasury Notes 3.5% 1/15/2029  | 3.52 | 19980000 | 20040877 |
| US Treasury Notes 3.5% 1/31/2030  | 3.85 to 4.12 | 71800000 | 71906578 |
| US Treasury Notes 3.5% 11/15/2028  | 3.47 to 3.63 | 127797300 | 128161722 |
| US Treasury Notes 3.5% 2/15/2029  | 3.39 to 3.56 | 190555700 | 191151187 |
| US Treasury Notes 3.5% 2/15/2033  | 3.91 to 4.34 | 260524000 | 256951971 |
| US Treasury Notes 3.5% 2/28/2031  | 3.52 | 130465000 | 130241530 |
| US Treasury Notes 3.5% 4/30/2030  | 3.75 | 143600000 | 143723407 |
| US Treasury Notes 3.625% 12/31/2030  | 3.85 | 67600000 | 67911594 |
| US Treasury Notes 3.625% 3/31/2030  | 3.46 to 3.75 | 77300000 | 77752930 |
| US Treasury Notes 3.625% 8/15/2028  | 3.55 to 3.60 | 153949000 | 154826990 |
| US Treasury Notes 3.625% 8/31/2030  | 3.58 to 3.74 | 216113300 | 217236076 |
| US Treasury Notes 3.625% 9/30/2031 (f) | 3.92 to 4.49 | 385800000 | 386448024 |
| US Treasury Notes 3.75% 1/31/2031  | 3.60 to 3.75 | 138400000 | 139805625 |
| US Treasury Notes 3.75% 11/30/2032  | 3.90 to 3.93 | 50000000 | 50134766 |
| US Treasury Notes 3.75% 2/28/2033  | 3.72 | 1135000 | 1136241 |
| US Treasury Notes 3.75% 5/31/2030  | 3.93 to 4.00 | 210000000 | 212190235 |
| US Treasury Notes 3.75% 8/31/2031  | 3.59 to 3.64 | 51900000 | 52325742 |
| US Treasury Notes 3.875% 12/31/2032  | 4.05 | 35000000 | 35344531 |
| US Treasury Notes 3.875% 3/15/2028  | 3.57 to 3.88 | 117825400 | 118948423 |
| US Treasury Notes 3.875% 4/30/2030  | 3.87 to 4.00 | 27500000 | 27921094 |
| US Treasury Notes 3.875% 6/30/2030  | 3.93 to 3.98 | 224000000 | 227491251 |
| US Treasury Notes 3.875% 8/15/2033  | 4.59 to 4.90 | 58884000 | 59311829 |
| US Treasury Notes 3.875% 8/15/2034  | 3.71 to 4.27 | 908940000 | 910261871 |
| US Treasury Notes 3.875% 9/30/2032  | 3.77 to 3.93 | 152259600 | 153877358 |
| US Treasury Notes 4% 1/31/2033  | 3.71 to 4.06 | 404608000 | 411562200 |
| US Treasury Notes 4% 11/15/2035  | 4.16 to 4.29 | 409350000 | 410821102 |
| US Treasury Notes 4% 2/28/2030  | 3.51 to 3.52 | 215900000 | 220167397 |
| US Treasury Notes 4% 4/30/2032  | 4.06 to 4.29 | 204580000 | 208503781 |
| US Treasury Notes 4% 6/30/2032  | 4.12 to 4.17 | 82300000 | 83849554 |
| US Treasury Notes 4% 7/31/2032  | 4.01 to 4.15 | 359120000 | 365783360 |
| US Treasury Notes 4.125% 10/31/2031  | 4.26 | 1100000 | 1129304 |
| US Treasury Notes 4.125% 11/15/2032  | 3.86 | 44733000 | 45851325 |
| US Treasury Notes 4.125% 11/30/2029  | 4.11 | 1315000 | 1345974 |
| US Treasury Notes 4.125% 11/30/2031  | 4.55 | 110000000 | 112926172 |
| US Treasury Notes 4.125% 2/15/2036  | 3.96 | 34060900 | 34513271 |
| US Treasury Notes 4.125% 3/31/2032  | 3.88 | 85700000 | 87952972 |
| US Treasury Notes 4.125% 5/31/2032  | 3.99 to 4.23 | 338481000 | 347277512 |
| US Treasury Notes 4.125% 7/31/2031  | 3.75 to 4.03 | 650725000 | 668437409 |
| US Treasury Notes 4.125% 8/31/2030  | 3.72 to 4.64 | 178534000 | 183101960 |
| US Treasury Notes 4.25% 1/15/2028  | 3.99 to 4.40 | 24242600 | 24610027 |
| US Treasury Notes 4.25% 11/15/2034  | 4.22 to 4.63 | 477146000 | 490211598 |
| US Treasury Notes 4.25% 2/28/2029  | 4.14 to 4.29 | 2300000 | 2355434 |
| US Treasury Notes 4.25% 2/28/2031  | 4.26 to 4.69 | 12000000 | 12390000 |
| US Treasury Notes 4.25% 5/15/2035  | 4.22 to 4.48 | 194731400 | 199728998 |
| US Treasury Notes 4.25% 8/15/2035  | 4.00 to 4.28 | 352699400 | 361461776 |
| US Treasury Notes 4.375% 1/31/2032  | 4.56 | 75950000 | 78955365 |
| US Treasury Notes 4.375% 12/31/2029  | 4.39 | 1400000 | 1445883 |
| US Treasury Notes 4.375% 5/15/2034  | 3.71 to 4.49 | 105436400 | 109468519 |
| US Treasury Notes 4.5% 11/15/2033  | 4.18 to 4.45 | 573600000 | 600868405 |
| US Treasury Notes 4.5% 12/31/2031  | 4.43 to 4.44 | 106500000 | 111413144 |
| US Treasury Notes 4.5% 5/31/2029  | 4.37 | 190000 | 196293 |
| US Treasury Notes 4.625% 2/15/2035  | 4.16 to 4.53 | 272085400 | 287092597 |
| US Treasury Notes 4.625% 4/30/2029  | 4.44 to 4.72 | 4210000 | 4362119 |
| US Treasury Notes 4.625% 9/30/2028  | 4.70 to 4.95 | 85074500 | 87663291 |
| US Treasury Notes 4.625% 9/30/2030  | 4.72 to 5.00 | 156000000 | 163330782 |
| US Treasury Notes 4.75% 2/15/2045  | 4.78 to 4.97 | 82030000 | 84080750 |
| US Treasury Notes 4.875% 10/31/2030  | 4.48 to 4.91 | 205200000 | 217159313 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $13,225,914,939) |  |  | **13163583623** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.5%** | &nbsp;&nbsp;**Money Market Funds - 2.5%** | &nbsp;&nbsp;**Money Market Funds - 2.5%** | &nbsp;&nbsp;**Money Market Funds - 2.5%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (z) | 3.70 | 1126284269 | 1126509526 |
| Fidelity Investments Money Market Government Portfolio - Institutional Class (v)(Aa) | 3.59 | 1231521634 | 1231521634 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $2,358,031,121) |  |  | **2358031160** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.855% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 5500000 | 29134 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.837% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 64790000 | 449727 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.03% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 81400000 | 2197825 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.8% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/2026 | 87870000 | 778401 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 3.865% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 19800000 | 114311 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.804% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/2026 | 4060000 | 38910 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 3.795% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 10/2029 | 10100000 | 281642 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.565% and receive annually a floating rate based on US SOFR Index, expiring September 2036 | 9/2026 | 88000000 | 1657380 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.53% and receive annually a floating rate based on US SOFR Index, expiring August 2034 | 8/2029 | 67400000 | 2104298 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 4.075% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 12620000 | 332418 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 3.753% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 10/2029 | 67800000 | 1944377 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.585% and receive annually a floating rate based on US SOFR Index, expiring May 2036 | 4/2026 | 12340000 | 100950 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.964% and receive annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 4000000 | 52536 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.973% and receive annually a floating rate based on US SOFR Index, expiring February 2036 | 2/2031 | 32300000 | 1021221 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 4.2285% and receive annually a floating rate based on US SOFR Index, expiring January 2036 | 1/2031 | 8000000 | 216099 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.887% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 61280000 | 1883277 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 4.19% and receive annually a floating rate based on US SOFR Index, expiring January 2036 | 1/2031 | 23140000 | 636176 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.996% and receive annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 111500000 | 1365203 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.805% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 11/2029 | 13900000 | 387299 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay a fixed rate of 4.211% and receive a floating rate based on United States Sofr Secured Overnight Finl Rate Indx, expiring January 2031 | 1/2031 | 7000000 | 190358 |
| TOTAL PUT SWAPTIONS |  |  | 15781542 |
| Call Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 4.19% and pay annually a floating rate based on US SOFR Index, expiring January 2036 | 1/2031 | 23140000 | 918309 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.565% and pay annually a floating rate based on US SOFR Index, expiring September 2036 | 9/2026 | 88000000 | 1651869 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.964% and pay annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 4000000 | 170962 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.8% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/2026 | 87870000 | 2547815 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.585% and pay annually a floating rate based on US SOFR Index, expiring May 2036 | 4/2026 | 12340000 | 143847 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.804% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/2026 | 4060000 | 120893 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.03% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 81400000 | 3030955 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.53% and pay annually a floating rate based on US SOFR Index, expiring August 2034 | 8/2029 | 67400000 | 1748870 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.887% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 61280000 | 2016363 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 3.865% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 19800000 | 628913 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.805% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 11/2029 | 13900000 | 446372 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.996% and pay annually a floating rate based on US SOFR Index, expiring January 2037 | 1/2027 | 111500000 | 4967854 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.973% and pay annually a floating rate based on US SOFR Index, expiring February 2036 | 2/2031 | 32300000 | 1118896 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 4.075% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 12620000 | 484972 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive a fixed rate of 4.211% and pay a floating rate based on United States Sofr Secured Overnight Finl Rate Indx, expiring January 2031 | 1/2031 | 7000000 | 281648 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.855% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 5500000 | 168347 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 4.2285% and pay annually a floating rate based on US SOFR Index, expiring January 2036 | 1/2031 | 8000000 | 326130 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.837% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 64790000 | 1975027 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.753% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 10/2029 | 67800000 | 2095295 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.795% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 10/2029 | 10100000 | 321550 |
| TOTAL CALL SWAPTIONS |  |  | 25164887 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $49,915,396) |  |  | <br> **40946429** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 111.2%**<br> (Cost $105,066,657,753)<br>| <br>**103999304079** |
| **NET OTHER ASSETS (LIABILITIES) - (11.2)%** (w)(x)  | **(10362071422)** |
| **NET ASSETS - 100.0%** | **93637232657** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 3/1/2056 | (410025000) | (347303435) |
| Ginnie Mae II Pool 2.5% 3/1/2056 | (151150000) | (133350606) |
| Ginnie Mae II Pool 4% 3/1/2056 | (20000000) | (19236718) |
| Ginnie Mae II Pool 4% 4/1/2056 | (10000000) | (9614453) |
| Ginnie Mae II Pool 4.5% 3/1/2056 | (4800000) | (4741896) |
| Ginnie Mae II Pool 4.5% 4/1/2056 | (4800000) | (4736084) |
| Ginnie Mae II Pool 5% 3/1/2056 | (35075000) | (35198310) |
| Ginnie Mae II Pool 5.5% 3/1/2056 | (1463950000) | (1482799674) |
| Ginnie Mae II Pool 6% 3/1/2056 | (991800000) | (1011919060) |
| Ginnie Mae II Pool 6.5% 3/1/2056 | (145150000) | (150846629) |
| Uniform Mortgage Backed Securities 2% 3/1/2056 | (768325000) | (636299182) |
| Uniform Mortgage Backed Securities 2.5% 3/1/2056 | (20225000) | (17514377) |
| Uniform Mortgage Backed Securities 2.5% 4/1/2056 | (45825000) | (39685165) |
| Uniform Mortgage Backed Securities 3% 3/1/2056 | (49100000) | (44399058) |
| Uniform Mortgage Backed Securities 3.5% 3/1/2056 | (64100000) | (60409244) |
| Uniform Mortgage Backed Securities 3.5% 4/1/2056 | (41300000) | (38905893) |
| Uniform Mortgage Backed Securities 4% 3/1/2056 | (82125000) | (79824859) |
| Uniform Mortgage Backed Securities 4.5% 3/1/2056 | (22625000) | (22372236) |
| Uniform Mortgage Backed Securities 4.5% 4/1/2056 | (3800000) | (3754578) |
| Uniform Mortgage Backed Securities 5% 3/1/2041 | (488700000) | (496125943) |
| Uniform Mortgage Backed Securities 5% 3/1/2056 | (300000) | (301359) |
| Uniform Mortgage Backed Securities 5.5% 3/1/2056 | (213075000) | (216504186) |
| Uniform Mortgage Backed Securities 6% 3/1/2056 | (601425000) | (616907003) |
| Uniform Mortgage Backed Securities 6.5% 3/1/2056 | (119200000) | (123786411) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (5596536359) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $5,580,038,752) |  | <br> **(5596536359)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 3 | 6/2026 | 235617 | (93) |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 19 | 3/2026 | 1495087 | 11832 |
| CBOT 10Y US Treasury Notes Contracts (United States) | 261 | 6/2026 | 29696906 | 219711 |
| CBOT 10Y Ultra US Treasury Notes Contracts (United States) | 679 | 6/2026 | 79241422 | 720280 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 14808 | 6/2026 | 3098342625 | 4205624 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 541 | 6/2026 | 59573398 | 353185 |
| CBOT US Treasury Long Bond Contracts (United States) | 91 | 6/2026 | 10774969 | 105428 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 1816 | 6/2026 | 220757500 | 2193706 |
| Eurex Euro-Bobl Contracts (Germany) | 6 | 3/2026 | 832744 | 6251 |
| Eurex Euro-Bund Contracts (Germany) | 11 | 3/2026 | 1692677 | 28919 |
| TMX 10Y Canadian Bond Contracts (Canada) | 54 | 6/2026 | 4862989 | 16525 |
| TOTAL LONG |  |  |  | 7861368 |
| SHORT |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | (532) | 6/2026 | (60531625) | (222719) |
| CBOT 2Y US Treasury Notes Contracts (United States) | (21) | 6/2026 | (4393922) | (6271) |
| ICE Long GILT Futures (United Kingdom) | (31) | 6/2026 | (3913683) | (56881) |
| TOTAL SHORT |  |  |  | (285871) |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **7575497** |
| The notional amount of long futures as a percentage of Net Assets is 3.6%. | The notional amount of long futures as a percentage of Net Assets is 3.6%. | The notional amount of long futures as a percentage of Net Assets is 3.6%. | The notional amount of long futures as a percentage of Net Assets is 3.6%. | The notional amount of long futures as a percentage of Net Assets is 3.6%. |
| The notional amount of short futures as a percentage of Net Assets is 0.1%. | The notional amount of short futures as a percentage of Net Assets is 0.1%. | The notional amount of short futures as a percentage of Net Assets is 0.1%. | The notional amount of short futures as a percentage of Net Assets is 0.1%. | The notional amount of short futures as a percentage of Net Assets is 0.1%. |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| CAD | 469000 | USD | 343992 | BNP Paribas SA | 3/2026 | (163) |
| EUR | 2584000 | USD | 3052867 | Goldman Sachs Bank USA | 3/2026 | 388 |
| EUR | 814000 | USD | 962419 | JPMorgan Chase Bank NA | 4/2026 | 1926 |
| EUR | 686000 | USD | 813193 | JPMorgan Chase Bank NA | 4/2026 | (490) |
| EUR | 847000 | USD | 1002828 | Royal Bank of Canada | 4/2026 | 612 |
| GBP | 103000 | USD | 139119 | BNP Paribas SA | 3/2026 | (311) |
| GBP | 1798000 | USD | 2428362 | JPMorgan Chase Bank NA | 4/2026 | (4863) |
| USD | 2314945 | AUD | 3322000 | JPMorgan Chase Bank NA | 4/2026 | (48566) |
| USD | 592464 | CAD | 806000 | BNP Paribas SA | 4/2026 | 219 |
| USD | 6253413 | CAD | 8475000 | Bank of America NA | 4/2026 | 26020 |
| USD | 162947187 | EUR | 135674000 | BNP Paribas SA | 4/2026 | 2214336 |
| USD | 337659 | EUR | 285000 | BNP Paribas SA | 4/2026 | 19 |
| USD | 3707097 | EUR | 3130000 | Goldman Sachs Bank USA | 4/2026 | (1011) |
| USD | 497740 | EUR | 421000 | JPMorgan Chase Bank NA | 4/2026 | (1018) |
| USD | 857899 | EUR | 719000 | JPMorgan Chase Bank NA | 4/2026 | 6100 |
| USD | 561994 | EUR | 474000 | JPMorgan Chase Bank NA | 4/2026 | 447 |
| USD | 546722 | GBP | 404000 | BNP Paribas SA | 4/2026 | 2177 |
| USD | 139141 | GBP | 103000 | BNP Paribas SA | 4/2026 | 308 |
| USD | 1501874 | GBP | 1102000 | Citibank NA | 4/2026 | 16504 |
| USD | 39601243 | GBP | 28776000 | Goldman Sachs Bank USA | 4/2026 | 814479 |
| USD | 182845 | GBP | 136000 | JPMorgan Chase Bank NA | 4/2026 | (467) |
| USD | 1800958 | GBP | 1319000 | JPMorgan Chase Bank NA | 4/2026 | 23096 |
| USD | 19229289 | JPY | 2923400000 | Royal Bank of Canada | 4/2026 | 419605 |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **3469347** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 3526236 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (56889) |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index |  | 12/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 19040000 | (71564) | (293564) | (365128) |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 6830000 | (25671) | (87302) | (112973) |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 2780000 | (10449) | (24024) | (34473) |
| CMBX AAA Series 13 Index |  | 12/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 17700000 | (66527) | (113758) | (180285) |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 16080000 | (60438) | (166467) | (226905) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 1370000 | 229343 | (331839) | (102496) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 250000 | 41851 | (62950) | (21099) |
| CMBX BBB- Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (3%) | Monthly |  | 1080000 | 180796 | (295683) | (114887) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 120000 | 20088 | (33188) | (13100) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 1430000 | 239387 | (412721) | (173334) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 240000 | 40177 | (65677) | (25500) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 1146000 | 191844 | (271324) | (79480) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 220000 | 36829 | (52344) | (15515) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 876000 | 146645 | (195699) | (49054) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 580000 | 97094 | (142213) | (45119) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 1100000 | 184144 | (289594) | (105450) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 450000 | 75332 | (99182) | (23850) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 700000 | 117182 | (112946) | 4236 |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 1700000 | 256932 | (250124) | 6808 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 2400000 | 192933 | (94381) | 98552 |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 16800000 | (21139) | 8424 | (12715) |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 2400000 | (3020) | 1337 | (1683) |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 2000000 | 160778 | (74861) | 85917 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 2500000 | 200972 | (93576) | 107396 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 100000 | 8039 | (3851) | 4188 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 700000 | 56272 | (26555) | 29717 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (3%) | Monthly |  | 2800000 | 225089 | (106223) | 118866 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 400000 | 32156 | (14257) | 17899 |
| CMBX BB Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (5%) | Monthly |  | 300000 | 48077 | (19570) | 28507 |
| CMBX BB Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (5%) | Monthly |  | 600000 | 96153 | (41902) | 54251 |
| CMBX BBB- Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (3%) | Monthly |  | 2000000 | 160778 | (97129) | 63649 |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 1800000 | 272046 | (283319) | (11273) |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 3300000 | 265283 | (345257) | (79974) |
| CMBX BB Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (5%) | Monthly |  | 2800000 | 448715 | (408978) | 39737 |
| CMBX BB Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly |  | 1150000 | 184294 | (165858) | 18436 |
| CMBX BB Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly |  | 2100000 | 336536 | (297032) | 39504 |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 5200000 | (6543) | (9506) | (16049) |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 4300000 | 345672 | (314199) | 31473 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 3300000 | 265283 | (233650) | 31633 |
| Aviva PLC 6.125% 11/14/2036 |  | 12/2030 | Citibank NA | (1%) | Quarterly | EUR | 2100000 | 2009 | 548 | 2557 |
| Commerzbank AG 4% 12/5/2030 |  | 12/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 1750000 | 9082 | (19929) | (10847) |
| Heidelberg Materials AG 3.75% 5/31/2032 |  | 12/2030 | JPMorgan Chase Bank NA | (5%) | Quarterly | EUR | 2130000 | (518892) | 473301 | (45591) |
| Allianz SE 2.121% 7/8/2050 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 2700000 | (24780) | 29016 | 4236 |
| CMBX AAA Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 999 | 5 | (9) | (4) |
| UniCredit SpA 5.375% 4/16/2034 |  | 12/2030 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 1900000 | (9811) | (11320) | (21131) |
| Societe Generale SA 5.25% 9/6/2032 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 1650000 | (1926) | (21701) | (23627) |
| CMBX AAA Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (0.5%) | Monthly |  | 6091624 | 32475 | (57119) | (24644) |
| CMBX AAA Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 22500000 | (28312) | 3809 | (24503) |
| Deutsche Bank AG 5.625% 5/19/2031 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 1600000 | 15045 | (26486) | (11441) |
| Generali 4.125% 5/4/2026 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 2150000 | (8234) | 5627 | (2607) |
| Intesa Sanpaolo SpA 6.184% 2/20/2034 |  | 12/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 1800000 | (14590) | 3768 | (10822) |
| BMW Finance NV 0.75% 7/13/2026 |  | 12/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 3550000 | (109183) | 82287 | (26896) |
| CMBX BBB- Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (3%) | Monthly |  | 1700000 | 136661 | (137913) | (1252) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly |  | 800000 | 133923 | (135649) | (1726) |
| CMBX AAA Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 5792036 | 30878 | (50654) | (19776) |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 9500000 | (11954) | 30127 | 18173 |
| CMBX AAA Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (0.5%) | Monthly |  | 5392586 | 28748 | (8377) | 20371 |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 32100000 | (40391) | 100769 | 60378 |
| CMBX AAA Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (0.5%) | Monthly |  | 11983524 | 63885 | (17618) | 46267 |
| BMW Finance NV 0.75% 7/13/2026 |  | 6/2031 | BNP Paribas SA | (1%) | Quarterly | EUR | 880000 | (25730) | 25024 | (706) |
| Generali 4.125% 5/4/2026 |  | 6/2031 | BNP Paribas SA | (1%) | Quarterly | EUR | 410000 | 1387 | 953 | 2340 |
| Deutsche Bank AG 5.625% 5/19/2031 |  | 6/2031 | BNP Paribas SA | (1%) | Quarterly | EUR | 410000 | 7685 | (5196) | 2489 |
| Intesa Sanpaolo SpA 6.184% 2/20/2034 |  | 6/2031 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 760000 | (602) | 1324 | 722 |
| UniCredit SpA 5.375% 4/16/2034 |  | 6/2031 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 410000 | 1137 | (1188) | (51) |
| Societe Generale SA 5.25% 9/6/2032 |  | 6/2031 | BNP Paribas SA | (1%) | Quarterly | EUR | 615000 | 4200 | (2137) | 2063 |
| Commerzbank AG 4% 1/21/2038 |  | 6/2031 | Citibank NA | (1%) | Quarterly | EUR | 410000 | 5815 | (2844) | 2971 |
| Aviva PLC 6.125% 11/14/2036 |  | 6/2031 | Citibank NA | (1%) | Quarterly | EUR | 380000 | 3119 | 110 | 3229 |
| Allianz SE 3.099% 7/6/2047 |  | 6/2031 | BNP Paribas SA | (1%) | Quarterly | EUR | 290000 | (1246) | 3559 | 2313 |
| Heidelberg Materials AG 3.75% 5/31/2032 |  | 6/2031 | BNP Paribas SA | (5%) | Quarterly | EUR | 480000 | (124426) | 121096 | (3330) |
| CMBX AAA Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 27500000 | (34603) | 68666 | 34063 |
| CMBX AAA Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (0.5%) | Monthly |  | 0 | 0 | 1 | 1 |
| CMBX AAA Series 19 Index |  | 12/2058 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly |  | 45400000 | 19286 | 58229 | 77515 |
| CMBX BBB- Series 19 Index |  | 12/2058 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 600000 | 48228 | (42919) | 5309 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 1200000 | 96467 | (91313) | 5154 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly |  | 2350000 | 188914 | (178821) | 10093 |
| CMBX BBB- Series 19 Index |  | 12/2058 | JPMorgan Securities LLC | (3%) | Monthly |  | 2000000 | 160761 | (151875) | 8886 |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  |  | 4926399 | (5875796) | (949397) |
| Sell Protection |  |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 29580000 | 111179 | 646216 | 757395 |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 32850000 | 123470 | 738042 | 861512 |
| CMBX AAA Series 15 Index | NR | 11/2064 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 5642242 | (2408) | 144185 | 141777 |
| CMBX AAA Series 12 Index | NR | 8/2061 | JPMorgan Securities LLC | 0.5% | Monthly |  | 2000000 | 6907 | 8298 | 15205 |
| CMBX AAA Series 15 Index | NR | 11/2064 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 10405693 | (4441) | 99653 | 95212 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 5400000 | (63438) | 116263 | 52825 |
| CMBX AAA Series 15 Index | NR | 11/2064 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 7439771 | (3175) | 97630 | 94455 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 23400000 | (274896) | 561039 | 286143 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1300000 | (15272) | 31147 | 15875 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 700000 | (8223) | 13961 | 5738 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 6000000 | (70486) | 121047 | 50561 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 11200000 | (131574) | 186080 | 54506 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 500000 | (5874) | 7846 | 1972 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 700000 | (8223) | 10774 | 2551 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 7050000 | (82821) | 108508 | 25687 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 100000 | (1175) | 1314 | 139 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 22300000 | (261974) | 341576 | 79602 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 4300000 | (50515) | 78646 | 28131 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 1400000 | (16447) | 24879 | 8432 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 11300000 | (132749) | 273024 | 140275 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 7100000 | (83409) | 189277 | 105868 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 3000000 | (35243) | 90087 | 54844 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 2900000 | (34068) | 48848 | 14780 |
| CMBX AAA Series 16 Index | NR | 4/2065 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 999 | (5) | 12 | 7 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 8200000 | (96331) | 138222 | 41891 |
| CMBX BBB- Series 17 Index | NR | 12/2056 | JPMorgan Securities LLC | 3% | Monthly |  | 2800000 | (372492) | 354883 | (17609) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 50000000 | (587385) | 671790 | 84405 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 4100000 | (48166) | 52717 | 4551 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 3400000 | (39942) | 38102 | (1840) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 6500000 | (76360) | 73581 | (2779) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 10000000 | (117477) | 109826 | (7651) |
| CMBX BB Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 5% | Monthly |  | 2500000 | (508237) | 491043 | (17194) |
| CMBX AAA Series 17 Index | NR | 12/2056 | JPMorgan Securities LLC | 0.5% | Monthly |  | 3000000 | (35243) | 32826 | (2417) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 3000000 | (35243) | 32554 | (2689) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 9000000 | (105729) | 95669 | (10060) |
| CMBX BBB- Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 3% | Monthly |  | 4500000 | (598648) | 559961 | (38687) |
| CMBX AAA Series 15 Index | NR | 11/2064 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 1497940 | (639) | (1778) | (2417) |
| CMBX BBB Series 15 Index | NR | 11/2064 | Goldman Sachs & Co LLC | 3% | Monthly |  | 3200000 | (483637) | 442529 | (41108) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 7900000 | (92807) | 72292 | (20515) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 7000000 | (82234) | 52773 | (29461) |
| CMBX BBB- Series 16 Index | NR | 4/2065 | Citigroup Global Markets Ltd | 3% | Monthly |  | 1500000 | (251105) | 227177 | (23928) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly |  | 6100000 | (71661) | 46523 | (25138) |
| CMBX BBB- Series 16 Index | NR | 4/2065 | Morgan Stanley Capital Services LLC | 3% | Monthly |  | 1110000 | (185818) | 166751 | (19067) |
| CMBX BB Series 15 Index | NR | 11/2064 | Morgan Stanley Capital Services LLC | 5% | Monthly |  | 3000000 | (749792) | 696171 | (53621) |
| CMBX BB Series 15 Index | NR | 11/2064 | Goldman Sachs & Co LLC | 5% | Monthly |  | 2900000 | (724799) | 700200 | (24599) |
| CMBX AS Series 16 Index | NR | 4/2065 | Goldman Sachs & Co LLC | 1% | Monthly |  | 10000000 | 25260 | (6) | 25254 |
| CMBX BBB- Series 16 Index | NR | 4/2065 | Citigroup Global Markets Ltd | 3% | Monthly |  | 5000000 | (837017) | 770796 | (66221) |
| CMBX AAA Series 16 Index | NR | 4/2065 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 9986270 | (53238) | 21394 | (31844) |
| CMBX BBB- Series 16 Index | NR | 4/2065 | Morgan Stanley Capital Services LLC | 3% | Monthly |  | 1500000 | (251105) | 232425 | (18680) |
| CMBX AS Series 15 Index | NR | 11/2064 | Goldman Sachs & Co LLC | 1% | Monthly |  | 5000000 | 20701 | (11709) | 8992 |
| CMBX AS Series 16 Index | NR | 4/2065 | Goldman Sachs & Co LLC | 1% | Monthly |  | 5000000 | 12630 | (7951) | 4679 |
| CMBX AS Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 1% | Monthly |  | 5000000 | (4915) | 9054 | 4139 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 10000000 | (117477) | 90306 | (27171) |
| CMBX AS Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 1% | Monthly |  | 7000000 | (6880) | (8458) | (15338) |
| CMBX BB Series 15 Index | NR | 11/2064 | Goldman Sachs & Co LLC | 5% | Monthly |  | 5000000 | (1249653) | 1237150 | (12503) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 25000000 | (293693) | 260137 | (33556) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 5400000 | (63438) | 56190 | (7248) |
| CMBX AAA Series 15 Index | NR | 11/2064 | Citigroup Global Markets Ltd | 0.5% | Monthly |  | 1997254 | (852) | 92 | (760) |
| CMBX BB Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 5% | Monthly |  | 6000000 | (1219769) | 1188750 | (31019) |
| CMBX AS Series 15 Index | NR | 11/2064 | Citigroup Global Markets Ltd | 1% | Monthly |  | 10000000 | 46787 | (46231) | 556 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly |  | 3000000 | (36128) | 36211 | 83 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  |  | (10337392) | 12820314 | 2482922 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |  | **(5410993)** | **6944518** | **1533525** |

---

(1)Notional amount is stated in U.S. Dollars unless otherwise noted.

(2)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2028 | 2387418000 | (5928343) | 0 | (5928343) |
| 4% | Annual | U.S. SOFR Index(4) | Annual | LCH | 3/2056 | 43494000 | 2056061 | 0 | 2056061 |
| U.S. SOFR Index(4) | Annual | 4% | Annual | LCH | 3/2038 | 106000 | (2384) | 0 | (2384) |
| U.S. SOFR Index(4) | Annual | 4% | Annual | LCH | 3/2035 | 105000 | (1914) | 0 | (1914) |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 3/2033 | 30290000 | (40812) | 0 | (40812) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2030 | 598961000 | (2884224) | 0 | (2884224) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2029 | 1258028000 | (7568286) | 0 | (7568286) |
| 3.5% | Annual | U.S. SOFR Index(4) | Annual | LCH | 3/2027 | 106000 | 8 | 0 | 8 |
| U.S. SOFR Index(4) | Annual | 4% | Annual | LCH | 3/2041 | 104000 | (2665) | 0 | (2665) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **(14372559)** | **0** | **(14372559)** |

---

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.

(2)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(3)Notional amount is stated in U.S. Dollars unless otherwise noted.

(4)Represents floating rate.

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| CAD | - | Canadian Dollar |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| JPY | - | Japanese Yen |
| USD | - | United States Dollar |

---

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(e) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $75,249,488.

(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $35,155,469.

(g) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $16,011,746.

(h) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $1,215,373.

(i) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

(j) Level 3 security.

(k) Non-income producing - Security is in default.

(l) A coupon rate of 0% signifies an unsettled loan. The coupon rate will be determined upon settlement of the loan after period end.

(m) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $191,919,629 or 0.2% of net assets.

(n) Zero coupon bond which is issued at a discount.

(o) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $8,183,136,691 or 8.7% of net assets.

(p) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(q) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

(r) Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(s) Principal Only Strips represent the right to receive the monthly principal payments.

(t) Non-income producing.

(u) Security is perpetual in nature with no stated maturity date.

(v) Affiliated fund.

(w) Includes $2,644,800 of cash collateral to cover margin requirements for futures contracts.

(x) Includes $1,629,968 of cash collateral segregated to cover margin requirements for centrally cleared swaps.

(y) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(z) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

(Aa) The rate quoted is the annualized seven-day yield of the fund at period end.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 1524758696 | 9368360135 | 9766631816 | 36811200 | 22511 | - | 1126509526 | 1126284269 | 1.8% |
| Fidelity Securities Lending Cash Central Fund | - | 785488355 | 785486650 | 18375 | (1705) | - | - | - | 0.0% |
| Total | 1524758696 | 10153848490 | 10552118466 | 36829575 | 20806 | - | 1126509526 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

**Affiliated Underlying Funds**

Fiscal year to date information regarding the Fund's investments in affiliated underlying funds is presented below. Exchanges between classes of the same affiliated underlying funds may occur. If an underlying fund changes its name, the name presented below is the name in effect at period end.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period |
| Fidelity Advisor Floating Rate High Income Fund Class Z | 1073870624 | 498263138 | - | 73251772 | - | (33632062) | 1538501700 | 172091913 |
| Fidelity Investments Money Market Government Portfolio - Institutional Class | 713198600 | 9219461843 | 8701138809 | 29225013 | - | - | 1231521634 | 1231521634 |
| Fidelity New Markets Income Fund Class Z | 1252117564 | 641994957 | - | 66979463 | - | 169839713 | 2063952234 | 146691701 |
| Fidelity Real Estate Income Fund Class Z | 1390043301 | 461871791 | - | 61871790 | - | 66193872 | 1918108964 | 153203591 |
| Fidelity SAI Enhanced Core Bond Fund | 949992434 | 1302745117 | 50000000 | 52733757 | (194930) | 48079652 | 2250622273 | 220002177 |
| Fidelity SAI High Income Fund | 303057509 | 349804401 | - | 24796177 | - | 17551462 | 670413372 | 70273938 |
| Fidelity SAI Inflation-Protected Bond Index Fund | 393317240 | 220615285 | - | 20615284 | - | 6241466 | 620173991 | 60504780 |
| Fidelity SAI Intermediate Treasury Bond Index Fund | 3228169963 | 900977109 | - | 100958664 | - | 128118024 | 4257265096 | 422767140 |
| Fidelity SAI International Credit Fund | 1327258977 | 734609297 | - | 59609297 | - | 44644960 | 2106513234 | 192727652 |
| Fidelity SAI Long-Term Treasury Bond Index Fund | 2222866450 | 246245799 | - | 71239381 | - | 132346171 | 2601458420 | 372701779 |
| Fidelity SAI Municipal Income Fund | 77338879 | 104192778 | - | 4191377 | - | 8145370 | 189677027 | 18798516 |
| Fidelity SAI Short-Term Bond Fund | 500517008 | 120698008 | - | 20697808 | - | 2114568 | 623329584 | 63800367 |
| Fidelity SAI Short-Term Treasury Bond Index Fund | 231217323 | 133473450 | 75000000 | 8473472 | 711643 | 3809410 | 294211826 | 28986387 |
| Fidelity SAI Total Bond Fund | 17173076332 | 1886742107 | - | 636715453 | - | 605838820 | 19665657259 | 2121430125 |
| Fidelity SAI U.S. Treasury Bond Index Fund | 5412977406 | 208997097 | 75000000 | 158996272 | (6959614) | 145704428 | 5685719317 | 633153599 |
| Fidelity Sustainability Bond Index Fund | 24251662 | 738504 | - | 738587 | - | 825989 | 25816155 | 2711781 |
| Fidelity U.S. Bond Index Fund | 727788008 | 1188210007 | 354595626 | 38209802 | 306451 | 48734955 | 1610443795 | 150649560 |
|  | 37001059280 | 18219640688 | 9255734435 | 1429303369 | (6136450) | 1394556798 | 47353385881 |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.

**Investment Valuation**

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - Unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations, Bank Loan Obligations, Bank Notes, Foreign Government and Government Agency Obligations, Municipal Securities, Non-Convertible Corporate Bonds and Preferred Securities are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset-Backed Securities, Collateralized Mortgage Obligations, Commercial Mortgage Securities and U.S. Government Agency - Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy.

Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.

**Derivative Instruments**

Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk(s):

Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.

Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.

The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.

Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.

The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.

The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.

Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.

A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.

Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

*The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.*

*Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.*

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Rutland Square Trust II

- **b. Investment Company Act file number:** 811-21991

- **c. CIK number of Registrant:** 0001364924

- **d. LEI of Registrant:** 1KZ3JN58GDRI3EZKKG06

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** Strategic Advisers Fidelity Core Income Fund

- **b. EDGAR series identifier (if any):** S000062265

- **c. LEI of Series:** 5493002W9RRD825B2880

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

- **a. Date of fiscal year-end:** 2026-05-31

- **b. Date as of which information is reported:** 2026-02-28

**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:** $110236890135.63

**Total Liabilities:** $16956659972.31

**Net Assets:** $93280230163.32

**Delayed Delivery Securities:** $9912391398.93

**Cash Not Reported:** $94387788.47

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 570373.02456663 | **1-Year:** 3653197.54626772 | **5-Year:** 9189361.01308149 | **10-Year:** 8054223.36052615 | **30-Year:** 3786053.88777433

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

- **3-Month:** 33586.66789426 | **1-Year:** 97880.69351989 | **5-Year:** 88649.15148368 | **10-Year:** 17745.02779656 | **30-Year:** 1227.20746391

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000201710 | -0.32%               | 0.32%                | 1.71%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1613456.69             | $-672673534.88                             |
| Month 2  | $21992591.67             | $-75783899.24                              |
| Month 3  | $19312676.39             | $1235674242.22                             |

**Designated Index Information**

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

- **Index Identifier:** 19808143

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AT and T INC                                                                       | AT and T INC 4.5% 05/15/2035                                                                            | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     2388000 | PA      | $2327249.42     | 0.00%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 4.75% 05/15/2046                                                                           | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    41310000 | PA      | $36343074.39    | 0.04%             | 2046-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 8.125% 09/15/2030                                                                           | CUSIP: 012873AH8<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |     2895000 | PA      | $3332096.77     | 0.00%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 7.375% 11/01/2031                                                                           | CUSIP: 012873AK1<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |      648000 | PA      | $731869.29      | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                               | CREDIT SUISSE GRP AG 7.5%/VAR PERP REGS                                                                 | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | EP               | CORP              | CH        |     4925000 | PA      | $1182000.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.875% 10/01/2029                                                                             | CUSIP: 023551AF1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     8241000 | PA      | $9336574.45     | 0.01%             | 2029-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.3% 08/15/2031                                                                               | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     3686000 | PA      | $4258274.98     | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.125% 03/15/2033                                                                             | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     1403000 | PA      | $1639884.01     | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN MUN PWR REV                                                               | AMERICAN MUN OH 8.084% 2/15/50                                                                          | CUSIP: 02765UEK6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      870000 | PA      | $1121669.69     | 0.00%             | 2050-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                                                      | ANGLIAN WATER SVCS FINANC PLC 6.293% 07/30/2030 REGS                                                    | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |     1000000 | PA      | $1423319.76     | 0.00%             | 2030-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AON CORP2                                                                          | AON CORP 6.25% 09/30/2040                                                                               | CUSIP: 037389AU7<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |      142000 | PA      | $156432.79      | 0.00%             | 2040-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.25% 10/22/2026                                                            | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    40217000 | PA      | $40278184.13    | 0.04%             | 2026-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+71.448 11/25/2035 144A                                                     | CUSIP: 07324SCC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17161 | PA      | $17030.55       | 0.00%             | 2035-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+77.448 11/25/2035 144A                                                     | CUSIP: 07324SCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4657 | PA      | $4662.81        | 0.00%             | 2035-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+69.948 01/25/2036 144A                                                     | CUSIP: 07324SCS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41510 | PA      | $39934.24       | 0.00%             | 2036-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+78.948 01/25/2036 144A                                                     | CUSIP: 07324SCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13401 | PA      | $12905.27       | 0.00%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+81.948 01/25/2036 144A                                                     | CUSIP: 07324SCU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5053 | PA      | $4814.62        | 0.00%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+86.448 01/25/2036 144A                                                     | CUSIP: 07324SCV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7354 | PA      | $6958.77        | 0.00%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+65.448 04/25/2036 144A                                                     | CUSIP: 07324SDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6775 | PA      | $6476.32        | 0.00%             | 2036-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+68.448 04/25/2036 144A                                                     | CUSIP: 07324SDG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4096 | PA      | $3869.79        | 0.00%             | 2036-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+71.448 04/25/2036 144A                                                     | CUSIP: 07324SDH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4333 | PA      | $4081.42        | 0.00%             | 2036-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR                                                              | BAYVIEW COML ASSET TR TSFR1M+107.448 04/25/2036 144A                                                    | CUSIP: 07324SDM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4096 | PA      | $3854.96        | 0.00%             | 2036-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 06 2                                                         | BAYVIEW COML ASSET TR 06 2 TSFR1M+57.948 07/25/2036 144A                                                | CUSIP: 07324YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6118 | PA      | $5966.01        | 0.00%             | 2036-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 06 2                                                         | BAYVIEW COML ASSET TR 06 2 TSFR1M+60.948 07/25/2036 144A                                                | CUSIP: 07324YAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4347 | PA      | $4269.04        | 0.00%             | 2036-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 06 2                                                         | BAYVIEW COML ASSET TR 06 2 TSFR1M+74.448 07/25/2036 144A                                                | CUSIP: 07324YAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4105 | PA      | $3973.58        | 0.00%             | 2036-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 06 4                                                         | BAYVIEW COML ASSET TR 06 4 TSFR1M+51.948 12/25/2036 144A                                                | CUSIP: 07325BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       86615 | PA      | $83351.59       | 0.00%             | 2036-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 06 4                                                         | BAYVIEW COML ASSET TR 06 4 TSFR1M+54.948 12/25/2036 144A                                                | CUSIP: 07325BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6961 | PA      | $6741.54        | 0.00%             | 2036-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 06 4                                                         | BAYVIEW COML ASSET TR 06 4 TSFR1M+62.448 12/25/2036 144A                                                | CUSIP: 07325BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4719 | PA      | $4426.72        | 0.00%             | 2036-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 1                                                       | BAYVIEW COML ASSET TR 2007 1 TSFR1M+51.948 03/25/2037 144A                                              | CUSIP: 07325MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21386 | PA      | $20613.40       | 0.00%             | 2037-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                        | BAYVIEW COML ASST TR 2007 2 TSFR1M+38.448 07/25/2037 144A                                               | CUSIP: 07325XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73778 | PA      | $69659.50       | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                        | BAYVIEW COML ASST TR 2007 2 TSFR1M+43.448 07/25/2037 144A                                               | CUSIP: 07325XAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69055 | PA      | $63880.51       | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                        | BAYVIEW COML ASST TR 2007 2 TSFR1M+48.448 07/25/2037 144A                                               | CUSIP: 07325XAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23523 | PA      | $21388.10       | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                        | BAYVIEW COML ASST TR 2007 2 TSFR1M+52.448 07/25/2037 144A                                               | CUSIP: 07325XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15326 | PA      | $15443.90       | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASST TR 2007 2                                                        | BAYVIEW COML ASST TR 2007 2 TSFR1M+60.448 07/25/2037 144A                                               | CUSIP: 07325XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23262 | PA      | $22000.68       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                       | BAYVIEW COML ASSET TR 2007 3 TSFR1M+54.948 07/25/2037 144A                                              | CUSIP: 07325YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24342 | PA      | $23305.92       | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                       | BAYVIEW COML ASSET TR 2007 3 TSFR1M+57.948 07/25/2037 144A                                              | CUSIP: 07325YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12912 | PA      | $11963.15       | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                       | BAYVIEW COML ASSET TR 2007 3 TSFR1M+62.448 07/25/2037 144A                                              | CUSIP: 07325YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13777 | PA      | $12640.95       | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                       | BAYVIEW COML ASSET TR 2007 3 TSFR1M+66.948 07/25/2037 144A                                              | CUSIP: 07325YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22241 | PA      | $20817.29       | 0.00%             | 2037-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                       | BAYVIEW COML ASSET TR 2007 3 TSFR1M+86.448 07/25/2037 144A                                              | CUSIP: 07325YAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34968 | PA      | $32675.74       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COML ASSET TR 2007 3                                                       | BAYVIEW COML ASSET TR 2007 3 TSFR1M+101.448 07/25/2037 144A                                             | CUSIP: 07325YAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27117 | PA      | $26905.70       | 0.00%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                                        | GERMANY FEDERAL REPUBLIC OF 3.25% 07/04/2042 REGS                                                       | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |       95000 | PA      | $114833.12      | 0.00%             | 2042-07-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS CO                                                                      | BOSTON GAS CO 4.487% 02/15/2042 144A                                                                    | CUSIP: 100743AJ2<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     1118000 | PA      | $980310.87      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029                                                         | CUSIP: 105340AP8<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     1896000 | PA      | $1788605.82     | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NORTHUMBRIAN WATER FINANCE PLC                                                     | NORTHUMBRIAN WATER FINANCE PLC 5.625% 04/29/2033 REGS                                                   | CUSIP: N/A<br>LEI: 213800JTFA6F3S7XX781       | Long             | DBT              | CORP              | GB        |     1145000 | PA      | $1574675.88     | 0.00%             | 2033-04-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                     | BURLINGTON NORTHN SANTA FE LLC 4.4% 03/15/2042                                                          | CUSIP: 12189LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1397000 | PA      | $1272268.09     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHN SANTA FE LLC                                                     | BURLINGTON NORTHN SANTA FE LLC 4.15% 04/01/2045                                                         | CUSIP: 12189LAW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      564000 | PA      | $481656.19      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2014-3R                                                                   | CSMC SER 2014-3R VAR 05/27/2037                                                                         | CUSIP: 12648GAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      556406 | PA      | $55.64          | 0.00%             | 2037-05-27      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| CSMC SER 2014-3R                                                                   | CSMC 2014 3R AA1 CSTR 05/37                                                                             | CUSIP: 12648GAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      380878 | PA      | $370624.74      | 0.00%             | 2037-05-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2015-1R                                                                   | CSMC SER 2015-1R TSFR1M+39.448 05/27/2037 144A                                                          | CUSIP: 12649MBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        7294 | PA      | $7267.51        | 0.00%             | 2037-05-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.125% 07/20/2045                                                                       | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $9151587.80     | 0.01%             | 2045-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                      | CALIFORNIA ST BUILD AMERICA BONDS                                                                       | CUSIP: 13063BFR8<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |      190000 | PA      | $234183.66      | 0.00%             | 2040-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 5.85% 02/01/2035                                                            | CUSIP: 136385AG6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |      296000 | PA      | $316766.12      | 0.00%             | 2035-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 6.5% 02/15/2037                                                             | CUSIP: 136385AJ0<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     6400000 | PA      | $7035615.55     | 0.01%             | 2037-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 6.25% 03/15/2038                                                            | CUSIP: 136385AL5<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     8834000 | PA      | $9538693.30     | 0.01%             | 2038-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 6.75% 11/15/2039                                                                     | CUSIP: 15135UAF6<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     3025000 | PA      | $3381661.20     | 0.00%             | 2039-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                              | ELECTRICITE DE FRANCE 6.125% 06/02/2034 REGS                                                            | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |      100000 | PA      | $141720.13      | 0.00%             | 2034-06-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 5.3% 05/06/2044                                                                           | CUSIP: 172967HS3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     9501000 | PA      | $9223992.64     | 0.01%             | 2044-05-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.3% 11/20/2026                                                                           | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1766000 | PA      | $1769004.62     | 0.00%             | 2026-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.45% 09/29/2027                                                                          | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    21445000 | PA      | $21574480.41    | 0.02%             | 2027-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM CO                                                        | CLEVELAND ELECTRIC ILLUM CO 5.95% 12/15/2036                                                            | CUSIP: 186108CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2055000 | PA      | $2184413.79     | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                             | CONSOLIDATED EDISON CO OF NY 6.3% 08/15/2037                                                            | CUSIP: 209111ES8<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5597496.20     | 0.01%             | 2037-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 6.75% 09/15/2037 144A                                                             | CUSIP: 23311RAA4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     1198000 | PA      | $1334632.43     | 0.00%             | 2037-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 5.6% 04/01/2044                                                                   | CUSIP: 23311VAF4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     2894000 | PA      | $2866943.68     | 0.00%             | 2044-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY IND INC                                                                | DUKE ENERGY IND INC 4.9% 07/15/2043                                                                     | CUSIP: 263901AF7<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |     1678000 | PA      | $1608932.45     | 0.00%             | 2043-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JOHN LEWIS PLC                                                                     | JOHN LEWIS PLC 4.25% 12/18/2034 REGS                                                                    | CUSIP: N/A<br>LEI: 213800JSUFNZLZLCVJ25       | Long             | DBT              | CORP              | GB        |      894000 | PA      | $1043786.09     | 0.00%             | 2034-12-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 5.15% 11/15/2041                                                                            | CUSIP: 292505AK0<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |     4009000 | PA      | $3515668.86     | 0.00%             | 2041-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2027#                                                                              | CUSIP: 31283G3U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         150 | PA      | $152.77         | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2027#                                                                              | CUSIP: 31283G6U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           4 | PA      | $3.95           | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 12/01/2027#                                                                              | CUSIP: 31283G6V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $3.16           | 0.00%             | 2027-12-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 01/01/2028#                                                                              | CUSIP: 31283G7J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $2.18           | 0.00%             | 2028-01-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 01/01/2027#                                                                              | CUSIP: 31283GW60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          10 | PA      | $10.42          | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 05/01/2027#                                                                              | CUSIP: 31283GYU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           5 | PA      | $4.89           | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 10/32 #G01766                                                                                | CUSIP: 31283H6B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8890 | PA      | $9343.72        | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 5/33 #G01785                                                                                 | CUSIP: 31283H6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22779 | PA      | $23606.18       | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2030#                                                                              | CUSIP: 31283HHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          32 | PA      | $33.50          | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 04/01/2032#                                                                                | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2086 | PA      | $2193.54        | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 04/01/2032#                                                                                | CUSIP: 31283HRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          36 | PA      | $37.64          | 0.00%             | 2032-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 08/01/2032#                                                                              | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2512 | PA      | $2634.69        | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 7/32 #G01433                                                                                 | CUSIP: 31283HSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         172 | PA      | $180.49         | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 10/01/2032#                                                                                | CUSIP: 31283HTS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         852 | PA      | $888.45         | 0.00%             | 2032-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 12/01/2032#                                                                                | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         456 | PA      | $474.78         | 0.00%             | 2032-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2033#                                                                                | CUSIP: 31283HWZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3017 | PA      | $3145.71        | 0.00%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 09/01/2033#                                                                                | CUSIP: 31283HX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21130 | PA      | $22073.62       | 0.00%             | 2033-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/33 #G01584                                                                                 | CUSIP: 31283HXM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         675 | PA      | $692.30         | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2033#                                                                                | CUSIP: 31283HYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2967 | PA      | $3103.78        | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/33 #G01625                                                                                | CUSIP: 31283HYW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18411 | PA      | $18892.21       | 0.00%             | 2033-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.50% 3/34 #G01665                                                                                 | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41719 | PA      | $43440.87       | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 11/01/2031#                                                                                | CUSIP: 31287LNP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         270 | PA      | $283.68         | 0.00%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 1/32 #C62372                                                                                 | CUSIP: 31287MT59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9207 | PA      | $9629.44        | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2032#                                                                                | CUSIP: 31287NDD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1736 | PA      | $1804.94        | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2032#                                                                                | CUSIP: 31287NUQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1070 | PA      | $1112.48        | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 03/01/2032#                                                                              | CUSIP: 31287P6S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         361 | PA      | $378.09         | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 02/01/2032#                                                                              | CUSIP: 31287PHP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12473 | PA      | $13298.75       | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 3/32 #C64888                                                                                 | CUSIP: 31287QND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         201 | PA      | $211.69         | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 04/01/2032#                                                                              | CUSIP: 31287SCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         179 | PA      | $187.71         | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 8/32 #C70220                                                                                 | CUSIP: 31287XG59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1735 | PA      | $1821.58        | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2032#                                                                                | CUSIP: 31288AFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2290 | PA      | $2376.99        | 0.00%             | 2032-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 9/26 #G30299                                                                            | CUSIP: 3128CUKL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         475 | PA      | $476.65         | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.889% 3/33 #847126                                                                            | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          95 | PA      | $97.77          | 0.00%             | 2033-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.24% 6/33 #847147                                                                             | CUSIP: 3128HD5G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13521 | PA      | $13879.22       | 0.00%             | 2033-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.11% 4/38 #1B3803                                                                             | CUSIP: 3128JPDH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5692 | PA      | $5976.56        | 0.00%             | 2038-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 11/34 #A45143                                                                                | CUSIP: 3128K5WC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6829 | PA      | $7224.72        | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 10/34 #A45794                                                                                | CUSIP: 3128K6NK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1759 | PA      | $1824.19        | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 5/33 #A45795                                                                                 | CUSIP: 3128K6NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4507 | PA      | $4679.31        | 0.00%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 2/35 #A47133                                                                                 | CUSIP: 3128K74S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8108 | PA      | $8309.14        | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/35 #A47209                                                                                | CUSIP: 3128K8AJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1008 | PA      | $1025.36        | 0.00%             | 2035-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/35 #A47571                                                                                | CUSIP: 3128K8MU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5074 | PA      | $5232.38        | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 9/35 #A47784                                                                                 | CUSIP: 3128K8UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17092 | PA      | $18131.70       | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/36 #A51069                                                                                 | CUSIP: 3128KDFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         754 | PA      | $778.51         | 0.00%             | 2036-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 1/36 #A54473                                                                                 | CUSIP: 3128KG6J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4108 | PA      | $4353.60        | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/35 #A54855                                                                                 | CUSIP: 3128KHMC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20320 | PA      | $20888.48       | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 2/37 #A57709                                                                                 | CUSIP: 3128KLR66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         477 | PA      | $495.88         | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 3/37 #A58828                                                                                 | CUSIP: 3128KMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         708 | PA      | $761.00         | 0.00%             | 2037-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 12/37 #A69815                                                                                | CUSIP: 3128L13Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7000 | PA      | $7440.50        | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2037#                                                                                | CUSIP: 3128L1GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         418 | PA      | $432.13         | 0.00%             | 2037-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 12/37 #A69706                                                                                | CUSIP: 3128L1YB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25454 | PA      | $27127.02       | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/38 #A78486                                                                                 | CUSIP: 3128LCNB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1097 | PA      | $1135.57        | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/38 #A78487                                                                                 | CUSIP: 3128LCNC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1180 | PA      | $1221.10        | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/36 #A79236                                                                                 | CUSIP: 3128LDHM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43876 | PA      | $45231.76       | 0.00%             | 2036-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.64% 4/36 #1J0058                                                                             | CUSIP: 3128LUB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6955 | PA      | $7233.49        | 0.00%             | 2036-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/35 #G01818                                                                                 | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19261 | PA      | $19843.48       | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/35 #G01838                                                                                 | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      125241 | PA      | $128918.05      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/35 #G01839                                                                                 | CUSIP: 3128LXBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3601 | PA      | $3705.99        | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2035#                                                                                | CUSIP: 3128LXFN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13509 | PA      | $13937.16       | 0.00%             | 2035-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.50% 7/34 #G02115                                                                                 | CUSIP: 3128LXK41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4552 | PA      | $4749.90        | 0.00%             | 2034-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/36 #G02307                                                                                 | CUSIP: 3128LXR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11541 | PA      | $11908.53       | 0.00%             | 2036-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/37 #G02667                                                                                 | CUSIP: 3128M4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3261 | PA      | $3361.27        | 0.00%             | 2037-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/34 #G02758                                                                                 | CUSIP: 3128M4MF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30521 | PA      | $31386.91       | 0.00%             | 2034-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 1/36 #G03506                                                                                 | CUSIP: 3128M5GP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60731 | PA      | $63729.90       | 0.00%             | 2036-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 7/37 #G03508                                                                                 | CUSIP: 3128M5GR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2022 | PA      | $2149.68        | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 12/33 #G03583                                                                                | CUSIP: 3128M5J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6259 | PA      | $6670.53        | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/33 #G04895                                                                                | CUSIP: 3128M6XY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1089 | PA      | $1117.06        | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/40 #G05898                                                                                 | CUSIP: 3128M73F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29477 | PA      | $30535.96       | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/40 #G05937                                                                                 | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1051 | PA      | $1070.02        | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/40 #G05969                                                                                 | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24166 | PA      | $25006.46       | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/38 #G05299                                                                                 | CUSIP: 3128M7GG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8315 | PA      | $8450.21        | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/34 #G05423                                                                                | CUSIP: 3128M7LC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7333 | PA      | $7544.16        | 0.00%             | 2034-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/39 #G05457                                                                                 | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58865 | PA      | $59932.31       | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 11/39 #G05695                                                                                | CUSIP: 3128M7UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         676 | PA      | $688.32         | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 25YR 5.50% 7/35 #G05815                                                                            | CUSIP: 3128M7YL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26465 | PA      | $27537.30       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2041#G06800                                                                        | CUSIP: 3128M83H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31577 | PA      | $31491.87       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 8/37 #G06089                                                                                 | CUSIP: 3128M8C28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22851 | PA      | $24223.76       | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/41 #G06596                                                                                 | CUSIP: 3128M8UV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      718954 | PA      | $745440.66      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 9/39 #G06670                                                                                 | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       92278 | PA      | $99282.03       | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/41 #G06719                                                                                 | CUSIP: 3128M8YQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       77230 | PA      | $78643.60       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/35 #G06928                                                                                 | CUSIP: 3128M9A51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       74066 | PA      | $76103.72       | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 4/42 #G06993                                                                                 | CUSIP: 3128M9C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10873 | PA      | $10559.34       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #G06973                                                                                 | CUSIP: 3128M9CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      475107 | PA      | $473037.35      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/42#G07240                                                                            | CUSIP: 3128M9LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       56799 | PA      | $53551.85       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2042#G07492                                                                        | CUSIP: 3128M9UR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1676 | PA      | $1706.85        | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 8/34 #G08018                                                                                 | CUSIP: 3128MJAU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         840 | PA      | $904.82         | 0.00%             | 2034-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2035#                                                                                | CUSIP: 3128MJB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1595 | PA      | $1643.94        | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 04/01/2035#                                                                                | CUSIP: 3128MJBV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5226 | PA      | $5384.57        | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                                | CUSIP: 3128MJCD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17063 | PA      | $17591.68       | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2039#                                                                              | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         641 | PA      | $652.18         | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/39 #G08368                                                                                | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      177946 | PA      | $181150.76      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2045#G08676                                                                        | CUSIP: 3128MJXE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4082 | PA      | $3920.16        | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.49% 8/37 #1A1800                                                                             | CUSIP: 3128NF7M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4084 | PA      | $4145.68        | 0.00%             | 2037-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.12% 10/36 #1A1201                                                                            | CUSIP: 3128NFKN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6691 | PA      | $6872.14        | 0.00%             | 2036-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.81% 1/36 #1J1262                                                                             | CUSIP: 3128NHMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2553 | PA      | $2610.59        | 0.00%             | 2036-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 12/01/2033#C91737                                                                        | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      171166 | PA      | $169882.47      | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 10/01/2034#C91793                                                                        | CUSIP: 3128P77E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3208611 | PA      | $3175152.51     | 0.00%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 8/26 #C90997                                                                            | CUSIP: 3128P7DA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         224 | PA      | $225.01         | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 11/26 #C91010                                                                           | CUSIP: 3128P7DP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          84 | PA      | $84.07          | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 7.00% 12/26 #C91019                                                                           | CUSIP: 3128P7DY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         133 | PA      | $133.99         | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2032#C91403                                                                        | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      969614 | PA      | $963543.50      | 0.00%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.61% 3/35 #1L0297                                                                             | CUSIP: 3128Q2KJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28066 | PA      | $28962.84       | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.87% 10/35 #1M1052                                                                            | CUSIP: 3128QFEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7792 | PA      | $8035.24        | 0.00%             | 2035-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.36% 7/36 #1B7105                                                                             | CUSIP: 3128QPH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5941 | PA      | $6197.53        | 0.00%             | 2036-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.21% 3/36 #1G1851                                                                             | CUSIP: 3128QSBU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13132 | PA      | $13466.23       | 0.00%             | 2036-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.29% 3/36 #1G1852                                                                             | CUSIP: 3128QSBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13267 | PA      | $13692.89       | 0.00%             | 2036-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 0.0% 05/01/2041#1B8124                                                                         | CUSIP: 3128UGMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7050 | PA      | $7403.99        | 0.00%             | 2041-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.224% 4/41#1B8179                                                                             | CUSIP: 3128UGPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         568 | PA      | $596.98         | 0.00%             | 2041-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.464% 5/1/41#1B8304                                                                           | CUSIP: 3128UGTL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5513 | PA      | $5789.62        | 0.00%             | 2041-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.627% 6/1/41#1B8372                                                                           | CUSIP: 3128UGVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7738 | PA      | $8126.08        | 0.00%             | 2041-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.283 6/1/41                                                                                   | CUSIP: 3128UGXF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         616 | PA      | $647.12         | 0.00%             | 2041-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 0.0% 07/01/2041#1B8505                                                                         | CUSIP: 3128UGZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17376 | PA      | $18219.06       | 0.00%             | 2041-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.242% 9/1/41#1B8659                                                                           | CUSIP: 3128UHAK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3049 | PA      | $3201.74        | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 12M+1.75 9/1/41 #1B8787                                                                        | CUSIP: 3128UHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25064 | PA      | $26309.19       | 0.00%             | 2041-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                                | CUSIP: 31292G4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         121 | PA      | $123.80         | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2029#                                                                              | CUSIP: 31292G6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         143 | PA      | $149.04         | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2026#                                                                              | CUSIP: 31292GQ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           6 | PA      | $5.82           | 0.00%             | 2026-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 06/01/2027#                                                                              | CUSIP: 31292GSM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          33 | PA      | $33.56          | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 11/28 #C00680                                                                                | CUSIP: 31292GXH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          92 | PA      | $94.30          | 0.00%             | 2028-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 5/29 #C00764                                                                                 | CUSIP: 31292GZ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          31 | PA      | $31.69          | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2029#                                                                                | CUSIP: 31292GZX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          54 | PA      | $55.70          | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 02/01/2030#                                                                                | CUSIP: 31292HAX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          21 | PA      | $21.85          | 0.00%             | 2030-02-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 8.00% 8/30 #C01034                                                                                 | CUSIP: 31292HEF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $7.53           | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2031#                                                                                | CUSIP: 31292HJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         307 | PA      | $318.96         | 0.00%             | 2031-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2031#                                                                                | CUSIP: 31292HJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         887 | PA      | $919.18         | 0.00%             | 2031-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2031#                                                                              | CUSIP: 31292HMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         341 | PA      | $361.29         | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 11/31 #C01258                                                                                | CUSIP: 31292HMF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1147 | PA      | $1192.63        | 0.00%             | 2031-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 4/32 #C01343                                                                                 | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         805 | PA      | $843.61         | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 4/32 #C01344                                                                                 | CUSIP: 31292HP57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2507 | PA      | $2608.86        | 0.00%             | 2032-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 8/32 #C01385                                                                                 | CUSIP: 31292HRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1672 | PA      | $1756.74        | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/33 #C01614                                                                                 | CUSIP: 31292HYK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3123 | PA      | $3167.50        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 9/33 #C01622                                                                                 | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7043 | PA      | $7231.27        | 0.00%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 9/36 #C02622                                                                                 | CUSIP: 31292J4F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8291 | PA      | $8793.24        | 0.00%             | 2036-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2040#C03486                                                                        | CUSIP: 31292K2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11754 | PA      | $11968.03       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 12/40 #C03633                                                                                | CUSIP: 31292LBA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4316 | PA      | $4307.97        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 4/42 #C03811                                                                                 | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1232816 | PA      | $1199772.02     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #C03856                                                                                 | CUSIP: 31292LH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      301871 | PA      | $300931.13      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2042#C04038                                                                        | CUSIP: 31292LPX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5547 | PA      | $5384.20        | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2039#                                                                              | CUSIP: 312933CQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1233 | PA      | $1255.09        | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2039#                                                                              | CUSIP: 312933G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14399 | PA      | $14661.36       | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/39 #A88585                                                                                 | CUSIP: 312935RE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39293 | PA      | $39981.62       | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 11/39 #A89870                                                                                | CUSIP: 3129366F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1159 | PA      | $1180.27        | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2039#                                                                              | CUSIP: 312936C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1749 | PA      | $1780.59        | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/40 #A90893                                                                                 | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32361 | PA      | $33505.04       | 0.00%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2039#                                                                              | CUSIP: 312938BB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1037 | PA      | $1055.72        | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2039#A90245                                                                        | CUSIP: 312938HW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         356 | PA      | $362.22         | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/40 #A91160                                                                                 | CUSIP: 312939JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2742 | PA      | $2790.78        | 0.00%             | 2040-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 02/01/2040#                                                                                | CUSIP: 312939LZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7707 | PA      | $7990.19        | 0.00%             | 2040-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2029#                                                                                | CUSIP: 31293HR88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          95 | PA      | $97.37          | 0.00%             | 2029-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2029#                                                                                | CUSIP: 31293KQ33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          90 | PA      | $92.12          | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 2/29 #C22365                                                                                 | CUSIP: 31293KTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          24 | PA      | $24.57          | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2029#                                                                                | CUSIP: 31293L6C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          76 | PA      | $78.00          | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2029#                                                                                | CUSIP: 31293R3X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         151 | PA      | $154.73         | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2029#                                                                                | CUSIP: 31293R5M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         385 | PA      | $394.64         | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 6/29 #C28186                                                                                 | CUSIP: 31293SCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          74 | PA      | $75.64          | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                                | CUSIP: 31293TDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          40 | PA      | $41.01          | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                                | CUSIP: 31293TGY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          58 | PA      | $59.53          | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2040#                                                                              | CUSIP: 3129404Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4679 | PA      | $4763.69        | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2040#                                                                                | CUSIP: 312940C49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         784 | PA      | $784.64         | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/40 #A91937                                                                                 | CUSIP: 312940EJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48169 | PA      | $49924.60       | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2040#                                                                                | CUSIP: 312940LA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6701 | PA      | $6937.22        | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/40 #A92286                                                                                 | CUSIP: 312940RF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2153 | PA      | $2192.45        | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/40 #A92350                                                                                 | CUSIP: 312940TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24426 | PA      | $25307.37       | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/40 #A93505                                                                                 | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23589 | PA      | $24018.62       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/40 #A92914                                                                                 | CUSIP: 312941GX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5640 | PA      | $5835.22        | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 7/40 #A93142                                                                                 | CUSIP: 312941P35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30626 | PA      | $31177.10       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2040#                                                                              | CUSIP: 312941SD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13605 | PA      | $13853.24       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/40 #A93367                                                                                 | CUSIP: 312941W45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1298 | PA      | $1341.86        | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2040#A93375                                                                        | CUSIP: 312941XC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1699 | PA      | $1729.60        | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/40 #A93451                                                                                 | CUSIP: 312941ZQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6568 | PA      | $6688.29        | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 4% 09/01/2040#                                                                                | CUSIP: 312942ME2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3879 | PA      | $3872.84        | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#A95324                                                                        | CUSIP: 3129434H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         865 | PA      | $880.98         | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2040#A94586                                                                        | CUSIP: 312943CX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39360 | PA      | $40080.44       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/40 #A94662                                                                                | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24798 | PA      | $25251.97       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/40 #A95028                                                                                | CUSIP: 312943SR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4972 | PA      | $5147.05        | 0.00%             | 2040-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2040#                                                                              | CUSIP: 312943UM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1939 | PA      | $1974.40        | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2041#                                                                              | CUSIP: 3129444V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8428 | PA      | $8578.48        | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#A95413                                                                        | CUSIP: 312944AN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12976 | PA      | $13212.99       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2040#                                                                                | CUSIP: 312944H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10268 | PA      | $10253.82       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#                                                                              | CUSIP: 312944LX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17114 | PA      | $17427.91       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2041#                                                                              | CUSIP: 312944YF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12479 | PA      | $12705.59       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A97151                                                                                 | CUSIP: 3129455L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10383 | PA      | $10569.37       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A97152                                                                                 | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19412 | PA      | $19766.28       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#A96413                                                                          | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       42536 | PA      | $42449.61       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 01/01/2041#A96537                                                                        | CUSIP: 312945HN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2404 | PA      | $2493.23        | 0.00%             | 2041-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96695                                                                                 | CUSIP: 312945NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19745 | PA      | $20104.50       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96731                                                                                 | CUSIP: 312945PQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60306 | PA      | $61403.24       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96766                                                                                 | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8964 | PA      | $9127.45        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 2/41 #A96807                                                                                 | CUSIP: 312945R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      142027 | PA      | $141759.70      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96783                                                                                 | CUSIP: 312945RC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16952 | PA      | $17261.72       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96876                                                                                 | CUSIP: 312945T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16035 | PA      | $16325.44       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 02/01/2041#A96961                                                                        | CUSIP: 312945WW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5454 | PA      | $5659.20        | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2041#                                                                              | CUSIP: 312945X52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3440 | PA      | $3502.69        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 02/01/2041#                                                                                | CUSIP: 312945YK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5805 | PA      | $6022.33        | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #A97976                                                                                 | CUSIP: 3129462H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2574 | PA      | $2620.98        | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2041#                                                                              | CUSIP: 312946BR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16256 | PA      | $16552.82       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#                                                                                | CUSIP: 312946FC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20224 | PA      | $20203.26       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97520                                                                        | CUSIP: 312946K96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11080 | PA      | $11487.49       | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 3/41 #A97528                                                                                 | CUSIP: 312946LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12454 | PA      | $12681.66       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 3/41 #A97620                                                                                 | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3234 | PA      | $3292.96        | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2041#A97673                                                                        | CUSIP: 312946Q25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      164586 | PA      | $167595.05      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 3/41 #A97661                                                                                 | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       74921 | PA      | $76288.71       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97686                                                                        | CUSIP: 312946RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10953 | PA      | $11365.02       | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97717                                                                        | CUSIP: 312946SE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1347 | PA      | $1362.91        | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #A97942                                                                                 | CUSIP: 312946ZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      204542 | PA      | $208282.24      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/33 #A11628                                                                                 | CUSIP: 31296KYZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         647 | PA      | $649.94         | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/33 #A12833                                                                                 | CUSIP: 31296MEE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2366 | PA      | $2432.24        | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                                | CUSIP: 31296PHP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         278 | PA      | $286.01         | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                                | CUSIP: 31296PKS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8480 | PA      | $8713.57        | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                                | CUSIP: 31296PYK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6177 | PA      | $6340.39        | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2033#                                                                                | CUSIP: 31296RHY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3511 | PA      | $3607.96        | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/33 #A16699                                                                                | CUSIP: 31296RNQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6019 | PA      | $6189.90        | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/34 #A19922                                                                                 | CUSIP: 31296VAX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2848 | PA      | $2930.30        | 0.00%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2034#                                                                                | CUSIP: 31296XSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1669 | PA      | $1715.29        | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A21977                                                                                 | CUSIP: 31296YFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3433 | PA      | $3526.95        | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A23124                                                                                 | CUSIP: 31297APH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         256 | PA      | $262.74         | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A23334                                                                                 | CUSIP: 31297AV35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1293 | PA      | $1331.79        | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/35 #A32122                                                                                 | CUSIP: 31297MLB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7486 | PA      | $7715.42        | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2035#                                                                                | CUSIP: 31297P2R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         477 | PA      | $488.89         | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                                | CUSIP: 31297R4W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         107 | PA      | $110.42         | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                                | CUSIP: 31297R6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         194 | PA      | $199.86         | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                                | CUSIP: 31297RYJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         969 | PA      | $999.19         | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 9/35 #A37119                                                                                 | CUSIP: 31297S4C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12329 | PA      | $12714.84       | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2035#                                                                                | CUSIP: 31297S6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          84 | PA      | $86.24          | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 08/01/2035#                                                                                | CUSIP: 31297SPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2226 | PA      | $2290.70        | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 08/01/2035#                                                                                | CUSIP: 31297SW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         343 | PA      | $353.69         | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2035#                                                                                | CUSIP: 31297TTR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         766 | PA      | $788.25         | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 07/01/2030#                                                                                | CUSIP: 31297XWP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         249 | PA      | $263.26         | 0.00%             | 2030-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 08/01/2030#                                                                                | CUSIP: 31297YK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         555 | PA      | $579.61         | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 8.00% 8/30 #C41636                                                                                 | CUSIP: 31297YY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          20 | PA      | $21.00          | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2030#                                                                              | CUSIP: 31298AER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         513 | PA      | $541.52         | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 09/01/2030#                                                                                | CUSIP: 31298AYN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          17 | PA      | $17.63          | 0.00%             | 2030-09-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2030#                                                                              | CUSIP: 31298C2P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          82 | PA      | $86.60          | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 11/29 #C46106                                                                                | CUSIP: 31298EYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          78 | PA      | $80.16          | 0.00%             | 2029-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.00% 7/29 #C47273                                                                                 | CUSIP: 31298GCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9609 | PA      | $10087.81       | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 05/01/2031#                                                                              | CUSIP: 31298MDZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         409 | PA      | $427.35         | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 05/01/2031#                                                                              | CUSIP: 31298VSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          90 | PA      | $94.30          | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.182% 6/37 #848188                                                                            | CUSIP: 31300LCZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12585 | PA      | $13087.97       | 0.00%             | 2037-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.417% 12/01/2040#848392                                                                       | CUSIP: 31300LKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      104202 | PA      | $109127.27      | 0.00%             | 2040-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM RFT1Y+190 9 10/42#849255                                                                       | CUSIP: 31300MH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11376 | PA      | $11946.00       | 0.00%             | 2042-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.50% 5/34 #Z40042                                                                                 | CUSIP: 3132FCBK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      292913 | PA      | $304094.67      | 0.00%             | 2034-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2041#                                                                              | CUSIP: 3132GD2M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9770 | PA      | $9948.17        | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #Q00114                                                                                 | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26128 | PA      | $26602.52       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2041#                                                                              | CUSIP: 3132GDGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22517 | PA      | $22930.10       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 04/01/2041#Q00409                                                                        | CUSIP: 3132GDN24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2435 | PA      | $2526.75        | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2041#                                                                              | CUSIP: 3132GDQH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         864 | PA      | $879.35         | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 05/01/2041#Q00557                                                                        | CUSIP: 3132GDTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9823 | PA      | $10193.92       | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/41 #Q00736                                                                                 | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28092 | PA      | $28602.55       | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/41 #Q00753                                                                                 | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18546 | PA      | $18885.32       | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2041#                                                                              | CUSIP: 3132GE5T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20338 | PA      | $20709.83       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#                                                                                | CUSIP: 3132GEHF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5371 | PA      | $5357.55        | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01181                                                                                 | CUSIP: 3132GEJ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1908 | PA      | $1942.64        | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01208                                                                                 | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18162 | PA      | $18489.50       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#Q01212                                                                        | CUSIP: 3132GEKZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7389 | PA      | $7524.93        | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                              | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7384 | PA      | $7515.76        | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2041#                                                                                | CUSIP: 3132GEQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2451 | PA      | $2454.17        | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01393                                                                                 | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27260 | PA      | $27748.67       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                              | CUSIP: 3132GESV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11750 | PA      | $11964.33       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                              | CUSIP: 3132GET67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18644 | PA      | $18984.83       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2041#                                                                                | CUSIP: 3132GEVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15251 | PA      | $15199.41       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 06/01/2041#Q01604                                                                        | CUSIP: 3132GEX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12098 | PA      | $12555.87       | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02592                                                                                 | CUSIP: 3132GF2Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       69964 | PA      | $71240.86       | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q01871                                                                        | CUSIP: 3132GFCG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4991 | PA      | $5176.55        | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q01985                                                                        | CUSIP: 3132GFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7966 | PA      | $8241.27        | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02020                                                                        | CUSIP: 3132GFG50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5007 | PA      | $5191.01        | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02067                                                                        | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13089 | PA      | $13584.23       | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02130                                                                        | CUSIP: 3132GFLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14090 | PA      | $14620.87       | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02189                                                                        | CUSIP: 3132GFNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5509 | PA      | $5641.07        | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02345                                                                        | CUSIP: 3132GFTA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4115 | PA      | $4238.83        | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 7/41 #Q02385                                                                                 | CUSIP: 3132GFUJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8740 | PA      | $8899.61        | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02387                                                                                 | CUSIP: 3132GFUL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11459 | PA      | $11668.10       | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02511                                                                                 | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8645 | PA      | $8802.37        | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02763                                                                                 | CUSIP: 3132GGB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10930 | PA      | $11129.50       | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02849                                                                                 | CUSIP: 3132GGEW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         386 | PA      | $392.61         | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/41 #Q03090                                                                                 | CUSIP: 3132GJC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       96128 | PA      | $97882.44       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03210                                                                                 | CUSIP: 3132GJGT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11523 | PA      | $11508.38       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03295                                                                                 | CUSIP: 3132GJKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15800 | PA      | $15757.54       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03358                                                                                 | CUSIP: 3132GJMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48079 | PA      | $47949.78       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2041#Q03517                                                                        | CUSIP: 3132GJSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2116 | PA      | $2154.59        | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/41 #Q03529                                                                                 | CUSIP: 3132GJSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10805 | PA      | $11001.64       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03561                                                                                 | CUSIP: 3132GJTS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8774 | PA      | $8758.64        | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/41 #Q03643                                                                                | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      116799 | PA      | $118936.26      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2041#                                                                                | CUSIP: 3132GK4R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5791 | PA      | $5793.49        | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 10/41 #Q04092                                                                                | CUSIP: 3132GKF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      340964 | PA      | $339964.43      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 10/41 #Q04113                                                                                | CUSIP: 3132GKGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       42533 | PA      | $42410.92       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 11/41 #Q04295                                                                                | CUSIP: 3132GKNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       55360 | PA      | $55157.99       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2041#Q04636                                                                        | CUSIP: 3132GKY91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2523 | PA      | $2516.29        | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 1/1/42 #Q05962                                                                           | CUSIP: 3132GMJF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17839 | PA      | $17780.20       | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 3/42 #Q06886                                                                                 | CUSIP: 3132GR6X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30878 | PA      | $30783.66       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 03/01/2042#                                                                                | CUSIP: 3132GR7A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6434 | PA      | $6397.68        | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 2/42 #Q06088                                                                                 | CUSIP: 3132GRCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29570 | PA      | $29499.52       | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2042#Q06232                                                                        | CUSIP: 3132GRHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      149330 | PA      | $148789.31      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 3/42 #Q07242                                                                                 | CUSIP: 3132GSLX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31665 | PA      | $31527.23       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2042#                                                                                | CUSIP: 3132GSMY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11900 | PA      | $11833.55       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #Q07351                                                                                 | CUSIP: 3132GSQC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10762 | PA      | $10745.38       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #Q07441                                                                                 | CUSIP: 3132GSS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5772 | PA      | $5740.13        | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #Q07573                                                                                 | CUSIP: 3132GSXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8531 | PA      | $8516.67        | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 5/42 #Q08167                                                                                 | CUSIP: 3132GTMQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       52805 | PA      | $52698.16       | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 08/01/2042#Q10217                                                                          | CUSIP: 3132HLG23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8754 | PA      | $8268.95        | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 08/01/2042#Q10538                                                                        | CUSIP: 3132HLS38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6778 | PA      | $6383.05        | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2042#Q11138                                                                        | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48188 | PA      | $48093.18       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 9/42 #Q11420                                                                                 | CUSIP: 3132HMSH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1665 | PA      | $1612.44        | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2042#Q11868                                                                        | CUSIP: 3132HNCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8625 | PA      | $8621.14        | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 10/42 #Q11886                                                                                | CUSIP: 3132HNCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29419 | PA      | $28524.79       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 10/42 #Q12050                                                                                | CUSIP: 3132HNH36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      245940 | PA      | $238426.69      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2042#Q12164                                                                        | CUSIP: 3132HNMM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16817 | PA      | $16740.17       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 10/42 #Q12211                                                                                | CUSIP: 3132HNN47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4182 | PA      | $4050.15        | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2042#Q12215                                                                        | CUSIP: 3132HNN88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6079 | PA      | $6042.77        | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/1/42 #Q13479                                                                            | CUSIP: 3132HP2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6371 | PA      | $6021.73        | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13121                                                                        | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       76208 | PA      | $75881.64       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13381                                                                        | CUSIP: 3132HPXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2111 | PA      | $2114.81        | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 12/01/2042#Q13420                                                                        | CUSIP: 3132HPYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31242 | PA      | $31062.08       | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13425                                                                        | CUSIP: 3132HPYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       66509 | PA      | $66153.05       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13653                                                                        | CUSIP: 3132HQBW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38737 | PA      | $38571.05       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13654                                                                        | CUSIP: 3132HQBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22694 | PA      | $22562.29       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 12/01/2042#Q13899                                                                        | CUSIP: 3132HQKL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17381 | PA      | $17343.15       | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 1/1/43 #Q14696                                                                             | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       44824 | PA      | $42232.97       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3% 2/1/43 #Q15788                                                                                  | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21379 | PA      | $20159.46       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 02/01/2043#Q15789                                                                        | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       48785 | PA      | $46112.51       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.5% 02/43 #Q15869                                                                                 | CUSIP: 3132J66F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      133818 | PA      | $129906.30      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.5% 02/43 #Q15871                                                                                 | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       54671 | PA      | $53197.57       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15893                                                                        | CUSIP: 3132J67F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35003 | PA      | $34776.78       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 02/01/2043#Q15062                                                                        | CUSIP: 3132J6B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31956 | PA      | $30065.61       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15107                                                                        | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19250 | PA      | $19127.52       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 12/01/2042#Q15249                                                                        | CUSIP: 3132J6H31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21096 | PA      | $19871.58       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 01/01/2043#Q15247                                                                        | CUSIP: 3132J6HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       44251 | PA      | $41457.79       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 01/01/2043#Q15372                                                                        | CUSIP: 3132J6MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11555 | PA      | $11485.42       | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15400                                                                        | CUSIP: 3132J6NS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       44576 | PA      | $44305.09       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 2/1/43 #Q15635                                                                             | CUSIP: 3132J6V50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9055 | PA      | $8510.38        | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2043#Q16749                                                                        | CUSIP: 3132J75K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11521 | PA      | $11515.79       | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15992                                                                        | CUSIP: 3132J7C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58405 | PA      | $58085.45       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2043#Q16049                                                                        | CUSIP: 3132J7EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19544 | PA      | $19486.21       | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2043#Q16131                                                                        | CUSIP: 3132J7HH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11808 | PA      | $11734.97       | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 03/01/2043#Q16470                                                                        | CUSIP: 3132J7T44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23882 | PA      | $22500.91       | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q17578                                                                        | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       70560 | PA      | $68394.59       | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q17646                                                                        | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      214728 | PA      | $207912.67      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2043#Q17518                                                                        | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30959 | PA      | $30815.54       | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18481                                                                        | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       40552 | PA      | $40298.77       | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18564                                                                        | CUSIP: 3132J96A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13792 | PA      | $13698.39       | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18131                                                                        | CUSIP: 3132J9PR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14049 | PA      | $13950.77       | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18136                                                                        | CUSIP: 3132J9PW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4169 | PA      | $4146.02        | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18363                                                                        | CUSIP: 3132J9WZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12635 | PA      | $12548.64       | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19597                                                                        | CUSIP: 3132JBDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       79871 | PA      | $79367.55       | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19606                                                                        | CUSIP: 3132JBDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34181 | PA      | $34007.68       | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19690                                                                        | CUSIP: 3132JBF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       61922 | PA      | $61609.15       | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2043#Q19744                                                                        | CUSIP: 3132JBHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35114 | PA      | $35019.14       | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2043#Q19747                                                                        | CUSIP: 3132JBHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21164 | PA      | $21023.75       | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19764                                                                        | CUSIP: 3132JBJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22931 | PA      | $22774.69       | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19988                                                                        | CUSIP: 3132JBRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19138 | PA      | $19002.13       | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20785                                                                        | CUSIP: 3132JM2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21550 | PA      | $21502.82       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20882                                                                        | CUSIP: 3132JM6T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6871 | PA      | $6822.23        | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q20358                                                                        | CUSIP: 3132JMMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19900 | PA      | $19760.46       | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q20360                                                                        | CUSIP: 3132JMMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7541 | PA      | $7489.26        | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20707                                                                        | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36147 | PA      | $35915.35       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20763                                                                        | CUSIP: 3132JMZ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29342 | PA      | $29263.94       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21255                                                                        | CUSIP: 3132JNMC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       47774 | PA      | $47436.15       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21258                                                                        | CUSIP: 3132JNMF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       54501 | PA      | $54171.19       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21524                                                                        | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1401 | PA      | $1403.01        | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21526                                                                        | CUSIP: 3132JNVT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31268 | PA      | $31093.07       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21605                                                                        | CUSIP: 3132JNYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       52077 | PA      | $51785.33       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22677                                                                        | CUSIP: 3132JP6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28965 | PA      | $28746.51       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22682                                                                        | CUSIP: 3132JP6T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12489 | PA      | $12397.74       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21835                                                                        | CUSIP: 3132JPBC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58071 | PA      | $57743.53       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21845                                                                        | CUSIP: 3132JPBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45847 | PA      | $45547.97       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21900                                                                        | CUSIP: 3132JPDD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16794 | PA      | $16668.37       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22499                                                                        | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       86765 | PA      | $86189.89       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22486                                                                        | CUSIP: 3132JPXP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11323 | PA      | $11269.82       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 01/01/2044#V80950                                                                        | CUSIP: 3132L6BT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34840 | PA      | $34579.13       | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2044#V81065                                                                        | CUSIP: 3132L6FE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9272 | PA      | $9431.13        | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2043#Q23023                                                                        | CUSIP: 3132M3AY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28567 | PA      | $28438.34       | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 01/01/2044#Q24349                                                                        | CUSIP: 3132M4QA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26707 | PA      | $26537.00       | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2044#Q24572                                                                        | CUSIP: 3132M4W92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11304 | PA      | $11502.42       | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24546                                                                        | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35086 | PA      | $34866.30       | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24971                                                                        | CUSIP: 3132M5FL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19244 | PA      | $19139.59       | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24973                                                                        | CUSIP: 3132M5FN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18657 | PA      | $18507.75       | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2044#Q25226                                                                        | CUSIP: 3132M5PK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41134 | PA      | $40830.87       | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2044#Q27069                                                                        | CUSIP: 3132M7QW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2799 | PA      | $2846.76        | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/44#Q28370                                                                          | CUSIP: 3132M86F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32933 | PA      | $32715.22       | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2044#Q27808                                                                        | CUSIP: 3132M8KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9052 | PA      | $9017.97        | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2044#Q28059                                                                        | CUSIP: 3132M8TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9254 | PA      | $9185.51        | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/44#Q28991                                                                          | CUSIP: 3132M9UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       57703 | PA      | $57218.50       | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q31974                                                                        | CUSIP: 3132QNFQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       69985 | PA      | $67517.38       | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32008                                                                        | CUSIP: 3132QNGS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      323114 | PA      | $311285.79      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32124                                                                        | CUSIP: 3132QNLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28040 | PA      | $27189.41       | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32328                                                                        | CUSIP: 3132QNSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       88127 | PA      | $85068.00       | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 05/01/2045#Q33468                                                                        | CUSIP: 3132QP2A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30385 | PA      | $28291.59       | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33547                                                                        | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      740592 | PA      | $712350.79      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33578                                                                        | CUSIP: 3132QP6Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41723 | PA      | $40160.84       | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2045#Q33138                                                                        | CUSIP: 3132QPPY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60988 | PA      | $60412.36       | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33347                                                                        | CUSIP: 3132QPWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22201 | PA      | $21396.93       | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2045#Q34458                                                                        | CUSIP: 3132QQ5U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      132402 | PA      | $131267.70      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2045#Q34467                                                                        | CUSIP: 3132QQ6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46484 | PA      | $46108.25       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33623                                                                        | CUSIP: 3132QQAZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9891 | PA      | $9602.13        | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q33724                                                                        | CUSIP: 3132QQD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       66965 | PA      | $64598.96       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q33791                                                                        | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      146240 | PA      | $141030.48      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q34164                                                                        | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      897394 | PA      | $863884.22      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q34311                                                                        | CUSIP: 3132QQYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1237466 | PA      | $1193137.32     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35372                                                                                   | CUSIP: 3132QR6J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26769 | PA      | $24917.27       | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35375                                                                                   | CUSIP: 3132QR6M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16026 | PA      | $14996.43       | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2045#Q34759                                                                        | CUSIP: 3132QRJD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       63840 | PA      | $59528.68       | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2045#Q34979                                                                        | CUSIP: 3132QRQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23652 | PA      | $22410.52       | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2045#Q37070                                                                        | CUSIP: 3132QT2C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15812 | PA      | $15226.69       | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.08% 6/33 #1B0891                                                                             | CUSIP: 31336SRL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2385 | PA      | $2464.28        | 0.00%             | 2033-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2412 FK SOFR30A+91.448 1/32                                                                         | CUSIP: 31339DTC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         881 | PA      | $885.87         | 0.00%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2380 SY SOFR30A+808.552 11/31                                                                       | CUSIP: 31339GVS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1156 | PA      | $55.99          | 0.00%             | 2031-11-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2432 FE SOFR30A+101.448 6/31                                                                        | CUSIP: 31339NNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1691 | PA      | $1701.45        | 0.00%             | 2031-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2432 FG SOFR30A+101.448 3/32                                                                        | CUSIP: 31339NNN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         620 | PA      | $624.80         | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2423 FA SOFR30A+101.448 3/32                                                                        | CUSIP: 31339WBA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1193 | PA      | $1200.87        | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2424 FM SOFR30A+111.448 3/32                                                                        | CUSIP: 31339WJT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1154 | PA      | $1165.11        | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHR 2043 CJ 6.5% 4/28                                                                                   | CUSIP: 3133TDML7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |         906 | PA      | $916.62         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHR 2043 ZH 6% 4/28                                                                                     | CUSIP: 3133TDPN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        1821 | PA      | $1850.34        | 0.00%             | 2028-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHR 2056 Z 6% 5/28                                                                                      | CUSIP: 3133TDZM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        6983 | PA      | $7097.84        | 0.00%             | 2028-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2101 PD 6% 11/28                                                                                    | CUSIP: 3133TGPD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         749 | PA      | $763.21         | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2095 PE 6% 11/28                                                                                    | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       10507 | PA      | $10708.28       | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2104 PG 6% 12/28                                                                                    | CUSIP: 3133THA56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         838 | PA      | $854.76         | 0.00%             | 2028-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2114 ZM 6% 1/29                                                                                     | CUSIP: 3133THQB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         372 | PA      | $380.01         | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2121 MG 6% 2/29                                                                                     | CUSIP: 3133TJA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        4536 | PA      | $4631.17        | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2137 PG 6% 3/29                                                                                     | CUSIP: 3133TJR70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        3735 | PA      | $3808.63        | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2135 JE 6% 3/29                                                                                     | CUSIP: 3133TJWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        2581 | PA      | $2625.97        | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2131 BG 6% 3/29                                                                                     | CUSIP: 3133TK2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       26703 | PA      | $27168.99       | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2154 PT 6% 5/29                                                                                     | CUSIP: 3133TKW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        9651 | PA      | $9859.87        | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2162 PH 6 6/29                                                                                      | CUSIP: 3133TLBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1467 | PA      | $1490.57        | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2218 ZB 6% 3/30                                                                                     | CUSIP: 3133TNM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        4855 | PA      | $4958.91        | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2274 ZM 6.5% 1/31                                                                                   | CUSIP: 3133TR4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        3118 | PA      | $3166.51        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2303 ZV 6% 4/31                                                                                     | CUSIP: 3133TSTH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        2836 | PA      | $2895.03        | 0.00%             | 2031-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2357 ZB 6.5% 9/31                                                                                   | CUSIP: 3133TUUS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       32682 | PA      | $33978.58       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.56% 6/33 #780605                                                                             | CUSIP: 31342AU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10070 | PA      | $10319.22       | 0.00%             | 2033-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 1997-41 J 7.5% 6/27                                                                                 | CUSIP: 31359PQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         548 | PA      | $555.33         | 0.00%             | 2027-06-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-20 Z 6% 5/31                                                                                   | CUSIP: 31359SXB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       12322 | PA      | $12559.03       | 0.00%             | 2031-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-17 PG 6% 4/29                                                                                  | CUSIP: 31359VSD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        7813 | PA      | $7926.60        | 0.00%             | 2029-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-25 Z 6% 6/29                                                                                   | CUSIP: 31359VU27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        7262 | PA      | $7325.93        | 0.00%             | 2029-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-32 PL 6% 7/29                                                                                  | CUSIP: 31359WHX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       11731 | PA      | $11949.69       | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-33 PK 6% 7/29                                                                                  | CUSIP: 31359WKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        8797 | PA      | $8956.16        | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #190284                                                                                 | CUSIP: 31368HJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          40 | PA      | $40.96          | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/27 #190289                                                                                | CUSIP: 31368HKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          27 | PA      | $28.46          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #190294                                                                                 | CUSIP: 31368HKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         140 | PA      | $147.24         | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027                                                          | CUSIP: 3136A7HT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |          27 | PA      | $0.06           | 0.00%             | 2027-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2013-16 GP 3% 1/1/33                                                                                | CUSIP: 3136ACSD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      118359 | PA      | $117110.20      | 0.00%             | 2033-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2015-70 JC 3% 10/45                                                                                 | CUSIP: 3136AQCV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      369685 | PA      | $358115.91      | 0.00%             | 2045-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 343 16 5.5% 5/34                                                                                    | CUSIP: 3136FA6N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       10386 | PA      | $1381.79        | 0.00%             | 2034-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 339 5 5.5% 8/33                                                                                     | CUSIP: 3136FAZ78<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       10993 | PA      | $1422.31        | 0.00%             | 2033-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 348 14 6.5% 8/34                                                                                    | CUSIP: 3136FCEU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        8718 | PA      | $1453.80        | 0.00%             | 2034-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 351 12 5.5% 4/34                                                                                    | CUSIP: 3136FCJB3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        5328 | PA      | $749.71         | 0.00%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 351 13 6% 3/34                                                                                      | CUSIP: 3136FCJC1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        8331 | PA      | $1316.14        | 0.00%             | 2034-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 359 19 6% 7/35                                                                                      | CUSIP: 3136FCUL8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        4917 | PA      | $823.97         | 0.00%             | 2035-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA STRIPPED MTG BKD SECS                                                         | FNS 384 6 5% 7/37                                                                                       | CUSIP: 3136FER61<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       48889 | PA      | $7416.51        | 0.00%             | 2037-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #250701                                                                                | CUSIP: 31371FNS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $1.85           | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #250736                                                                                | CUSIP: 31371FPV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $1.75           | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/27 #250799                                                                                 | CUSIP: 31371FRU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $2.64           | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #250912                                                                                 | CUSIP: 31371FVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           9 | PA      | $9.53           | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7.5% 06/01/2027#250951                                                                        | CUSIP: 31371FWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         104 | PA      | $105.72         | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #250990                                                                                 | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          11 | PA      | $11.29          | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/28 #251975                                                                                 | CUSIP: 31371G2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          36 | PA      | $36.67          | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/28 #252084                                                                                | CUSIP: 31371G6V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          11 | PA      | $11.59          | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/27 #251286                                                                                | CUSIP: 31371GCX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          16 | PA      | $17.19          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #251298                                                                                | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          72 | PA      | $73.18          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/28 #251409                                                                                 | CUSIP: 31371GGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           8 | PA      | $8.73           | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #251410                                                                                 | CUSIP: 31371GGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          79 | PA      | $80.61          | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #251500                                                                                 | CUSIP: 31371GKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          14 | PA      | $14.34          | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #251569                                                                                 | CUSIP: 31371GMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           9 | PA      | $9.35           | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #251570                                                                                 | CUSIP: 31371GMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          68 | PA      | $69.51          | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/28 #251615                                                                                 | CUSIP: 31371GN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          79 | PA      | $81.07          | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/28 #251822                                                                                 | CUSIP: 31371GVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         137 | PA      | $140.51         | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA FHAL 7% 12/28#252285                                                                               | CUSIP: 31371HF29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          76 | PA      | $77.20          | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/29 #252492                                                                                 | CUSIP: 31371HNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          35 | PA      | $36.57          | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #252646                                                                                 | CUSIP: 31371HTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          30 | PA      | $31.12          | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #252717                                                                                 | CUSIP: 31371HVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          22 | PA      | $22.70          | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #252805                                                                                | CUSIP: 31371HYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          59 | PA      | $61.68          | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/29 #252806                                                                                | CUSIP: 31371HYB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          96 | PA      | $99.95          | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/31 #253895                                                                                 | CUSIP: 31371J7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          32 | PA      | $33.28          | 0.00%             | 2031-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/31 #253907                                                                                 | CUSIP: 31371KAG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          53 | PA      | $56.05          | 0.00%             | 2031-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #254058                                                                                 | CUSIP: 31371KE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          26 | PA      | $26.15          | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #254240                                                                                 | CUSIP: 31371KLV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2684 | PA      | $2834.51        | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/32 #254335                                                                                 | CUSIP: 31371KPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         628 | PA      | $669.02         | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #254379                                                                                 | CUSIP: 31371KQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         316 | PA      | $334.37         | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/32 #254383                                                                                 | CUSIP: 31371KRC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         138 | PA      | $147.42         | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.50% 9/32 #254476                                                                                 | CUSIP: 31371KT92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         437 | PA      | $451.23         | 0.00%             | 2032-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/32 #254613                                                                                | CUSIP: 31371KYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          91 | PA      | $96.42          | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/26 #256469                                                                                 | CUSIP: 31371M2A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         308 | PA      | $309.13         | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/26 #256507                                                                                | CUSIP: 31371M3Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         149 | PA      | $149.46         | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 7.00% 12/26 #256589                                                                           | CUSIP: 31371M7A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         113 | PA      | $112.98         | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/35 #255816                                                                                 | CUSIP: 31371MDV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         241 | PA      | $257.43         | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #255844                                                                                 | CUSIP: 31371MER4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23697 | PA      | $25000.72       | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/35 #255896                                                                                 | CUSIP: 31371MGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         326 | PA      | $348.77         | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 9/35 #255951                                                                                 | CUSIP: 31371MH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         143 | PA      | $152.56         | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 7.00% 8/26 #256430                                                                            | CUSIP: 31371MY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         204 | PA      | $204.14         | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/27 #256630                                                                                 | CUSIP: 31371NA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         226 | PA      | $226.60         | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.50% 11/34 #310105                                                                                | CUSIP: 31374CNW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      212681 | PA      | $220561.05      | 0.00%             | 2034-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2035#310165                                                                        | CUSIP: 31374CQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85285 | PA      | $87672.07       | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #313182                                                                                | CUSIP: 31374F2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $3.11           | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/27 #313644                                                                                 | CUSIP: 31374GLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         178 | PA      | $179.18         | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #313711                                                                                 | CUSIP: 31374GN45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          18 | PA      | $18.12          | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/27 #313687                                                                                 | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          36 | PA      | $37.86          | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/27 #313828                                                                                | CUSIP: 31374GSR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $3.53           | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #313835                                                                                | CUSIP: 31374GSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          68 | PA      | $68.94          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/28 #313947                                                                                 | CUSIP: 31374GWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          11 | PA      | $11.44          | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #323317                                                                                 | CUSIP: 31374TDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         196 | PA      | $206.15         | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/28 #323424                                                                                | CUSIP: 31374TG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         114 | PA      | $116.76         | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/29 #323500                                                                                 | CUSIP: 31374TKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          34 | PA      | $35.74          | 0.00%             | 2029-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/29 #323542                                                                                 | CUSIP: 31374TLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         381 | PA      | $399.68         | 0.00%             | 2029-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/29 #323645                                                                                 | CUSIP: 31374TP60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          14 | PA      | $14.82          | 0.00%             | 2029-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/29 #323688                                                                                 | CUSIP: 31374TRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         113 | PA      | $114.95         | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/29 #323819                                                                                 | CUSIP: 31374TVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          47 | PA      | $48.17          | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #323868                                                                                 | CUSIP: 31374TW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          74 | PA      | $75.59          | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #323961                                                                                | CUSIP: 31374TZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         171 | PA      | $179.74         | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #323968                                                                                | CUSIP: 31374TZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          47 | PA      | $49.17          | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #331338                                                                                 | CUSIP: 31375DBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         177 | PA      | $185.99         | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/26 #349340                                                                                 | CUSIP: 31376ABH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $3.02           | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/26 #349356                                                                                 | CUSIP: 31376ABZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          33 | PA      | $32.79          | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/27 #356391                                                                                 | CUSIP: 31376H2Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          77 | PA      | $77.80          | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/27 #357002                                                                                 | CUSIP: 31376JRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          16 | PA      | $15.76          | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #357040                                                                                 | CUSIP: 31376JS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         264 | PA      | $274.16         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/34 #357634                                                                                | CUSIP: 31376KHK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17129 | PA      | $18025.27       | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #357843                                                                                 | CUSIP: 31376KP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7619 | PA      | $8037.52        | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #357953                                                                                 | CUSIP: 31376KTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4555 | PA      | $4796.89        | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/26 #358466                                                                                 | CUSIP: 31376LFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          29 | PA      | $29.40          | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #359551                                                                                | CUSIP: 31376ML83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          13 | PA      | $12.80          | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/27 #361825                                                                                 | CUSIP: 31376P4J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           8 | PA      | $8.21           | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #367516                                                                                 | CUSIP: 31376WGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          24 | PA      | $24.03          | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/27 #368817                                                                                 | CUSIP: 31376XVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         151 | PA      | $151.91         | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #369318                                                                                 | CUSIP: 31376YG34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          18 | PA      | $18.29          | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/27 #371593                                                                                 | CUSIP: 31377AXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          70 | PA      | $70.26          | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #379801                                                                                 | CUSIP: 31377K3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         253 | PA      | $256.46         | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #379219                                                                                 | CUSIP: 31377KG41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          17 | PA      | $17.40          | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #394197                                                                                 | CUSIP: 31378B3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          39 | PA      | $39.42          | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #393409                                                                                 | CUSIP: 31378BAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          34 | PA      | $34.54          | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #394494                                                                                 | CUSIP: 31378CGB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         209 | PA      | $213.41         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #396096                                                                                 | CUSIP: 31378D7H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         190 | PA      | $193.30         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #395754                                                                                 | CUSIP: 31378DTK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $7.46           | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #397106                                                                                 | CUSIP: 31378FDK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           1 | PA      | $1.43           | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #397256                                                                                | CUSIP: 31378FH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          90 | PA      | $91.65          | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #401788                                                                                | CUSIP: 31378LJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          19 | PA      | $19.59          | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #401913                                                                                | CUSIP: 31378LN65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           2 | PA      | $2.36           | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404971                                                                                | CUSIP: 31378P2C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          13 | PA      | $13.28          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404745                                                                                | CUSIP: 31378PTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          44 | PA      | $44.72          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404846                                                                                | CUSIP: 31378PWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          13 | PA      | $13.43          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #405312                                                                                | CUSIP: 31378QGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          63 | PA      | $64.53          | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #405830                                                                                | CUSIP: 31378QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          85 | PA      | $87.43          | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/28 #406815                                                                                 | CUSIP: 31378R3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         717 | PA      | $752.40         | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #409486                                                                                 | CUSIP: 31378U2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         116 | PA      | $117.57         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #412598                                                                                 | CUSIP: 31378YKK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $7.32           | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #413578                                                                                 | CUSIP: 31379AM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          89 | PA      | $91.06          | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #413862                                                                                 | CUSIP: 31379AWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         257 | PA      | $261.29         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #416207                                                                                 | CUSIP: 31379DKU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          45 | PA      | $46.08          | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #416823                                                                                 | CUSIP: 31379EAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          39 | PA      | $40.83          | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/28 #416921                                                                                 | CUSIP: 31379ED20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           9 | PA      | $9.91           | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #417739                                                                                | CUSIP: 31379FBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          37 | PA      | $37.02          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/28 #418412                                                                                 | CUSIP: 31379FYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          24 | PA      | $25.38          | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #420260                                                                                 | CUSIP: 31379HZZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          99 | PA      | $101.07         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #420501                                                                                 | CUSIP: 31379JDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         311 | PA      | $314.77         | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/28 #432548                                                                                 | CUSIP: 31379XP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         677 | PA      | $711.07         | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3832 PE 5% 3/41                                                                                     | CUSIP: 3137A7WV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      267828 | PA      | $275124.52      | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3949 MK 4.5% 10/34                                                                                  | CUSIP: 3137AFZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       97119 | PA      | $97894.83       | 0.00%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP 4.5% 11/15/2040                                                                | CUSIP: 3137BE3R3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      578294 | PA      | $578808.65      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040                                                          | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       96600 | PA      | $96450.96       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/28 #437140                                                                                 | CUSIP: 31380DS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          80 | PA      | $83.50          | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #443819                                                                                 | CUSIP: 31380MAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         166 | PA      | $173.97         | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/28 #449544                                                                                | CUSIP: 31380TLZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         226 | PA      | $231.16         | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #451746                                                                                 | CUSIP: 31380VZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         196 | PA      | $199.20         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/28 #457257                                                                                | CUSIP: 31381C5S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          60 | PA      | $60.93          | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #479545                                                                                 | CUSIP: 31382DWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          85 | PA      | $89.58          | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #481840                                                                                | CUSIP: 31382GHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          12 | PA      | $12.51          | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/29 #492695                                                                                 | CUSIP: 31382UKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          57 | PA      | $60.03          | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/29 #494945                                                                                 | CUSIP: 31382WZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1691 | PA      | $1774.94        | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #499386                                                                                 | CUSIP: 31383CXP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         137 | PA      | $141.99         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/29 #500286                                                                                 | CUSIP: 31383DXP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         443 | PA      | $464.83         | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/29 #505740                                                                                 | CUSIP: 31383KZD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         178 | PA      | $187.20         | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/29 #506350                                                                                 | CUSIP: 31383LQB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         208 | PA      | $216.80         | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #510166                                                                                 | CUSIP: 31383QW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         258 | PA      | $268.67         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #511096                                                                                 | CUSIP: 31383RXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          11 | PA      | $11.76          | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #511373                                                                                 | CUSIP: 31383SCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          59 | PA      | $59.61          | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #516134                                                                                 | CUSIP: 31383XLP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          19 | PA      | $19.70          | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/29 #520559                                                                                | CUSIP: 31384DJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         772 | PA      | $807.63         | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/29 #520975                                                                                | CUSIP: 31384DXC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          53 | PA      | $54.71          | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/29 #523195                                                                                | CUSIP: 31384GGC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          17 | PA      | $17.07          | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/29 #524241                                                                                | CUSIP: 31384HLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          66 | PA      | $67.97          | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #527248                                                                                | CUSIP: 31384LWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          43 | PA      | $44.79          | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/29 #527286                                                                                | CUSIP: 31384LXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         407 | PA      | $427.25         | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/30 #531078                                                                                 | CUSIP: 31384Q6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         207 | PA      | $217.68         | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/30 #532153                                                                                 | CUSIP: 31384SE21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          18 | PA      | $18.83          | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/30 #535486                                                                                 | CUSIP: 31384V2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          14 | PA      | $15.18          | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/30 #535143                                                                                 | CUSIP: 31384VP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         315 | PA      | $327.91         | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/30 #535336                                                                                 | CUSIP: 31384VV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          12 | PA      | $12.53          | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/29 #535762                                                                                 | CUSIP: 31384WFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          30 | PA      | $31.73          | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/31 #545304                                                                                | CUSIP: 31385HX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         203 | PA      | $213.59         | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/32 #545513                                                                                 | CUSIP: 31385JAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         106 | PA      | $110.97         | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/32 #545759                                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13567 | PA      | $14205.08       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/32 #545762                                                                                 | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2724 | PA      | $2850.50        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #545813                                                                                 | CUSIP: 31385JK23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          76 | PA      | $80.59          | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/30 #549602                                                                                 | CUSIP: 31385QRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          93 | PA      | $98.34          | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/32 #555144                                                                                | CUSIP: 31385WWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         110 | PA      | $115.65         | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #563103                                                                                | CUSIP: 31386GRY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          95 | PA      | $96.72          | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/30 #563583                                                                                | CUSIP: 31386HCU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         386 | PA      | $408.37         | 0.00%             | 2030-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 9.00% 10/30 #567024                                                                                | CUSIP: 31386L4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2228 | PA      | $2371.33        | 0.00%             | 2030-10-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/30 #567034                                                                                 | CUSIP: 31386L4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3502 | PA      | $3573.35        | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/31 #570320                                                                                 | CUSIP: 31386QSH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         164 | PA      | $172.88         | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #572167                                                                                | CUSIP: 31386STY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          29 | PA      | $30.39          | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/31 #575585                                                                                 | CUSIP: 31386WNA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          83 | PA      | $87.56          | 0.00%             | 2031-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/30 #590851                                                                                 | CUSIP: 31387QL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6546 | PA      | $6872.20        | 0.00%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/31 #596248                                                                                 | CUSIP: 31387WL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         145 | PA      | $152.52         | 0.00%             | 2031-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #604620                                                                                 | CUSIP: 31388GVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          98 | PA      | $103.28         | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/31 #604935                                                                                | CUSIP: 31388HBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          79 | PA      | $83.85          | 0.00%             | 2031-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #608317                                                                                 | CUSIP: 31388LYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          48 | PA      | $50.55          | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #611797                                                                                 | CUSIP: 31388QUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2433 | PA      | $2586.19        | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/31 #614978                                                                                | CUSIP: 31388UFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         200 | PA      | $211.15         | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/31 #622219                                                                                | CUSIP: 31389DG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         400 | PA      | $419.62         | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #622547                                                                                 | CUSIP: 31389DTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1041 | PA      | $1093.35        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/32 #624486                                                                                 | CUSIP: 31389FXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         375 | PA      | $396.17         | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/32 #625027                                                                                 | CUSIP: 31389GLG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          87 | PA      | $92.34          | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/32 #631463                                                                                 | CUSIP: 31389PQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         155 | PA      | $164.64         | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #634294                                                                                 | CUSIP: 31389SUT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          83 | PA      | $87.08          | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/32 #638123                                                                                 | CUSIP: 31389W4G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1247 | PA      | $1336.65        | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/32 #638545                                                                                 | CUSIP: 31389XL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         226 | PA      | $242.31         | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #639703                                                                                 | CUSIP: 31389YU41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         170 | PA      | $179.49         | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/32 #639704                                                                                 | CUSIP: 31389YU58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         210 | PA      | $223.38         | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0851                                                                                | CUSIP: 3138A15M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5211 | PA      | $5190.39        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2041#AH0064                                                                        | CUSIP: 3138A1CA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1581 | PA      | $1607.64        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH0358                                                                                 | CUSIP: 3138A1MG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2335 | PA      | $2327.60        | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0493                                                                                | CUSIP: 3138A1RP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3732 | PA      | $3724.03        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0573                                                                                | CUSIP: 3138A1T76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2306 | PA      | $2299.54        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH1256                                                                                 | CUSIP: 3138A2ME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34345 | PA      | $34214.23       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2041#AH1582                                                                        | CUSIP: 3138A2XL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         826 | PA      | $824.34         | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AH1986                                                                                | CUSIP: 3138A3F44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2949 | PA      | $2998.32        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH2152                                                                                 | CUSIP: 3138A3MA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8345 | PA      | $8328.15        | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH2365                                                                                 | CUSIP: 3138A3TX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4197 | PA      | $4184.34        | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH3520                                                                        | CUSIP: 3138A44E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43033 | PA      | $42891.53       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.00% 1/41#AH3161                                                                             | CUSIP: 3138A4QP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9555 | PA      | $9519.14        | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AH4471                                                                                 | CUSIP: 3138A56H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12311 | PA      | $12269.10       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2041#AH4043                                                                        | CUSIP: 3138A5P55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6376 | PA      | $6483.71        | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH4121                                                                                 | CUSIP: 3138A5SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7475 | PA      | $7449.68        | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AH4609                                                                                 | CUSIP: 3138A6DP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2149 | PA      | $2141.24        | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH4872                                                                        | CUSIP: 3138A6MW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3144 | PA      | $3132.45        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH4987                                                                                 | CUSIP: 3138A6RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13984 | PA      | $13933.93       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6233                                                                                 | CUSIP: 3138A74T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16777 | PA      | $16715.16       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2041#AH5464                                                                        | CUSIP: 3138A7CA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1497 | PA      | $1522.46        | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 2/41 #AH5581                                                                                 | CUSIP: 3138A7FX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3943 | PA      | $4009.94        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6075                                                                                 | CUSIP: 3138A7XD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9258 | PA      | $9224.83        | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH6520                                                                        | CUSIP: 3138A8G67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3720 | PA      | $3708.63        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/36 #AH8017                                                                                 | CUSIP: 3138A94B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9509 | PA      | $9507.71        | 0.00%             | 2036-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2041#AH7219                                                                        | CUSIP: 3138A9AV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11175 | PA      | $11365.38       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 03/01/2041#AH7495                                                                        | CUSIP: 3138A9KH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6653 | PA      | $6621.73        | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 3/41 #AH8776                                                                                 | CUSIP: 3138AAXE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         567 | PA      | $572.35         | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AH9771                                                                                 | CUSIP: 3138AB2D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5469 | PA      | $5445.99        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 04/01/2041#AH9677                                                                        | CUSIP: 3138ABXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4889 | PA      | $5059.51        | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 04/01/2041#AI1360                                                                        | CUSIP: 3138AEQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11408 | PA      | $11813.30       | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AI2509                                                                                 | CUSIP: 3138AFYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3500 | PA      | $3493.35        | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.228% 7/41#AI3469                                                                             | CUSIP: 3138AG2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3286 | PA      | $3450.76        | 0.00%             | 2041-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2041#AI5034                                                                        | CUSIP: 3138AJSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13613 | PA      | $14091.41       | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/01/2041#AI5189                                                                        | CUSIP: 3138AJXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2015 | PA      | $2087.17        | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 07/01/2041#AI6050                                                                         | CUSIP: 3138AKWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1612 | PA      | $1693.17        | 0.00%             | 2041-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 10/01/2041#AI6819                                                                         | CUSIP: 3138ALSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         951 | PA      | $989.81         | 0.00%             | 2041-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.967% 8/41#AI8879                                                                             | CUSIP: 3138AN2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16127 | PA      | $16936.32       | 0.00%             | 2041-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 09/01/2041#AI9813                                                                         | CUSIP: 3138AP3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2807 | PA      | $2947.74        | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AI9685                                                                                 | CUSIP: 3138APXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4839 | PA      | $4831.17        | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AI9692                                                                                 | CUSIP: 3138APXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9035 | PA      | $8981.66        | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AJ0165                                                                                 | CUSIP: 3138ARFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19861 | PA      | $19777.42       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ2387                                                                                | CUSIP: 3138ATUM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5757 | PA      | $5735.14        | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ3485                                                                                | CUSIP: 3138AU2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17909 | PA      | $17823.29       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ4047                                                                                | CUSIP: 3138AVP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      428200 | PA      | $426527.48      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ4198                                                                                | CUSIP: 3138AVUY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42705 | PA      | $42526.58       | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AJ4287                                                                                 | CUSIP: 3138AVXR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7724 | PA      | $7686.88        | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AJ5385                                                                                | CUSIP: 3138AW6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140032 | PA      | $139421.48      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ4794                                                                                | CUSIP: 3138AWKG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1698 | PA      | $1698.44        | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2042#AJ5572                                                                        | CUSIP: 3138AXFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      505484 | PA      | $503764.88      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2042#AJ5602                                                                        | CUSIP: 3138AXGL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      356211 | PA      | $354567.48      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ5748                                                                                | CUSIP: 3138AXL66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12315 | PA      | $12264.17       | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AJ7139                                                                                | CUSIP: 3138AY4Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6316 | PA      | $6276.73        | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ8098                                                                                | CUSIP: 3138E07L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57307 | PA      | $57040.05       | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ7472                                                                                | CUSIP: 3138E0JS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8306 | PA      | $8270.59        | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2042#AJ7531                                                                        | CUSIP: 3138E0LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61245 | PA      | $59387.76       | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/42 #AJ8222                                                                                 | CUSIP: 3138E1D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5449 | PA      | $5414.90        | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 01/01/2042#AJ8357                                                                         | CUSIP: 3138E1JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20925 | PA      | $21974.44       | 0.00%             | 2042-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK1110                                                                                 | CUSIP: 3138E5GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22589 | PA      | $22453.83       | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/42 #AK1411                                                                                 | CUSIP: 3138E5R91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1653 | PA      | $1649.97        | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK1385                                                                                 | CUSIP: 3138E5RF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17338 | PA      | $17264.14       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK1510                                                                                 | CUSIP: 3138E5VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19379 | PA      | $19301.07       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.691% 02/01/2042#AK2344                                                                       | CUSIP: 3138E6TA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9235 | PA      | $9698.40        | 0.00%             | 2042-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK2525                                                                                 | CUSIP: 3138E6YX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8539 | PA      | $8528.63        | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK3548                                                                                 | CUSIP: 3138E75J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3801 | PA      | $3789.01        | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK3455                                                                                 | CUSIP: 3138E7ZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28694 | PA      | $28598.89       | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK5316                                                                                 | CUSIP: 3138E94A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10839 | PA      | $10787.76       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK6409                                                                                 | CUSIP: 3138EBDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21839 | PA      | $21720.34       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 4/42 #AK6572                                                                                 | CUSIP: 3138EBJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31532 | PA      | $30549.86       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK7441                                                                                 | CUSIP: 3138ECHT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10101 | PA      | $10046.16       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK8228                                                                                 | CUSIP: 3138EDEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103724 | PA      | $103284.30      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK8237                                                                                 | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      148747 | PA      | $148107.95      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK9019                                                                                 | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48808 | PA      | $48598.11       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK9701                                                                                 | CUSIP: 3138EEX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29307 | PA      | $29167.31       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK9948                                                                                 | CUSIP: 3138EFBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18847 | PA      | $18726.71       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/41 #AL0913                                                                                 | CUSIP: 3138EHAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98016 | PA      | $104165.32      | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2039#AL0939                                                                        | CUSIP: 3138EHBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      171320 | PA      | $174182.45      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AL1193                                                                                | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      163195 | PA      | $162529.86      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AL1521                                                                                 | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      166447 | PA      | $165519.85      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/42 #AL2128                                                                                 | CUSIP: 3138EJLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3120 | PA      | $3319.42        | 0.00%             | 2042-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/40 #AL2129                                                                                 | CUSIP: 3138EJLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51872 | PA      | $55088.36       | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/34 #AL2130                                                                                | CUSIP: 3138EJLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32107 | PA      | $33699.83       | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2042#AL2266                                                                        | CUSIP: 3138EJQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      202186 | PA      | $195851.91      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AL2537                                                                                 | CUSIP: 3138EJZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      108372 | PA      | $104929.96      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AL2884                                                                        | CUSIP: 3138EKF26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37915 | PA      | $35681.28       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AL2860                                                                        | CUSIP: 3138EKFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22242 | PA      | $20937.51       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 01/01/2033#AL2974                                                                        | CUSIP: 3138EKJU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      111127 | PA      | $107155.74      | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 01/01/2033#AL2975                                                                        | CUSIP: 3138EKJV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      147990 | PA      | $142757.33      | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/1/42 #AL3046                                                                          | CUSIP: 3138EKL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      147497 | PA      | $139074.06      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AL3181                                                                        | CUSIP: 3138EKRB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      501349 | PA      | $472085.00      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2043#AL3657                                                                        | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5035 | PA      | $4877.55        | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 10/01/2041#AL4242                                                                        | CUSIP: 3138ELWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      117017 | PA      | $121148.23      | 0.00%             | 2041-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2033#AL5321                                                                        | CUSIP: 3138EM4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16613 | PA      | $16832.66       | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AL5059                                                                        | CUSIP: 3138EMTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      234492 | PA      | $220526.52      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.947% 07/01/2043#AL5652                                                                       | CUSIP: 3138ENH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58079 | PA      | $60906.88       | 0.00%             | 2043-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2042#AL5881                                                                        | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      241152 | PA      | $245256.69      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2045#AL7147                                                                        | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97096 | PA      | $98659.71       | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2044#AL7195                                                                        | CUSIP: 3138EP7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      288213 | PA      | $270882.44      | 0.00%             | 2044-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 03/01/2045#AL6554                                                                             | CUSIP: 3138EPH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49944 | PA      | $49479.17       | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2042#AL6997                                                                        | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1109354 | PA      | $1128244.48     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2041#AL7018                                                                        | CUSIP: 3138EPYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      151252 | PA      | $153459.85      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/43#AL7261                                                                          | CUSIP: 3138EQB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      231172 | PA      | $224059.33      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 11/01/2044#AL7307                                                                        | CUSIP: 3138EQDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      155901 | PA      | $160014.33      | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2039#AL7550                                                                        | CUSIP: 3138EQL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      177912 | PA      | $182562.57      | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 09/01/2033#AL7521                                                                        | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      504866 | PA      | $518057.85      | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AO0004                                                                                 | CUSIP: 3138LQAE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6364 | PA      | $6332.96        | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AO0513                                                                                 | CUSIP: 3138LQSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2661 | PA      | $2655.16        | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 4/42 #AO1877                                                                                 | CUSIP: 3138LSCP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16569 | PA      | $16035.40       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 06/01/2042#AO2244                                                                              | CUSIP: 3138LSP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5016 | PA      | $5262.04        | 0.00%             | 2042-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2042#AO6386                                                                        | CUSIP: 3138LXCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5949 | PA      | $5760.48        | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2042#AO7372                                                                        | CUSIP: 3138LYFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18422 | PA      | $17836.14       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 8/42 #AO9892                                                                                 | CUSIP: 3138M17E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65040 | PA      | $63112.83       | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 7/42 #AO9368                                                                                 | CUSIP: 3138M1MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14979 | PA      | $14500.88       | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2042#AP0495                                                                        | CUSIP: 3138M3RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27638 | PA      | $26730.03       | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AP1206                                                                        | CUSIP: 3138M4KU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10754 | PA      | $10111.11       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP3391                                                                                 | CUSIP: 3138M6XV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21023 | PA      | $20407.11       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP4410                                                                                 | CUSIP: 3138M73U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      113230 | PA      | $109670.43      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2042#AP3667                                                                        | CUSIP: 3138M7CD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      108210 | PA      | $105208.46      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP4091                                                                                 | CUSIP: 3138M7RM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10338 | PA      | $10009.31       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2042#AP4319                                                                        | CUSIP: 3138M7YR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14564 | PA      | $14047.85       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AP4325                                                                        | CUSIP: 3138M7YX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7935 | PA      | $7506.50        | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP5129                                                                                 | CUSIP: 3138M8VX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59373 | PA      | $57489.62       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP7148                                                                                | CUSIP: 3138MA5J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26482 | PA      | $25651.72       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP6486                                                                                | CUSIP: 3138MAF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7815 | PA      | $7557.96        | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP6523                                                                                 | CUSIP: 3138MAG93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9128 | PA      | $8858.32        | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP7882                                                                                | CUSIP: 3138MBXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      169604 | PA      | $164249.07      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2042#AP8794                                                                        | CUSIP: 3138MCXY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9089 | PA      | $8798.98        | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP9735                                                                                | CUSIP: 3138MDY97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      467413 | PA      | $452560.96      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 11/42 #AQ0170                                                                                | CUSIP: 3138MFFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26919 | PA      | $26004.83       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 11/42 #AQ0206                                                                                | CUSIP: 3138MFGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25657 | PA      | $24812.45       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/43#AQ1113                                                                            | CUSIP: 3138MGGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       70380 | PA      | $66440.00       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AQ1181                                                                                | CUSIP: 3138MGJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44068 | PA      | $42678.17       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ1886                                                                        | CUSIP: 3138MHCY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6930 | PA      | $6485.28        | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ1978                                                                        | CUSIP: 3138MHFU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18358 | PA      | $17197.87       | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ2116                                                                        | CUSIP: 3138MHK69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7959 | PA      | $7483.15        | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ2171                                                                        | CUSIP: 3138MHMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37355 | PA      | $35136.83       | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2042#AQ3314                                                                        | CUSIP: 3138MJVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30250 | PA      | $30764.08       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ3751                                                                        | CUSIP: 3138MKEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8971 | PA      | $8458.96        | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ4673                                                                        | CUSIP: 3138MLFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26783 | PA      | $25235.68       | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AQ5772                                                                        | CUSIP: 3138MMMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7555 | PA      | $7108.35        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/1/42 #AQ7097                                                                          | CUSIP: 3138MN3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32909 | PA      | $31909.67       | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ6625                                                                        | CUSIP: 3138MNLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5031 | PA      | $4710.93        | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ6832                                                                        | CUSIP: 3138MNSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7336 | PA      | $6979.85        | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2043#AQ7316                                                                        | CUSIP: 3138MPDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98301 | PA      | $89271.64       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2042#AQ8878                                                                        | CUSIP: 3138MQ2L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11619 | PA      | $11250.17       | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8934                                                                        | CUSIP: 3138MQ4U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6733 | PA      | $6342.03        | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8634                                                                        | CUSIP: 3138MQSY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23954 | PA      | $22441.50       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8767                                                                        | CUSIP: 3138MQW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10152 | PA      | $9626.23        | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AQ9868                                                                        | CUSIP: 3138MR6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9839 | PA      | $9307.90        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2043#AQ9316                                                                        | CUSIP: 3138MRK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      337583 | PA      | $307408.22      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2043#AQ9328                                                                        | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      192000 | PA      | $185850.20      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2042#AQ9596                                                                        | CUSIP: 3138MRUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11033 | PA      | $10082.30       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2043#AQ9947                                                                        | CUSIP: 3138MSBR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24824 | PA      | $24020.03       | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AQ9994                                                                        | CUSIP: 3138MSC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85328 | PA      | $80327.72       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#MB0249                                                                        | CUSIP: 3138MTH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11167 | PA      | $10497.19       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR0015                                                                        | CUSIP: 3138NWAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77297 | PA      | $72653.69       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR0530                                                                        | CUSIP: 3138NWSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21609 | PA      | $20339.20       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR0532                                                                        | CUSIP: 3138NWSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7704 | PA      | $7260.35        | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0739                                                                        | CUSIP: 3138NWZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46555 | PA      | $43720.65       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1680                                                                        | CUSIP: 3138NX2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3089 | PA      | $2929.52        | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0910                                                                        | CUSIP: 3138NXAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8037 | PA      | $7576.13        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0938                                                                        | CUSIP: 3138NXBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3581 | PA      | $3351.62        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0988                                                                        | CUSIP: 3138NXC21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9803 | PA      | $9206.51        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1150                                                                        | CUSIP: 3138NXH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9543 | PA      | $8963.62        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 1/1/43 #AR1183                                                                           | CUSIP: 3138NXJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51487 | PA      | $48441.32       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1276                                                                        | CUSIP: 3138NXM20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22190 | PA      | $21015.07       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1270                                                                        | CUSIP: 3138NXMU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9962 | PA      | $9347.04        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1289                                                                        | CUSIP: 3138NXNF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4408 | PA      | $4176.48        | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR1584                                                                        | CUSIP: 3138NXXN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      222900 | PA      | $209855.20      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1624                                                                        | CUSIP: 3138NXYW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21311 | PA      | $20005.15       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2043#AR2626                                                                        | CUSIP: 3138NY4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      196134 | PA      | $178310.21      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1812                                                                        | CUSIP: 3138NYAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28885 | PA      | $27322.37       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1910                                                                        | CUSIP: 3138NYDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64720 | PA      | $60828.29       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2043#AR2466                                                                        | CUSIP: 3138NYW43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23307 | PA      | $21213.97       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR3493                                                                        | CUSIP: 3138W03B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35497 | PA      | $33385.03       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2043#AR2887                                                                        | CUSIP: 3138W0F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25394 | PA      | $23103.94       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR2880                                                                        | CUSIP: 3138W0FW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13377 | PA      | $12643.15       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR2904                                                                        | CUSIP: 3138W0GN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61750 | PA      | $58139.31       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR2943                                                                        | CUSIP: 3138W0HV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31429 | PA      | $29557.94       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR3691                                                                        | CUSIP: 3138W1C54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30321 | PA      | $28385.72       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR3682                                                                        | CUSIP: 3138W1CU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10859 | PA      | $10223.59       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR4132                                                                        | CUSIP: 3138W1SW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5610 | PA      | $5254.30        | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR4275                                                                        | CUSIP: 3138W1XD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2267 | PA      | $2178.14        | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43#AR5355                                                                            | CUSIP: 3138W25R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19429 | PA      | $18719.09       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR5360                                                                        | CUSIP: 3138W25W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17221 | PA      | $16152.27       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43#AR5364                                                                            | CUSIP: 3138W26A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89902 | PA      | $86770.65       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR5858                                                                        | CUSIP: 3138W3QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63893 | PA      | $59932.78       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43 #AR5859                                                                           | CUSIP: 3138W3QM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20400 | PA      | $19742.04       | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR7187                                                                        | CUSIP: 3138W46Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4523 | PA      | $4260.17        | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 3/1/43#AR6743                                                                            | CUSIP: 3138W4P54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103246 | PA      | $99622.58       | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR7033                                                                        | CUSIP: 3138W4Y70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37994 | PA      | $35838.64       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.5% 03/43 #AR8173                                                                                 | CUSIP: 3138W6CK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90759 | PA      | $87751.67       | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2043#AR8236                                                                        | CUSIP: 3138W6EJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40271 | PA      | $36560.70       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR9089                                                                        | CUSIP: 3138W7C36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      111747 | PA      | $105203.35      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2043#AR9126                                                                        | CUSIP: 3138W7D84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9631 | PA      | $8741.40        | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR9195                                                                        | CUSIP: 3138W7GD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7122 | PA      | $6697.32        | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2043#AS0076                                                                        | CUSIP: 3138W9CN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36962 | PA      | $35797.16       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AS0203                                                                        | CUSIP: 3138W9GM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      204464 | PA      | $191789.39      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AS0205                                                                        | CUSIP: 3138W9GP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86049 | PA      | $80632.92       | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AS0407                                                                        | CUSIP: 3138W9NZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30730 | PA      | $28773.53       | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AS0961                                                                        | CUSIP: 3138WAB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38111 | PA      | $35736.50       | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2044#AS2238                                                                        | CUSIP: 3138WBPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31776 | PA      | $29659.01       | 0.00%             | 2044-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.5% 8/44#AS3037                                                                                   | CUSIP: 3138WCLT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13381 | PA      | $12882.44       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2044#AS3651                                                                        | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      417452 | PA      | $424164.82      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2045#AS4972                                                                        | CUSIP: 3138WEQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47805 | PA      | $44480.78       | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 08/45#AS5634                                                                                  | CUSIP: 3138WFHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99649 | PA      | $92613.24       | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2043#AT0162                                                                        | CUSIP: 3138WMFC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17939 | PA      | $16299.38       | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT0668                                                                           | CUSIP: 3138WMW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22624 | PA      | $21878.02       | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT0648                                                                           | CUSIP: 3138WMWJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      241628 | PA      | $233509.38      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT1745                                                                           | CUSIP: 3138WN5F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      186096 | PA      | $179711.19      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2043#AT2008                                                                        | CUSIP: 3138WPGS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      148232 | PA      | $134771.56      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 5/1/43 #AT2720                                                                           | CUSIP: 3138WQAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      300359 | PA      | $282420.45      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT2721                                                                        | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      366842 | PA      | $344375.65      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2043#AT2887                                                                        | CUSIP: 3138WQF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9970 | PA      | $9643.79        | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT3073                                                                           | CUSIP: 3138WQMX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32863 | PA      | $31763.08       | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT3345                                                                        | CUSIP: 3138WQWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4936 | PA      | $4616.00        | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT3658                                                                        | CUSIP: 3138WRB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6740 | PA      | $6299.48        | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT3659                                                                        | CUSIP: 3138WRB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4864 | PA      | $4558.42        | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AT3901                                                                        | CUSIP: 3138WRKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9711 | PA      | $9100.56        | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AT3989                                                                        | CUSIP: 3138WRNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      187993 | PA      | $181633.20      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AT3998                                                                        | CUSIP: 3138WRNQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6474 | PA      | $6238.99        | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT5177                                                                        | CUSIP: 3138WSXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44782 | PA      | $42086.31       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AT7263                                                                        | CUSIP: 3138WVB91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13995 | PA      | $13133.55       | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT8809                                                                        | CUSIP: 3138WWYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3501 | PA      | $3275.57        | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT9786                                                                        | CUSIP: 3138WX2U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4836 | PA      | $4533.31        | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AU0597                                                                        | CUSIP: 3138WZUX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11955 | PA      | $11197.97       | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2043#AU1335                                                                        | CUSIP: 3138X0PV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19034 | PA      | $18357.44       | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AU1978                                                                        | CUSIP: 3138X1FU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5591 | PA      | $5274.47        | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AU2962                                                                        | CUSIP: 3138X2JG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16724 | PA      | $15711.28       | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2043#AU3732                                                                        | CUSIP: 3138X3EE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5182 | PA      | $4694.10        | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2043#AU6807                                                                        | CUSIP: 3138X6R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14783 | PA      | $15030.13       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2044#AV7161                                                                        | CUSIP: 3138XJ5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49214 | PA      | $48869.46       | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2044#AW1064                                                                        | CUSIP: 3138XQFE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16692 | PA      | $16968.35       | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 03/44#AW1829                                                                             | CUSIP: 3138XRA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9088 | PA      | $9423.00        | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2044#AW3253                                                                        | CUSIP: 3138XSTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35041 | PA      | $35616.99       | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2044#AW3982                                                                        | CUSIP: 3138XTM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7213 | PA      | $7334.87        | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 05/44#AW4672                                                                             | CUSIP: 3138XUFN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10003 | PA      | $10367.34       | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/44#AW6246                                                                             | CUSIP: 3138XV5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7197 | PA      | $7460.48        | 0.00%             | 2044-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/44#AW6267                                                                             | CUSIP: 3138XV6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16942 | PA      | $17567.16       | 0.00%             | 2044-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/44#AW5410                                                                             | CUSIP: 3138XVAL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7110 | PA      | $7369.54        | 0.00%             | 2044-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2044#AW5937                                                                        | CUSIP: 3138XVS35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1945 | PA      | $1973.57        | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/44#AW6973                                                                             | CUSIP: 3138XWXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15153 | PA      | $15708.94       | 0.00%             | 2044-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/44#AW7942                                                                             | CUSIP: 3138XXZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5991 | PA      | $6211.11        | 0.00%             | 2044-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2044#AW9502                                                                        | CUSIP: 3138XZRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28089 | PA      | $27846.23       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/45#AX3256                                                                          | CUSIP: 3138Y4TN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43039 | PA      | $40681.03       | 0.00%             | 2045-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2044#AX5347                                                                        | CUSIP: 3138Y65H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26369 | PA      | $26143.90       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2044#AX6333                                                                        | CUSIP: 3138Y8BB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7463 | PA      | $7563.86        | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2045#AX9831                                                                        | CUSIP: 3138YB4R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32326 | PA      | $29986.02       | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2045#AY0356                                                                        | CUSIP: 3138YDME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39220 | PA      | $38835.29       | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 3/45#AY0609                                                                                   | CUSIP: 3138YDVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81002 | PA      | $75786.69       | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2045#AY8060                                                                        | CUSIP: 3138YM5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9414 | PA      | $9313.21        | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 04/01/2045#AY7471                                                                             | CUSIP: 3138YMJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43268 | PA      | $42852.04       | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2045#AY7630                                                                        | CUSIP: 3138YMPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3539 | PA      | $3309.25        | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 03/01/2045#AY9025                                                                             | CUSIP: 3138YPA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46148 | PA      | $45696.07       | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2045#AY9393                                                                        | CUSIP: 3138YPNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13760 | PA      | $13611.39       | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2045#AZ3728                                                                        | CUSIP: 3138YVEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33274 | PA      | $30800.06       | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#AZ4663                                                                        | CUSIP: 3138YWFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61548 | PA      | $60859.47       | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/45#AZ5847                                                                             | CUSIP: 3138YXP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20473 | PA      | $19126.65       | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2045#AZ5987                                                                        | CUSIP: 3138YXUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17929 | PA      | $16743.56       | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/32 #643105                                                                                 | CUSIP: 31390DNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         227 | PA      | $241.31         | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #644164                                                                                 | CUSIP: 31390ETV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         496 | PA      | $520.85         | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #644809                                                                                 | CUSIP: 31390FKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         971 | PA      | $1019.59        | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/32 #644836                                                                                 | CUSIP: 31390FLR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         258 | PA      | $276.65         | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/32 #646424                                                                                 | CUSIP: 31390HD51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          70 | PA      | $74.64          | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/32 #646414                                                                                 | CUSIP: 31390HDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         124 | PA      | $130.11         | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/32 #646799                                                                                | CUSIP: 31390HRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         147 | PA      | $156.98         | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #648070                                                                                 | CUSIP: 31390J6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         336 | PA      | $357.38         | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/32 #647416                                                                                 | CUSIP: 31390JGZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         887 | PA      | $945.16         | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/32 #647513                                                                                 | CUSIP: 31390JK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         115 | PA      | $122.49         | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/32 #648177                                                                                 | CUSIP: 31390KCN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          55 | PA      | $58.20          | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #648542                                                                                 | CUSIP: 31390KP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         235 | PA      | $249.80         | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/32 #654060                                                                                 | CUSIP: 31390RTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         872 | PA      | $936.35         | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/32 #656362                                                                                 | CUSIP: 31390UFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1090 | PA      | $1158.39        | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/32 #659161                                                                                 | CUSIP: 31390XJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4323 | PA      | $4598.68        | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #660494                                                                                 | CUSIP: 31390YXX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         104 | PA      | $108.82         | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/32 #663318                                                                                 | CUSIP: 31391C4B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3416 | PA      | $3655.61        | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-31 ZC 6.5% 7/31                                                                                | CUSIP: 313920CW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        4829 | PA      | $4901.37        | 0.00%             | 2031-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-52 YZ 6.5% 10/31                                                                               | CUSIP: 313921MN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2081 | PA      | $2156.61        | 0.00%             | 2031-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-7 FC SOFR30A+86.448 1/32                                                                       | CUSIP: 31392B2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1001 | PA      | $1004.35        | 0.00%             | 2032-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-18 FD SOFR30A+91.448 2/32                                                                      | CUSIP: 31392CHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1103 | PA      | $1109.23        | 0.00%             | 2032-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-16 ZD 6.50% 4/32                                                                               | CUSIP: 31392CVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        6430 | PA      | $6700.70        | 0.00%             | 2032-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-39 FD SOFR30A+111.448 3/32                                                                     | CUSIP: 31392DPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2025 | PA      | $2045.74        | 0.00%             | 2032-03-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-63 FN SOFR30A+111.448 10/32                                                                    | CUSIP: 31392ED23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2529 | PA      | $2554.04        | 0.00%             | 2032-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-60 FV SOFR30A+111.448 4/32                                                                     | CUSIP: 31392EVD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        2110 | PA      | $2129.36        | 0.00%             | 2032-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-74 SV SOFR30A+743.552 11/32                                                                    | CUSIP: 31392FRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1564 | PA      | $33.08          | 0.00%             | 2032-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2003-21 SK SOFR30A+798.552 3/33                                                                     | CUSIP: 31392JY37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        3218 | PA      | $339.72         | 0.00%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2502 ZC 6 9/32                                                                                      | CUSIP: 31392UTM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       10324 | PA      | $10719.83       | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2520 BE 6% 11/32                                                                                    | CUSIP: 31392XV96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       24171 | PA      | $25094.47       | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2519 ZD 5.50% 11/32                                                                                 | CUSIP: 31393FCL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       11880 | PA      | $12193.77       | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2587 IM 6.5% 3/33                                                                                   | CUSIP: 31393NA66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        1361 | PA      | $185.14         | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2003-118 S SOFR30A+798.552 12/33                                                                    | CUSIP: 31393UNH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       49623 | PA      | $6142.52        | 0.00%             | 2033-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+660.552 06/25/2035                                               | CUSIP: 31394D4V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       59507 | PA      | $4091.46        | 0.00%             | 2035-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-39 TE 5% 5/35                                                                                  | CUSIP: 31394DTZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        8261 | PA      | $8467.94        | 0.00%             | 2035-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-73 SA SOFR30A+1725.235 8/35                                                                    | CUSIP: 31394EB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1166 | PA      | $1244.57        | 0.00%             | 2035-08-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035                                                          | CUSIP: 31394EWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      171744 | PA      | $178877.70      | 0.00%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-81 PC 5.5% 9/35                                                                                | CUSIP: 31394FCS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       21941 | PA      | $22650.16       | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033                                                          | CUSIP: 31394KF41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      102385 | PA      | $105425.71      | 0.00%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-102 CO 0% 11/35                                                                                | CUSIP: 31394UHV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        5739 | PA      | $5060.10        | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-12 BO 0% 10/35                                                                                 | CUSIP: 31394VS43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       24642 | PA      | $22459.07       | 0.00%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2802 OB 6% 5/34                                                                                     | CUSIP: 31394YPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       14118 | PA      | $14564.67       | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-15 OP 0% 3/36                                                                                  | CUSIP: 31395BTU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       43431 | PA      | $38208.78       | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-37 OW 0% 5/36                                                                                  | CUSIP: 31395DMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        4951 | PA      | $4199.86        | 0.00%             | 2036-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 2006-62 KP PO 0% 4/36                                                                               | CUSIP: 31395N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       23044 | PA      | $19951.95       | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 2006-45 OP 0 6/36                                                                                   | CUSIP: 31395NEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       14259 | PA      | $12380.75       | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2947 XZ 6% 3/35                                                                                     | CUSIP: 31395RA81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      105003 | PA      | $109594.37      | 0.00%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3002 NE 5% 7/35                                                                                     | CUSIP: 31395WMR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       54436 | PA      | $56200.95       | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+648.552 02/15/2036                                               | CUSIP: 31396HLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       17295 | PA      | $1642.39        | 0.00%             | 2036-02-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3119 PO 0 2/36                                                                                      | CUSIP: 31396HSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       53085 | PA      | $44880.95       | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3121 KO 0 3/36                                                                                      | CUSIP: 31396JG74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        7436 | PA      | $6678.95        | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3123 LO 0% 3/36                                                                                     | CUSIP: 31396JPR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       29033 | PA      | $24874.93       | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-104 GI SOFR30A+656.552 11/36                                                                   | CUSIP: 31396LMA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       33558 | PA      | $2911.92        | 0.00%             | 2036-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+652.552 12/25/2036                                               | CUSIP: 31396LZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       21471 | PA      | $2194.08        | 0.00%             | 2036-12-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3145 GO 4/36                                                                                        | CUSIP: 31396NCS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       33697 | PA      | $28974.71       | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3189 PD 6% 7/36                                                                                     | CUSIP: 31396UAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       57084 | PA      | $60024.65       | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+632.552 05/25/2037                                               | CUSIP: 31396VYS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       13730 | PA      | $1310.59        | 0.00%             | 2037-05-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2007-57 SA 4062-6*1ML 6/37                                                                          | CUSIP: 31396WJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       12558 | PA      | $17181.05       | 0.00%             | 2037-06-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2007-66 SA SOFR30A+3891.312 7/37                                                                    | CUSIP: 31396WYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       13255 | PA      | $17918.19       | 0.00%             | 2037-07-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2007-66 SB SOFR30A+3891.312 7/37                                                                    | CUSIP: 31396WYZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        1778 | PA      | $2049.91        | 0.00%             | 2037-07-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 3225 EO 0% 10/36                                                                                    | CUSIP: 31397BQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       16427 | PA      | $13931.47       | 0.00%             | 2036-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3244 SG SOFR30A+654.552 11/36                                                                       | CUSIP: 31397CDA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       71646 | PA      | $6788.94        | 0.00%             | 2036-11-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3258 PM 5.5 12/36                                                                                   | CUSIP: 31397CXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       14215 | PA      | $14710.45       | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3336 LI SOFR30A+646.552 6/37                                                                        | CUSIP: 31397J7J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       53753 | PA      | $5486.04        | 0.00%             | 2037-06-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3366 FD SOFR30A+36.448 5/37                                                                         | CUSIP: 31397KMB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       55980 | PA      | $55362.46       | 0.00%             | 2037-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3415 PC 5% 12/37                                                                                    | CUSIP: 31397R3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       25953 | PA      | $26506.95       | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNCL 2011-39 ZA 6% 11/32                                                                                | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       50021 | PA      | $51978.63       | 0.00%             | 2032-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.50% 2/33 #686575                                                                                 | CUSIP: 31400FXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         636 | PA      | $657.47         | 0.00%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/33 #693335                                                                                 | CUSIP: 31400PHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         684 | PA      | $730.23         | 0.00%             | 2033-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/30 #710936                                                                                 | CUSIP: 31401KY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         651 | PA      | $683.09         | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #713686                                                                                 | CUSIP: 31401N2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3385 | PA      | $3430.16        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2033#720240                                                                        | CUSIP: 31401WEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         713 | PA      | $718.41         | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#723124                                                                        | CUSIP: 31402ALD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3482 | PA      | $3527.55        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.89% 3/33 #725130                                                                             | CUSIP: 31402CST0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2288 | PA      | $2357.86        | 0.00%             | 2033-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726923                                                                                 | CUSIP: 31402ESL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9905 | PA      | $10030.47       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726928                                                                                 | CUSIP: 31402ESR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6660 | PA      | $6749.07        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726949                                                                                 | CUSIP: 31402ETE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22233 | PA      | $22510.40       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726956                                                                                 | CUSIP: 31402ETM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7424 | PA      | $7527.84        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#727029                                                                        | CUSIP: 31402EVW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         815 | PA      | $825.80         | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/33 #727147                                                                                 | CUSIP: 31402EZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11103 | PA      | $11249.60       | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #727160                                                                                 | CUSIP: 31402EZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1696 | PA      | $1716.47        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2033#729327                                                                        | CUSIP: 31402HHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1485 | PA      | $1500.43        | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#729380                                                                        | CUSIP: 31402HJZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11109 | PA      | $11255.83       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #729713                                                                                 | CUSIP: 31402HVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1733 | PA      | $1750.22        | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/33 #734922                                                                                 | CUSIP: 31402QPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3755 | PA      | $3805.90        | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/32 #735415                                                                                | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4633 | PA      | $4851.00        | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #735744                                                                                 | CUSIP: 31402RLZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1214 | PA      | $1279.14        | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.87% 1/35 #735833                                                                             | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1198 | PA      | $1234.93        | 0.00%             | 2035-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.66% 8/35 #745071                                                                             | CUSIP: 31403CW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2633 | PA      | $2721.49        | 0.00%             | 2035-08-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/35 #745092                                                                                 | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5633 | PA      | $5930.20        | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/36 #745154                                                                                 | CUSIP: 31403CZT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2323 | PA      | $2452.71        | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/36 #745550                                                                                 | CUSIP: 31403DH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         852 | PA      | $899.93         | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 2/36 #745575                                                                                 | CUSIP: 31403DJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         172 | PA      | $182.89         | 0.00%             | 2036-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/36 #745640                                                                                 | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26117 | PA      | $27589.05       | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.753% 10/33 #746320                                                                           | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3182 | PA      | $3283.83        | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.358% 10/33 #754672                                                                           | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         466 | PA      | $476.60         | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #755971                                                                                | CUSIP: 31403R2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          29 | PA      | $30.29          | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/31 #769023                                                                                 | CUSIP: 31404HLC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         254 | PA      | $266.59         | 0.00%             | 2031-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.60% 2/35 #779905                                                                             | CUSIP: 31404VNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11066 | PA      | $11506.29       | 0.00%             | 2035-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #787578                                                                                 | CUSIP: 31405E6P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2611 | PA      | $2748.27        | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/29 #793986                                                                                 | CUSIP: 31405NCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2201 | PA      | $2258.56        | 0.00%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.05% 7/34 #801635                                                                             | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         589 | PA      | $605.30         | 0.00%             | 2034-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #803376                                                                                | CUSIP: 31405YQ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1749 | PA      | $1851.26        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.64% 1/35 #813730                                                                             | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1219 | PA      | $1249.23        | 0.00%             | 2035-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.293% 3/35 #815586                                                                            | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2333 | PA      | $2408.61        | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #824358                                                                                 | CUSIP: 31406YZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         574 | PA      | $603.53         | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #826613                                                                                 | CUSIP: 31407CK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2560 | PA      | $2699.16        | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #828064                                                                                 | CUSIP: 31407D5Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1110 | PA      | $1169.21        | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #828385                                                                                 | CUSIP: 31407EJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7824 | PA      | $8218.32        | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #829377                                                                                 | CUSIP: 31407FM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1950 | PA      | $2062.05        | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/35 #830779                                                                                 | CUSIP: 31407G6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2434 | PA      | $2601.10        | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #830810                                                                                 | CUSIP: 31407HAK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         390 | PA      | $411.08         | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #830817                                                                                | CUSIP: 31407HAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         274 | PA      | $290.06         | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #830899                                                                                 | CUSIP: 31407HDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         165 | PA      | $174.25         | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #830989                                                                                 | CUSIP: 31407HF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1856 | PA      | $1954.43        | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/35 #830991                                                                                 | CUSIP: 31407HF84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         429 | PA      | $458.73         | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #832175                                                                                 | CUSIP: 31407JQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         916 | PA      | $969.64         | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #833016                                                                                 | CUSIP: 31407KN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          53 | PA      | $54.70          | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.344% 7/35 #834917                                                                            | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         665 | PA      | $683.69         | 0.00%             | 2035-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #835485                                                                                | CUSIP: 31407NF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2458 | PA      | $2598.62        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 10/35 #835556                                                                                | CUSIP: 31407NH97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3383 | PA      | $3615.97        | 0.00%             | 2035-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #836839                                                                                | CUSIP: 31407PV88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         210 | PA      | $222.03         | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #837280                                                                                 | CUSIP: 31407QFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         365 | PA      | $384.34         | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #837316                                                                                 | CUSIP: 31407QGZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          56 | PA      | $58.45          | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/36 #839064                                                                                 | CUSIP: 31407SFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         437 | PA      | $460.84         | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #840657                                                                                 | CUSIP: 31407T5S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         479 | PA      | $506.52         | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #840937                                                                                 | CUSIP: 31407UHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3099 | PA      | $3261.04        | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #842191                                                                                | CUSIP: 31407VUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5855 | PA      | $6153.83        | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.349% 12/34 #843013                                                                           | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1262 | PA      | $1293.06        | 0.00%             | 2034-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.280% 3/35 #843014                                                                            | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1026 | PA      | $1053.04        | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #843132                                                                                | CUSIP: 31407WVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13207 | PA      | $13908.04       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/01/2035#843431                                                                        | CUSIP: 31407XA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      178879 | PA      | $183916.37      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #843567                                                                                | CUSIP: 31407XFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         753 | PA      | $797.39         | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #843693                                                                                | CUSIP: 31407XKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2693 | PA      | $2847.85        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #848099                                                                                | CUSIP: 31408DGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         418 | PA      | $438.32         | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.80% 7/34 #849923                                                                             | CUSIP: 31408FG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2038 | PA      | $2100.77        | 0.00%             | 2034-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.16% 9/35 #850124                                                                             | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1151 | PA      | $1194.97        | 0.00%             | 2035-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #863262                                                                                | CUSIP: 31408XB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         582 | PA      | $615.76         | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#AZ7222                                                                        | CUSIP: 3140E0AY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101456 | PA      | $100411.34      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2045#AZ8288                                                                        | CUSIP: 3140E1F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90397 | PA      | $83936.50       | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2045#BA1614                                                                        | CUSIP: 3140E5YL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7358 | PA      | $7061.15        | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#BA2698                                                                        | CUSIP: 3140E67L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62423 | PA      | $61904.41       | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2045#BA3904                                                                        | CUSIP: 3140E8KS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19132 | PA      | $18465.76       | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2045#BA3906                                                                        | CUSIP: 3140E8KU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25231 | PA      | $24390.67       | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 6/36 #885763                                                                                 | CUSIP: 31410DB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1638 | PA      | $1745.80        | 0.00%             | 2036-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.25% 6/36 #886983                                                                             | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2440 | PA      | $2521.26        | 0.00%             | 2036-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/36 #888342                                                                                 | CUSIP: 31410F5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22843 | PA      | $23936.39       | 0.00%             | 2036-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #888034                                                                                 | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7440 | PA      | $7827.29        | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/38 #889219                                                                                 | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14942 | PA      | $15894.54       | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #888544                                                                                 | CUSIP: 31410GER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41068 | PA      | $43118.15       | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/38 #889371                                                                                 | CUSIP: 31410KCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44323 | PA      | $47030.33       | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 9/37 #889631                                                                                 | CUSIP: 31410KLL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         135 | PA      | $144.50         | 0.00%             | 2038-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/38 #889733                                                                                 | CUSIP: 31410KPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6866 | PA      | $7306.21        | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.34% 9/36 #893580                                                                             | CUSIP: 31410PXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1039 | PA      | $1076.82        | 0.00%             | 2036-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/36 #897984                                                                                 | CUSIP: 31410UUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          77 | PA      | $78.61          | 0.00%             | 2036-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/36 #901643                                                                                | CUSIP: 31410YWC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         493 | PA      | $527.72         | 0.00%             | 2036-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 2/37 #908771                                                                                 | CUSIP: 31411HT42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1053 | PA      | $1126.47        | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.22% 3/37 #910296                                                                             | CUSIP: 31411KKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5030 | PA      | $5219.42        | 0.00%             | 2037-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.37% 6/36 #916726                                                                             | CUSIP: 31411WPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8042 | PA      | $8320.48        | 0.00%             | 2036-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/37 #917965                                                                                 | CUSIP: 31411XZ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2709 | PA      | $2868.25        | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.54% 4/37 #918912                                                                             | CUSIP: 31411Y3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5463 | PA      | $5648.69        | 0.00%             | 2037-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 8.00% 3/37 #922475                                                                                 | CUSIP: 31412D2G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2559 | PA      | $2772.73        | 0.00%             | 2037-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #931504                                                                                 | CUSIP: 31412P3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      110300 | PA      | $112147.61      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #931506                                                                                 | CUSIP: 31412P3P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14828 | PA      | $15080.37       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #930854                                                                                 | CUSIP: 31412PE31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2719 | PA      | $2764.32        | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 10/39 #932130                                                                                | CUSIP: 31412QST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7149 | PA      | $7268.03        | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/39 #935695                                                                                | CUSIP: 31412U7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9353 | PA      | $9511.87        | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/39 #935009                                                                                 | CUSIP: 31412UGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1315 | PA      | $1400.31        | 0.00%             | 2039-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #935520                                                                                 | CUSIP: 31412UYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1113 | PA      | $1131.89        | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/37 #940208                                                                                 | CUSIP: 31413BAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1267 | PA      | $1372.24        | 0.00%             | 2037-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/40 #941592                                                                                 | CUSIP: 31413CRM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3468 | PA      | $3527.04        | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.65% 7/37 #942609                                                                             | CUSIP: 31413DVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12703 | PA      | $13292.39       | 0.00%             | 2037-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/37 #942981                                                                                 | CUSIP: 31413ECS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3138 | PA      | $3335.30        | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6% 11/37 #953087                                                                                   | CUSIP: 31413RJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7298 | PA      | $7774.67        | 0.00%             | 2037-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 12/38 #970918                                                                                | CUSIP: 31414NDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17452 | PA      | $18604.99       | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/37 #995073                                                                                | CUSIP: 31416BMW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41228 | PA      | $43664.60       | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.898% 5/35 #995272                                                                            | CUSIP: 31416BT57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5394 | PA      | $5565.29        | 0.00%             | 2035-05-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.58% 7/35 #995273                                                                             | CUSIP: 31416BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1629 | PA      | $1683.85        | 0.00%             | 2035-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 11/36 #995606                                                                                  | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1425 | PA      | $1473.76        | 0.00%             | 2036-11-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.869% 5/36 #995608                                                                            | CUSIP: 31416CAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3391 | PA      | $3513.04        | 0.00%             | 2036-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AA4740                                                                                | CUSIP: 31416NHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10984 | PA      | $10953.29       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 5/39 #AA7165                                                                                 | CUSIP: 31416Q6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1268 | PA      | $1289.25        | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AA8111                                                                                 | CUSIP: 31416SAM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4538 | PA      | $4614.21        | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AA9055                                                                                 | CUSIP: 31416TBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         626 | PA      | $636.63         | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #AA9357                                                                                 | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1065 | PA      | $1083.22        | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #AB0042                                                                                 | CUSIP: 31416VBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      554230 | PA      | $562091.65      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #AB0043                                                                                 | CUSIP: 31416VBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      156454 | PA      | $158616.77      | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2039#AB0051                                                                        | CUSIP: 31416VBV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31977 | PA      | $32422.33       | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/40 #AB1611                                                                                | CUSIP: 31416WYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7883 | PA      | $7667.94        | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 11/01/2040#AB1801                                                                        | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      536894 | PA      | $535197.12      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AB1887                                                                                | CUSIP: 31416XCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3921 | PA      | $3987.69        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AB1898                                                                                | CUSIP: 31416XDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17089 | PA      | $17376.91       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 1/41 #AB2068                                                                                 | CUSIP: 31416XJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5425 | PA      | $5279.15        | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AB2079                                                                                 | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      404749 | PA      | $403447.97      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 6/41 #AB3143                                                                                 | CUSIP: 31416YP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49141 | PA      | $48972.48       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 4.50% 7/26 #AB3303                                                                            | CUSIP: 31416YU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          87 | PA      | $86.52          | 0.00%             | 2026-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AB3687                                                                                | CUSIP: 31417ACZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      300172 | PA      | $298920.81      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AB3872                                                                                | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      285287 | PA      | $284151.33      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 6/42 #AB5423                                                                                 | CUSIP: 31417CAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      236541 | PA      | $229153.62      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2042#AB5542                                                                        | CUSIP: 31417CEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       70394 | PA      | $66409.64       | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2042 #AB5652                                                                       | CUSIP: 31417CH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16662 | PA      | $15664.32       | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 10/01/2042#AB6493                                                                        | CUSIP: 31417DGB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45118 | PA      | $42396.79       | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AB6904                                                                        | CUSIP: 31417DU68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      248571 | PA      | $234302.42      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2042#AB7059                                                                        | CUSIP: 31417DZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13687 | PA      | $12457.83       | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7272                                                                        | CUSIP: 31417ECJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4875 | PA      | $4587.27        | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7273                                                                        | CUSIP: 31417ECK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23469 | PA      | $22091.08       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7280                                                                        | CUSIP: 31417ECS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65640 | PA      | $61743.93       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7425                                                                        | CUSIP: 31417EHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20831 | PA      | $19630.79       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7458                                                                        | CUSIP: 31417EJC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7168 | PA      | $6744.48        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7497                                                                        | CUSIP: 31417EKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8095 | PA      | $7607.09        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7567                                                                        | CUSIP: 31417EMR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7300 | PA      | $6871.13        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 1/1/43 #AB7568                                                                           | CUSIP: 31417EMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8542 | PA      | $8024.84        | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2043#AB7728                                                                        | CUSIP: 31417ESS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13319 | PA      | $12109.08       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7755                                                                        | CUSIP: 31417ETM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106055 | PA      | $99776.76       | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7766                                                                        | CUSIP: 31417ETY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      145627 | PA      | $136892.83      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7767                                                                        | CUSIP: 31417ETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      415475 | PA      | $390427.70      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7846                                                                        | CUSIP: 31417EWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      164678 | PA      | $154906.97      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7946                                                                        | CUSIP: 31417EZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4973 | PA      | $4683.93        | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 4/1/43 #AB8881                                                                             | CUSIP: 31417F2P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82353 | PA      | $77459.78       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2035#AB8198                                                                        | CUSIP: 31417FDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26384 | PA      | $26754.09       | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB8529                                                                        | CUSIP: 31417FPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      304033 | PA      | $285805.32      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8610                                                                        | CUSIP: 31417FR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29555 | PA      | $27801.31       | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8701                                                                        | CUSIP: 31417FU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5229 | PA      | $4919.17        | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8712                                                                        | CUSIP: 31417FVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8970 | PA      | $8423.64        | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8830                                                                        | CUSIP: 31417FY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21337 | PA      | $20060.73       | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 4/1/43 #AB9017                                                                           | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15332 | PA      | $14410.71       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043                                                                               | CUSIP: 31417GAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16025 | PA      | $15048.19       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 4/1/43 #AB9033                                                                             | CUSIP: 31417GBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14277 | PA      | $13411.48       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9238                                                                        | CUSIP: 31417GHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19695 | PA      | $18492.26       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9239                                                                        | CUSIP: 31417GHR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21844 | PA      | $20510.56       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9340                                                                        | CUSIP: 31417GLW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5891 | PA      | $5539.10        | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9341                                                                        | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27382 | PA      | $25736.87       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AB9376                                                                        | CUSIP: 31417GM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      293768 | PA      | $283753.01      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2043#AB9671                                                                        | CUSIP: 31417GW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      188264 | PA      | $181898.32      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 10/39 #AC0435                                                                                | CUSIP: 31417JPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8958 | PA      | $9109.87        | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AC1585                                                                                 | CUSIP: 31417KXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2721 | PA      | $2766.67        | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/39 #AC4396                                                                                 | CUSIP: 31417N3E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1549 | PA      | $1570.73        | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 8/39 #AC4495                                                                                 | CUSIP: 31417N7H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3311 | PA      | $3305.13        | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2039#AC6492                                                                        | CUSIP: 31417TGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5310 | PA      | $5400.49        | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/39 #AC6795                                                                                | CUSIP: 31417TRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84101 | PA      | $85506.11       | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.54% 12/39 #AC8301                                                                            | CUSIP: 31417VGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3003 | PA      | $3142.41        | 0.00%             | 2039-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/40 #AC9247                                                                                 | CUSIP: 31417WHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1642 | PA      | $1670.05        | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.00% 10/29 #MA0214                                                                                | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1060 | PA      | $1072.40        | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2042#MA1028                                                                        | CUSIP: 31418AEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14285 | PA      | $14215.51       | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.00% 11/32 #MA1237                                                                           | CUSIP: 31418ALT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1171916 | PA      | $1147393.83     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2043#MA1412                                                                        | CUSIP: 31418ASA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22796 | PA      | $20760.01       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.0% 07/01/2035#MA2320                                                                        | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94973 | PA      | $92263.08       | 0.00%             | 2035-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.47% 3/40 #AD0820                                                                             | CUSIP: 31418M4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9325 | PA      | $9748.36        | 0.00%             | 2040-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6% 11/35 #AD0687                                                                                   | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74787 | PA      | $78463.92       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/40 #AD0732                                                                                 | CUSIP: 31418MY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42787 | PA      | $45494.07       | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/35 #AD0723                                                                                | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44896 | PA      | $47187.18       | 0.00%             | 2035-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 5/40 #AD7419                                                                                 | CUSIP: 31418VG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3006 | PA      | $3056.62        | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/37 #AE0265                                                                                 | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      113641 | PA      | $118912.38      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.472% 12/01/2040#AE0653                                                                       | CUSIP: 31419AWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      180056 | PA      | $189087.33      | 0.00%             | 2040-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2040#AE0675                                                                        | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17237 | PA      | $17530.88       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #AE0746                                                                                 | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32175 | PA      | $33781.08       | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 03/01/2041#AE1147                                                                        | CUSIP: 31419BHZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17138 | PA      | $17053.85       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE2683                                                                                | CUSIP: 31419C6V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4440 | PA      | $4429.50        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/40 #AE2970                                                                                 | CUSIP: 31419DJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4717 | PA      | $4797.82        | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/40 #AE3014                                                                                 | CUSIP: 31419DK42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6193 | PA      | $6298.04        | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4428                                                                                | CUSIP: 31419E4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16479 | PA      | $16428.61       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AE3713                                                                                | CUSIP: 31419EDT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2888 | PA      | $2936.89        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 10/40 #AE3832                                                                                | CUSIP: 31419EHJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12278 | PA      | $12485.06       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/40 #AE3874                                                                                | CUSIP: 31419EJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47923 | PA      | $48738.96       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/40 #AE3950                                                                                 | CUSIP: 31419EL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8453 | PA      | $8420.05        | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 09/01/2040#AE3951                                                                        | CUSIP: 31419EL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16670 | PA      | $16605.23       | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4113                                                                                | CUSIP: 31419ESB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      104694 | PA      | $104393.03      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4645                                                                                | CUSIP: 31419FET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19737 | PA      | $19697.42       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2040#AE6222                                                                        | CUSIP: 31419G4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3115 | PA      | $3103.14        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AE6390                                                                                 | CUSIP: 31419HC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      334143 | PA      | $333085.81      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE6775                                                                                | CUSIP: 31419HQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99332 | PA      | $99065.37       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE7472                                                                                | CUSIP: 31419JJS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4798 | PA      | $4791.62        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 11/01/2040#AE8265                                                                        | CUSIP: 31419KFF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1913 | PA      | $1909.90        | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE8271                                                                                | CUSIP: 31419KFM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3806 | PA      | $3794.83        | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/40 #AE8447                                                                                | CUSIP: 31419KL52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2573 | PA      | $2614.23        | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE9065                                                                                | CUSIP: 31419LCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10753 | PA      | $10719.21       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AE9269                                                                                 | CUSIP: 31419LJP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4065 | PA      | $4053.71        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AE9338                                                                                 | CUSIP: 31419LLU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11028 | PA      | $10995.17       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE9416                                                                                | CUSIP: 31419LPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3456 | PA      | $3434.84        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2041#AE9509                                                                        | CUSIP: 31419LR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3626 | PA      | $3616.99        | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE9949                                                                                | CUSIP: 31419MBT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12430 | PA      | $12342.22       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Colchester Street Trust                                                   | FIMM MM Government Portfolio - Instl Cl                                                                 | CUSIP: 31607A703<br>LEI: 549300SHPEJB1OPRCV46 | Long             | EC               | RF                | US        |  1151253215 | NS      | $1151253215.23  | 1.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | FIDELITY US BOND INDEX FUNDFIDELITY ADV                                                                 | CUSIP: 316146356<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   150219269 | NS      | $1605843987.66  | 1.72%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Revere Street Trust                                                       | Fidelity Cash Central Fund                                                                              | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  1106415974 | NS      | $1106637256.89  | 1.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | Fidelity Sai Long-Term Treasury Bond Index Fund                                                         | CUSIP: 31635V851<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   371565347 | NS      | $2593526122.07  | 2.78%             |  |  |  | No            |                  1 | On Loan: No      |
| FIFTH THIRD BANCORP                                                                | FIFTH THIRD BANCORP 8.25% 03/01/2038                                                                    | CUSIP: 316773CH1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     2155000 | PA      | $2668252.10     | 0.00%             | 2038-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: USD/AUD settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-48566.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | FX Forward: USD/CAD settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |           1 | NC      | $26020.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                               | FX Forward: USD/JPY settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $419604.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | FX Forward: USD/GBP settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |           1 | NC      | $814479.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: USD/EUR settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $2214335.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: USD/EUR settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $6100.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: USD/EUR settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $19.44          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: USD/EUR settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $446.51         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: USD/GBP settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $23096.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                               | FX Forward: EUR/USD settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |           1 | NC      | $612.38         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: USD/GBP settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $2176.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | FX Forward: USD/GBP settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |           1 | NC      | $16503.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: EUR/USD settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-489.60        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: GBP/USD settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4862.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: USD/EUR settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1018.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | FX Forward: EUR/USD settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |           1 | NC      | $1925.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | FX Forward: USD/GBP settle 2026-04-24                                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |           1 | NC      | $308.48         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 03/15/2041#763058                                                                        | CUSIP: 36176DQK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4792 | PA      | $4725.40        | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 5/42 #766750                                                                                 | CUSIP: 36176HTF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12666 | PA      | $12150.91       | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 5/42 #766751                                                                                 | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16896 | PA      | $16212.25       | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 6/41 #768770                                                                                 | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10734 | PA      | $10556.29       | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #768127                                                                                 | CUSIP: 36176KD87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5155 | PA      | $5077.06        | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/41 #768137                                                                                 | CUSIP: 36176KEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9123 | PA      | $8972.44        | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #769093                                                                                 | CUSIP: 36176LGA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6282 | PA      | $6177.02        | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 11/15/2041#769621                                                                        | CUSIP: 36176LYS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20179 | PA      | $19817.36       | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 05/15/2041#770680                                                                        | CUSIP: 36176M6R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11502 | PA      | $11382.35       | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2041#770824                                                                        | CUSIP: 36176ND57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16271 | PA      | $16001.19       | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #772060                                                                                 | CUSIP: 36176PQM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8219 | PA      | $8084.08        | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #772063                                                                                 | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       61952 | PA      | $60904.21       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #772072                                                                                | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       27222 | PA      | $26754.99       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #773363                                                                                 | CUSIP: 36176Q5Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6174 | PA      | $5916.17        | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 03/15/2042#773367                                                                        | CUSIP: 36176Q6C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7520 | PA      | $7389.69        | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #773113                                                                                 | CUSIP: 36176QVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         924 | PA      | $911.15         | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #773473                                                                                 | CUSIP: 36176RCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7645 | PA      | $7523.56        | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #773499                                                                                | CUSIP: 36176RDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7583 | PA      | $7459.43        | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 02/15/2045#777576                                                                        | CUSIP: 36176VT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       70153 | PA      | $64989.91       | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 03/15/2045#777581                                                                        | CUSIP: 36176VUE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      132707 | PA      | $122977.27      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #778681                                                                                | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42386 | PA      | $41642.46       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #778796                                                                                 | CUSIP: 36176W7H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         684 | PA      | $654.37         | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 12/15/2041#778657                                                                        | CUSIP: 36176WZW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5844 | PA      | $5609.03        | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2042#778869                                                                        | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18674 | PA      | $18348.52       | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #778882                                                                                 | CUSIP: 36176XCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       71351 | PA      | $68270.71       | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2042#779220                                                                        | CUSIP: 36176XPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22626 | PA      | $21225.69       | 0.00%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2042#779398                                                                        | CUSIP: 36176XUX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2340 | PA      | $2234.27        | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #779843                                                                                | CUSIP: 36176YEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10274 | PA      | $10098.52       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #779846                                                                                | CUSIP: 36176YET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6428 | PA      | $6327.07        | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2042#794219                                                                        | CUSIP: 36177NVM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11777 | PA      | $11576.67       | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2042#794507                                                                        | CUSIP: 36177PAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6937 | PA      | $6496.56        | 0.00%             | 2042-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #794582                                                                                 | CUSIP: 36177PCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13402 | PA      | $12868.77       | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 02/15/2043#796369                                                                        | CUSIP: 36177RCF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38427 | PA      | $36637.20       | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2042#798467                                                                        | CUSIP: 36177TMR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29619 | PA      | $29051.99       | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#AA6286                                                                        | CUSIP: 36178D6X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14770 | PA      | $13814.91       | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 7/42 #AA5451                                                                                 | CUSIP: 36178DBU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       47706 | PA      | $45574.15       | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 9/42 #AA5658                                                                                 | CUSIP: 36178DJB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11785 | PA      | $11236.36       | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.0% 12/20/2042#AA5872                                                                          | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      216356 | PA      | $202412.36      | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 12/15/2042#AA5897                                                                        | CUSIP: 36178DRS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      150707 | PA      | $140865.63      | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 04/15/2043#AA6309                                                                        | CUSIP: 36178EAJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53652 | PA      | $51064.60       | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 7/42 #AA8273                                                                                 | CUSIP: 36178GFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16446 | PA      | $15711.22       | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 07/15/2042#AA8275                                                                        | CUSIP: 36178GFQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4154 | PA      | $3966.85        | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 08/15/2042#AB2238                                                                        | CUSIP: 36178MPX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4288 | PA      | $4093.63        | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB2330                                                                        | CUSIP: 36178MST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5613 | PA      | $5356.36        | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB3769                                                                        | CUSIP: 36178QFJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5555 | PA      | $5336.22        | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB6821                                                                        | CUSIP: 36178TSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3205 | PA      | $3056.84        | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 11/15/2042#AB9211                                                                        | CUSIP: 36178WGU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      167641 | PA      | $160078.31      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 04/15/2043#AC1092                                                                        | CUSIP: 36179AF92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41832 | PA      | $41051.75       | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 07/15/2043#AC1095                                                                        | CUSIP: 36179AGC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2935 | PA      | $2800.51        | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2043#AC2222                                                                        | CUSIP: 36179BPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17865 | PA      | $16850.39       | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 01/15/2043#AC3938                                                                        | CUSIP: 36179DLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2298 | PA      | $2196.74        | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AC9633                                                                        | CUSIP: 36179KV27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4265 | PA      | $4075.73        | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AC9627                                                                        | CUSIP: 36179KVU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11007 | PA      | $10487.23       | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AC9654                                                                        | CUSIP: 36179KWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14603 | PA      | $13947.48       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 02/20/2043#MA0783                                                                          | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      194849 | PA      | $187285.79      | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 01/20/2043#MA0852                                                                          | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6911 | PA      | $6641.13        | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 4/42 #MA0023                                                                              | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      192243 | PA      | $189517.79      | 0.00%             | 2042-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 5/42 #MA0090                                                                              | CUSIP: 36179MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      149637 | PA      | $151396.81      | 0.00%             | 2042-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 6/42 #MA0155                                                                              | CUSIP: 36179ME48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2772 | PA      | $2731.94        | 0.00%             | 2042-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.0% 08/20/2042#MA0317                                                                          | CUSIP: 36179MK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12154 | PA      | $11426.40       | 0.00%             | 2042-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.0% 12/20/2042#MA0624                                                                          | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       87433 | PA      | $82124.24       | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.0% 01/20/2043#MA0698                                                                          | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1048340 | PA      | $984717.84      | 0.00%             | 2043-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 02/20/2044#MA1677                                                                          | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2311 | PA      | $2215.79        | 0.00%             | 2044-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 03/20/44#MA1760                                                                            | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16054 | PA      | $15389.63       | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 04/20/2043#MA0934                                                                          | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      126234 | PA      | $121289.66      | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/43 #MA1012                                                                              | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3187830 | PA      | $3048995.02     | 0.00%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 05/20/2043#MA1014                                                                          | CUSIP: 36179NDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4328 | PA      | $4378.70        | 0.00%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 03/20/2043 #MA1090                                                                         | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      293070 | PA      | $281478.71      | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 06/20/2043#MA1092                                                                          | CUSIP: 36179NF94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8926 | PA      | $9031.06        | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 08/20/2043#MA1224                                                                          | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26919 | PA      | $25843.61       | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 08/20/2043#MA1225                                                                          | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      113278 | PA      | $111464.47      | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.0% 09/20/2043#MA1284                                                                          | CUSIP: 36179NM96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3604 | PA      | $3375.66        | 0.00%             | 2043-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/20/2043#MA1285                                                                          | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1234322 | PA      | $1184470.12     | 0.00%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.0% 07/20/2043#MA1374                                                                          | CUSIP: 36179NQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       80302 | PA      | $75242.84       | 0.00%             | 2043-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 10/20/2043#MA1375                                                                          | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41367 | PA      | $39693.67       | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 12/20/2043#MA1521                                                                          | CUSIP: 36179NVN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42416 | PA      | $40676.85       | 0.00%             | 2043-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 01/20/2044#MA1600                                                                          | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38483 | PA      | $36898.97       | 0.00%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 02/20/2045#MA2602                                                                          | CUSIP: 36179Q3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1133591 | PA      | $1113047.77     | 0.00%             | 2045-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 03/20/2045#MA2678                                                                          | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      118984 | PA      | $113725.04      | 0.00%             | 2045-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 06/44#MA1997                                                                               | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18028 | PA      | $18238.12       | 0.00%             | 2044-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 07/20/2044#MA2074                                                                          | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       78438 | PA      | $77050.60       | 0.00%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 08/20/2044#MA2149                                                                          | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       85172 | PA      | $83656.72       | 0.00%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 10/20/44#MA2305                                                                            | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17438 | PA      | $17629.64       | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 10/20/2044#MA2304                                                                          | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      610046 | PA      | $599056.54      | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 11/20/2044#MA2372                                                                          | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1314079 | PA      | $1290120.33     | 0.00%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 12/20/44#MA2446                                                                            | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35625 | PA      | $34975.93       | 0.00%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 01/20/2045#MA2522                                                                          | CUSIP: 36179QYT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1068947 | PA      | $1049459.36     | 0.00%             | 2045-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 01/20/2045#MA2523                                                                          | CUSIP: 36179QYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20319 | PA      | $20542.81       | 0.00%             | 2045-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 04/20/2045#MA2754                                                                          | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      113911 | PA      | $108856.68      | 0.00%             | 2045-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/20/2045#MA2826                                                                          | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8154 | PA      | $7790.55        | 0.00%             | 2045-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 06/20/2045#MA2893                                                                          | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1431189 | PA      | $1404142.79     | 0.00%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 07/20/2045#MA2961                                                                          | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      200280 | PA      | $191256.20      | 0.00%             | 2045-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 07/20/2045#MA2962                                                                          | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6076262 | PA      | $5958847.93     | 0.01%             | 2045-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 08/20/2045#MA3034                                                                          | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       82458 | PA      | $78727.09       | 0.00%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 08/20/2045#MA3035                                                                          | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1672338 | PA      | $1639672.69     | 0.00%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/20/2045#MA3105                                                                          | CUSIP: 36179RNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33397 | PA      | $31885.35       | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 09/45#MA3106                                                                               | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3574 | PA      | $3503.54        | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 10/45#MA3173                                                                               | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2065765 | PA      | $1971555.97     | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 10/45#MA3174                                                                               | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3781 | PA      | $3705.81        | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 11/20/2045#MA3244                                                                          | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       55286 | PA      | $52765.57       | 0.00%             | 2045-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 12/20/2045#MA3311                                                                            | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30926 | PA      | $30315.14       | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD0793                                                                        | CUSIP: 36180B3A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4658 | PA      | $4349.66        | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 03/15/2043#AD0818                                                                        | CUSIP: 36180B4B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25826 | PA      | $24689.08       | 0.00%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD0745                                                                        | CUSIP: 36180BZJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12793 | PA      | $11976.98       | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 02/15/2043#AD1736                                                                        | CUSIP: 36180C4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      329071 | PA      | $314792.51      | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD1015                                                                        | CUSIP: 36180CDU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17815 | PA      | $16487.20       | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 05/15/2043#AD1390                                                                        | CUSIP: 36180CRK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8268 | PA      | $8098.32        | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 01/15/2043#AD2150                                                                        | CUSIP: 36180DL70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       75567 | PA      | $72141.84       | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 02/15/2043#AD2180                                                                        | CUSIP: 36180DM53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12911 | PA      | $12337.11       | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 03/15/2043#AD2295                                                                        | CUSIP: 36180DRQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2399 | PA      | $2289.92        | 0.00%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2043#AD2454                                                                        | CUSIP: 36180DWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       24538 | PA      | $22988.89       | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2043#AD3626                                                                        | CUSIP: 36180FA36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17751 | PA      | $16527.67       | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AD5457                                                                        | CUSIP: 36180HB23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7846 | PA      | $7477.12        | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2043#AD5680                                                                        | CUSIP: 36180HJZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1760 | PA      | $1722.49        | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD6332                                                                        | CUSIP: 36180JA95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13661 | PA      | $12760.69       | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AD9112                                                                        | CUSIP: 36180NDR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10944 | PA      | $10486.33       | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AE1959                                                                        | CUSIP: 36180UE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5211 | PA      | $4853.19        | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AE2144                                                                        | CUSIP: 36180ULZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9664 | PA      | $9249.48        | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AE4597                                                                        | CUSIP: 36180XDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9820 | PA      | $9439.17        | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AE4598                                                                        | CUSIP: 36180XDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19244 | PA      | $18300.49       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2043#AE7264                                                                        | CUSIP: 36181BB90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2057 | PA      | $2020.50        | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 07/15/2043#AF1083                                                                        | CUSIP: 36181GFY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8965 | PA      | $8543.40        | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/44 #AG9361                                                                                 | CUSIP: 36182EMJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       50452 | PA      | $47887.75       | 0.00%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 02/15/2045#AK7288                                                                        | CUSIP: 36183RCZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       81903 | PA      | $76039.94       | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2045#AK8698                                                                        | CUSIP: 36183SUX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       50677 | PA      | $46903.71       | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2045#AL1539                                                                        | CUSIP: 36183WV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         875 | PA      | $808.87         | 0.00%             | 2045-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2045#AL4767                                                                        | CUSIP: 36184BJL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       57344 | PA      | $56108.68       | 0.00%             | 2045-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2045#AL9296                                                                        | CUSIP: 36184HKH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4215 | PA      | $3895.24        | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 05/15/2045#AN1263                                                                        | CUSIP: 36185GML6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53281 | PA      | $52072.04       | 0.00%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2045#AN5671                                                                        | CUSIP: 36186NJQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14271 | PA      | $13970.00       | 0.00%             | 2045-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 07/15/2045#AN5744                                                                        | CUSIP: 36186NLZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       38969 | PA      | $38075.43       | 0.00%             | 2045-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2013-GC13                                                           | GS MTG SECS TR 2013-GC13 AS CSTR 07/10/2046 144A                                                        | CUSIP: 36198EAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      615475 | PA      | $609320.63      | 0.00%             | 2046-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 1/34 #604900                                                                                 | CUSIP: 36200M7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1224 | PA      | $1258.15        | 0.00%             | 2034-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 8/33 #604578                                                                                 | CUSIP: 36200MUB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1852 | PA      | $1933.27        | 0.00%             | 2033-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 11/34 #605771                                                                                | CUSIP: 36200N6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1443 | PA      | $1508.14        | 0.00%             | 2034-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/34 #605311                                                                                 | CUSIP: 36200NN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6568 | PA      | $6999.73        | 0.00%             | 2034-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #605525                                                                                | CUSIP: 36200NVS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3222 | PA      | $3426.72        | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #605529                                                                                | CUSIP: 36200NVW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         796 | PA      | $846.58         | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #569780                                                                                 | CUSIP: 36200Q6R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         101 | PA      | $104.63         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #569213                                                                                 | CUSIP: 36200QK29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         207 | PA      | $215.39         | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #569328                                                                                 | CUSIP: 36200QPM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         117 | PA      | $121.20         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #570662                                                                                | CUSIP: 36200R5X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         206 | PA      | $209.08         | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #569840                                                                                 | CUSIP: 36200RBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         584 | PA      | $605.65         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #569880                                                                                 | CUSIP: 36200RCR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          21 | PA      | $21.32          | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #569898                                                                                 | CUSIP: 36200RDB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         304 | PA      | $315.26         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #570131                                                                                | CUSIP: 36200RLL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         454 | PA      | $471.69         | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #572392                                                                                | CUSIP: 36200T2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         551 | PA      | $565.10         | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #571901                                                                                 | CUSIP: 36200TKN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         517 | PA      | $537.13         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #572257                                                                                 | CUSIP: 36200TWS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2462 | PA      | $2571.09        | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #572541                                                                                 | CUSIP: 36200UBJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1481 | PA      | $1537.14        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #573592                                                                                 | CUSIP: 36200VF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1496 | PA      | $1556.83        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/32 #574355                                                                                 | CUSIP: 36200WBY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         243 | PA      | $248.14         | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #574467                                                                                 | CUSIP: 36200WFG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          48 | PA      | $50.03          | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 4/34 #574566                                                                                 | CUSIP: 36200WJK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         667 | PA      | $695.31         | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 9/34 #574764                                                                                 | CUSIP: 36200WQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2555 | PA      | $2721.21        | 0.00%             | 2034-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #575010                                                                                 | CUSIP: 36200WYF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         444 | PA      | $461.77         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #576466                                                                                 | CUSIP: 36200YMP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          64 | PA      | $66.35          | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/33 #577996                                                                                 | CUSIP: 36201BC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1178 | PA      | $1208.43        | 0.00%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #578193                                                                                 | CUSIP: 36201BKE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         884 | PA      | $903.40         | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/32 #579242                                                                                 | CUSIP: 36201CP32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1172 | PA      | $1214.70        | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #579560                                                                                 | CUSIP: 36201CZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6398 | PA      | $6663.71        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #579718                                                                                 | CUSIP: 36201DAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          75 | PA      | $77.56          | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #581406                                                                                 | CUSIP: 36201E3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          93 | PA      | $97.32          | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #581664                                                                                 | CUSIP: 36201FFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         109 | PA      | $110.78         | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #581769                                                                                 | CUSIP: 36201FJN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         931 | PA      | $969.78         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #581860                                                                                 | CUSIP: 36201FMH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         149 | PA      | $154.20         | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #581934                                                                                 | CUSIP: 36201FPT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2012 | PA      | $2089.28        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #581935                                                                                 | CUSIP: 36201FPU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         257 | PA      | $267.49         | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #582029                                                                                 | CUSIP: 36201FSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         246 | PA      | $252.79         | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #582054                                                                                 | CUSIP: 36201FTK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          37 | PA      | $37.59          | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #582105                                                                                 | CUSIP: 36201FU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         477 | PA      | $495.78         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #582099                                                                                 | CUSIP: 36201FUY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         332 | PA      | $345.85         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #582132                                                                                 | CUSIP: 36201FVZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         128 | PA      | $133.32         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #582151                                                                                 | CUSIP: 36201FWL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         154 | PA      | $158.65         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #582178                                                                                 | CUSIP: 36201FXF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8233 | PA      | $8578.25        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #582240                                                                                 | CUSIP: 36201FZD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         249 | PA      | $257.41         | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #583573                                                                                 | CUSIP: 36201HJS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         125 | PA      | $129.19         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #584361                                                                                 | CUSIP: 36201JFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         135 | PA      | $138.44         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #584369                                                                                 | CUSIP: 36201JFJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         140 | PA      | $145.24         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #584463                                                                                 | CUSIP: 36201JJG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3408 | PA      | $3549.68        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #584465                                                                                 | CUSIP: 36201JJJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1168 | PA      | $1218.01        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #587033                                                                                 | CUSIP: 36201MEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         446 | PA      | $461.57         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #587081                                                                                 | CUSIP: 36201MFW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         740 | PA      | $768.61         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #587924                                                                                 | CUSIP: 36201ND56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          84 | PA      | $84.62          | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #587974                                                                                 | CUSIP: 36201NFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         165 | PA      | $167.69         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #590024                                                                                 | CUSIP: 36201QPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2087 | PA      | $2176.43        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #590208                                                                                 | CUSIP: 36201QU92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         766 | PA      | $794.15         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #593188                                                                                 | CUSIP: 36201T6Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4854 | PA      | $5052.00        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #593193                                                                                 | CUSIP: 36201T7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          34 | PA      | $34.58          | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #594858                                                                                 | CUSIP: 36201VZX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         634 | PA      | $659.88         | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 3/31 #003053                                                                               | CUSIP: 36202DMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         606 | PA      | $630.31         | 0.00%             | 2031-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 4/31 #003068                                                                               | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          74 | PA      | $76.69          | 0.00%             | 2031-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.50% 6/31 #003095                                                                              | CUSIP: 36202DNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          71 | PA      | $73.75          | 0.00%             | 2031-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 7/31 #003107                                                                               | CUSIP: 36202DNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          89 | PA      | $92.88          | 0.00%             | 2031-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 8/31 #003120                                                                               | CUSIP: 36202DPD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          85 | PA      | $88.61          | 0.00%             | 2031-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.00% 11/31 #003160                                                                             | CUSIP: 36202DQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2769 | PA      | $2862.76        | 0.00%             | 2031-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 11/31 #003161                                                                              | CUSIP: 36202DQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         493 | PA      | $513.99         | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 1/32 #003188                                                                               | CUSIP: 36202DRH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         119 | PA      | $123.81         | 0.00%             | 2032-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 7% 2/32 #003202                                                                                 | CUSIP: 36202DRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4553 | PA      | $4752.59        | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.00% 5/32 #003238                                                                              | CUSIP: 36202DS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13021 | PA      | $13499.74       | 0.00%             | 2032-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 7.00% 3/32 #003216                                                                              | CUSIP: 36202DSD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2343 | PA      | $2448.07        | 0.00%             | 2032-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 6/33 #003401                                                                              | CUSIP: 36202DX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3544 | PA      | $3574.58        | 0.00%             | 2033-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 7/33 #003426                                                                              | CUSIP: 36202DYX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         942 | PA      | $937.21         | 0.00%             | 2033-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 9/33 #003442                                                                                 | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      101111 | PA      | $103219.85      | 0.00%             | 2033-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 4/35 #003700                                                                              | CUSIP: 36202EDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      102500 | PA      | $103594.63      | 0.00%             | 2035-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 3/36 #003828                                                                              | CUSIP: 36202EHD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4913 | PA      | $4965.95        | 0.00%             | 2036-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/41 #005280                                                                             | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53451 | PA      | $52712.03       | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 2/42 #005306                                                                              | CUSIP: 36202F3P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11217 | PA      | $11349.37       | 0.00%             | 2042-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 9/39 #004540                                                                              | CUSIP: 36202FBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41714 | PA      | $42202.37       | 0.00%             | 2039-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 11/39 #004577                                                                             | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22315 | PA      | $22576.03       | 0.00%             | 2039-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 5/40 #004696                                                                              | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18145 | PA      | $18357.95       | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 7/40 #004746                                                                              | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28058 | PA      | $28387.46       | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 8/40 #004771                                                                              | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3117 | PA      | $3153.54        | 0.00%             | 2040-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 9/40 #004800                                                                              | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      301640 | PA      | $297840.56      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 9/40 #004801                                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      155468 | PA      | $157295.97      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/40 #004833                                                                             | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      222922 | PA      | $220119.50      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 10/40 #004834                                                                             | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14045 | PA      | $14209.76       | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 12/40 #004881                                                                             | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      217831 | PA      | $210408.86      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 11/40 #004853                                                                             | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      745981 | PA      | $736548.50      | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 11/40 #004854                                                                             | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35564 | PA      | $35982.37       | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 2/41 #004945                                                                              | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23787 | PA      | $23481.97       | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 1/41 #004946                                                                              | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      252976 | PA      | $255951.54      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 1/41 #004922                                                                              | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      478546 | PA      | $472459.87      | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 7/40 #004923                                                                              | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       65671 | PA      | $66443.46       | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 3/41 #004977                                                                              | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67070 | PA      | $66209.42       | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 3/41 #004978                                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17144 | PA      | $17345.64       | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 4/41 #005017                                                                              | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      142283 | PA      | $143955.98      | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 5/41 #005055                                                                              | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      725001 | PA      | $733528.72      | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 6/41 #005082                                                                              | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      474008 | PA      | $479583.02      | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 8/41 #005139                                                                              | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7977 | PA      | $7869.92        | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/41 #005203                                                                             | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1012246 | PA      | $998567.37      | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 11/41 #005232                                                                             | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      276871 | PA      | $266861.54      | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 11/41 #005233                                                                             | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31597 | PA      | $31163.59       | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 11/41 #005234                                                                             | CUSIP: 36202FY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8459 | PA      | $8558.93        | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 12/20/2041#005258                                                                          | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      288231 | PA      | $277813.95      | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 1/34 #609542                                                                                 | CUSIP: 36202UEP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         150 | PA      | $156.32         | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 10/35 #612663                                                                                | CUSIP: 36202XTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9131 | PA      | $9560.55        | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #353726                                                                                 | CUSIP: 36203M4K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         202 | PA      | $204.46         | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #353768                                                                                 | CUSIP: 36203M6D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          17 | PA      | $17.00          | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #353838                                                                                 | CUSIP: 36203NBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          21 | PA      | $21.20          | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #353919                                                                                | CUSIP: 36203NDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          20 | PA      | $20.39          | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #372445                                                                                 | CUSIP: 36204KWE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          13 | PA      | $12.96          | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #399249                                                                                 | CUSIP: 36205SQA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          21 | PA      | $21.43          | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #410455                                                                                 | CUSIP: 36206F5Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          73 | PA      | $74.17          | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 11/27 #412362                                                                                | CUSIP: 36206JB78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          29 | PA      | $29.19          | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #422973                                                                                 | CUSIP: 36206V2E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         118 | PA      | $119.90         | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #424845                                                                                 | CUSIP: 36206X5E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          29 | PA      | $28.76          | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #424092                                                                                 | CUSIP: 36206XC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         146 | PA      | $150.87         | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #427209                                                                                 | CUSIP: 36207BR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          59 | PA      | $59.92          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #427235                                                                                 | CUSIP: 36207BSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          63 | PA      | $63.81          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/41 #430360                                                                                 | CUSIP: 36207FB59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3744 | PA      | $3790.41        | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/29 #432896                                                                                 | CUSIP: 36207H3D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          38 | PA      | $38.42          | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #433774                                                                                 | CUSIP: 36207J2F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         264 | PA      | $267.31         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #433788                                                                                 | CUSIP: 36207J2V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           6 | PA      | $6.44           | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #433805                                                                                 | CUSIP: 36207J3N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         305 | PA      | $308.88         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #433849                                                                                 | CUSIP: 36207J5J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         185 | PA      | $187.10         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #433882                                                                                 | CUSIP: 36207J6T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          31 | PA      | $31.70          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #433517                                                                                | CUSIP: 36207JSE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          15 | PA      | $14.79          | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #433528                                                                                 | CUSIP: 36207JSR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          13 | PA      | $13.20          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #433571                                                                                 | CUSIP: 36207JT45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          60 | PA      | $60.90          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #433566                                                                                 | CUSIP: 36207JTX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          45 | PA      | $45.75          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #433616                                                                                 | CUSIP: 36207JVH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          50 | PA      | $50.20          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #433685                                                                                 | CUSIP: 36207JXN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         156 | PA      | $158.34         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #433689                                                                                 | CUSIP: 36207JXS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          36 | PA      | $35.96          | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #434145                                                                                 | CUSIP: 36207KHW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          44 | PA      | $45.21          | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 1/31 #435013                                                                                 | CUSIP: 36207LGW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         788 | PA      | $820.03         | 0.00%             | 2031-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #436017                                                                                | CUSIP: 36207MK62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          38 | PA      | $37.92          | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #436032                                                                                | CUSIP: 36207MLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          50 | PA      | $50.44          | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #436093                                                                                 | CUSIP: 36207MNJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          76 | PA      | $76.95          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #436262                                                                                 | CUSIP: 36207MTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          97 | PA      | $98.32          | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #436264                                                                                 | CUSIP: 36207MTV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          30 | PA      | $30.86          | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #438075                                                                                 | CUSIP: 36207PT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         214 | PA      | $217.41         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #438403                                                                                 | CUSIP: 36207QAC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          67 | PA      | $66.95          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 2/27 #439497                                                                                 | CUSIP: 36207RGE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          19 | PA      | $19.51          | 0.00%             | 2027-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #439558                                                                                 | CUSIP: 36207RJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           2 | PA      | $1.55           | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #440301                                                                                 | CUSIP: 36207SDE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           5 | PA      | $5.44           | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #441653                                                                                 | CUSIP: 36207TTJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          27 | PA      | $26.79          | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #441655                                                                                 | CUSIP: 36207TTL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          77 | PA      | $77.25          | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/26 #442063                                                                                | CUSIP: 36207UB80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           9 | PA      | $8.64           | 0.00%             | 2026-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/26 #442193                                                                                | CUSIP: 36207UGA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           1 | PA      | $1.00           | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #443711                                                                                 | CUSIP: 36207V3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         366 | PA      | $371.59         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #443834                                                                                | CUSIP: 36207WBB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          95 | PA      | $96.17          | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #443837                                                                                 | CUSIP: 36207WBE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          45 | PA      | $45.49          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #444774                                                                                 | CUSIP: 36207XCK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          96 | PA      | $97.53          | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #445661                                                                                 | CUSIP: 36207YB66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          74 | PA      | $75.46          | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #446726                                                                                 | CUSIP: 36208CHB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         366 | PA      | $371.95         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #446732                                                                                 | CUSIP: 36208CHH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         101 | PA      | $101.25         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #446822                                                                                 | CUSIP: 36208CLB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          13 | PA      | $12.87          | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #446830                                                                                 | CUSIP: 36208CLK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         115 | PA      | $116.54         | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #446901                                                                                 | CUSIP: 36208CNS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          19 | PA      | $18.97          | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #447102                                                                                 | CUSIP: 36208CU39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          34 | PA      | $34.37          | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #447688                                                                                 | CUSIP: 36208DJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           8 | PA      | $7.81           | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #447756                                                                                 | CUSIP: 36208DMD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          89 | PA      | $89.79          | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #447984                                                                                 | CUSIP: 36208DUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         166 | PA      | $168.48         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #448998                                                                                 | CUSIP: 36208EX32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         272 | PA      | $275.74         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #449474                                                                                 | CUSIP: 36208FJT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         245 | PA      | $248.47         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #449499                                                                                 | CUSIP: 36208FKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         219 | PA      | $221.86         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #449600                                                                                 | CUSIP: 36208FNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          14 | PA      | $13.82          | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #449952                                                                                 | CUSIP: 36208FZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          98 | PA      | $99.97          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #450349                                                                                 | CUSIP: 36208GH27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          27 | PA      | $27.48          | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #451900                                                                                 | CUSIP: 36208H7M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          25 | PA      | $25.43          | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #451321                                                                                 | CUSIP: 36208HLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           8 | PA      | $8.07           | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 7/27 #451326                                                                                 | CUSIP: 36208HLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          45 | PA      | $45.68          | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #451506                                                                                | CUSIP: 36208HR32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          10 | PA      | $10.30          | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #452761                                                                                 | CUSIP: 36208J5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          20 | PA      | $20.07          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #452535                                                                                | CUSIP: 36208JV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         207 | PA      | $210.36         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #452821                                                                                | CUSIP: 36208KAW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         147 | PA      | $149.19         | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #452939                                                                                 | CUSIP: 36208KEL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           9 | PA      | $8.89           | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #453080                                                                                 | CUSIP: 36208KJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          80 | PA      | $82.07          | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #454037                                                                                 | CUSIP: 36208LLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          75 | PA      | $76.46          | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #454375                                                                                 | CUSIP: 36208LXC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          42 | PA      | $41.99          | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #455124                                                                                 | CUSIP: 36208MSM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           7 | PA      | $6.94           | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #455273                                                                                 | CUSIP: 36208MXA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          40 | PA      | $40.40          | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #455361                                                                                | CUSIP: 36208MZ24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          13 | PA      | $12.72          | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #456362                                                                                 | CUSIP: 36208N5X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2102 | PA      | $2129.97        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #455904                                                                                | CUSIP: 36208NNV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         102 | PA      | $103.93         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #456151                                                                                 | CUSIP: 36208NWL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          62 | PA      | $61.92          | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #456862                                                                                 | CUSIP: 36208PQP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          58 | PA      | $59.11          | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #457826                                                                                | CUSIP: 36208QSP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          39 | PA      | $38.99          | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #457923                                                                                | CUSIP: 36208QVQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         131 | PA      | $132.75         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #458387                                                                                 | CUSIP: 36208RF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          70 | PA      | $70.76          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #458374                                                                                 | CUSIP: 36208RFP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          63 | PA      | $63.53          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #458872                                                                                 | CUSIP: 36208RW91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         288 | PA      | $292.06         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #458859                                                                                 | CUSIP: 36208RWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          65 | PA      | $65.20          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #458877                                                                                 | CUSIP: 36208RXE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          59 | PA      | $59.88          | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #458926                                                                                 | CUSIP: 36208RYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         160 | PA      | $163.19         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #459933                                                                                 | CUSIP: 36208S4S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         276 | PA      | $280.36         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #459211                                                                                 | CUSIP: 36208SDQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         165 | PA      | $168.40         | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 1/28 #459649                                                                                 | CUSIP: 36208STE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         150 | PA      | $152.50         | 0.00%             | 2028-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #460837                                                                                 | CUSIP: 36208T4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          19 | PA      | $18.96          | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #460857                                                                                 | CUSIP: 36208T5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         815 | PA      | $827.31         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #460023                                                                                 | CUSIP: 36208TAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1441 | PA      | $1462.36        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #460654                                                                                | CUSIP: 36208TWP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          76 | PA      | $76.83          | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #460697                                                                                | CUSIP: 36208TX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         203 | PA      | $204.09         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #460912                                                                                 | CUSIP: 36208UAM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          80 | PA      | $81.11          | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #462619                                                                                 | CUSIP: 36208V4C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          17 | PA      | $17.33          | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #462669                                                                                 | CUSIP: 36208V6E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          98 | PA      | $99.25          | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #462543                                                                                 | CUSIP: 36208VZG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         661 | PA      | $668.46         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #462554                                                                                 | CUSIP: 36208VZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          14 | PA      | $13.80          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #462816                                                                                 | CUSIP: 36208WDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          39 | PA      | $39.54          | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #463468                                                                                 | CUSIP: 36208WZ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          95 | PA      | $95.65          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #463983                                                                                 | CUSIP: 36208XM81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         524 | PA      | $532.10         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #464231                                                                                | CUSIP: 36208XVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         482 | PA      | $490.40         | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #464692                                                                                 | CUSIP: 36208YF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          14 | PA      | $14.46          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #464694                                                                                 | CUSIP: 36208YGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          13 | PA      | $12.72          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #464768                                                                                 | CUSIP: 36208YJM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          36 | PA      | $36.53          | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #464920                                                                                 | CUSIP: 36208YPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         170 | PA      | $172.15         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #464955                                                                                 | CUSIP: 36208YQG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         476 | PA      | $482.29         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #465748                                                                                 | CUSIP: 36209AL57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          60 | PA      | $60.58          | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #465904                                                                                 | CUSIP: 36209ARZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          18 | PA      | $18.69          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/28 #465985                                                                                 | CUSIP: 36209AUJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          80 | PA      | $81.55          | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #465988                                                                                 | CUSIP: 36209AUM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          76 | PA      | $77.26          | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #466842                                                                                 | CUSIP: 36209BS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          48 | PA      | $48.60          | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #466901                                                                                 | CUSIP: 36209BU22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          54 | PA      | $54.32          | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #466882                                                                                 | CUSIP: 36209BUF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         110 | PA      | $111.97         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #466883                                                                                 | CUSIP: 36209BUG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         221 | PA      | $226.49         | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #466888                                                                                 | CUSIP: 36209BUM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         171 | PA      | $173.71         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #468045                                                                                 | CUSIP: 36209C5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         352 | PA      | $357.44         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #468084                                                                                 | CUSIP: 36209C6V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          29 | PA      | $29.17          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #468965                                                                                 | CUSIP: 36209D6A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         748 | PA      | $761.45         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #468122                                                                                 | CUSIP: 36209DAX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         213 | PA      | $216.05         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #468593                                                                                 | CUSIP: 36209DRN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          89 | PA      | $92.73          | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #468613                                                                                 | CUSIP: 36209DSA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         380 | PA      | $393.92         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #469082                                                                                 | CUSIP: 36209ECT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          26 | PA      | $26.26          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #471672                                                                                 | CUSIP: 36209G6H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          17 | PA      | $17.12          | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #471698                                                                                 | CUSIP: 36209G7K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           7 | PA      | $6.57           | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #471314                                                                                 | CUSIP: 36209GSB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         415 | PA      | $430.52         | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #474003                                                                                 | CUSIP: 36209KRY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          27 | PA      | $26.79          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #474731                                                                                 | CUSIP: 36209LLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         360 | PA      | $367.22         | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/31 #474760                                                                                 | CUSIP: 36209LMH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         179 | PA      | $184.44         | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #474767                                                                                 | CUSIP: 36209LMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          67 | PA      | $69.31          | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #474770                                                                                 | CUSIP: 36209LMT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          28 | PA      | $28.69          | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #474776                                                                                 | CUSIP: 36209LMZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          68 | PA      | $70.06          | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #476119                                                                                 | CUSIP: 36209M4C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          38 | PA      | $38.38          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #476127                                                                                | CUSIP: 36209M4L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         170 | PA      | $173.45         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #475449                                                                                 | CUSIP: 36209MEW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          35 | PA      | $35.48          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #475908                                                                                 | CUSIP: 36209MU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         185 | PA      | $187.58         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/28 #475895                                                                                 | CUSIP: 36209MUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         428 | PA      | $437.64         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/29 #477007                                                                                 | CUSIP: 36209N3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          16 | PA      | $15.68          | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #476294                                                                                 | CUSIP: 36209NC75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         647 | PA      | $655.41         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #476306                                                                                 | CUSIP: 36209NDK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          68 | PA      | $69.35          | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #476576                                                                                 | CUSIP: 36209NMZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          78 | PA      | $79.05          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479430                                                                                | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       61253 | PA      | $60238.29       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479494                                                                                | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      155832 | PA      | $153118.33      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479596                                                                                | CUSIP: 36209RXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2441 | PA      | $2396.16        | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479607                                                                                | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       52157 | PA      | $51313.79       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/29 #481600                                                                                 | CUSIP: 36209T7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          72 | PA      | $73.85          | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #481378                                                                                | CUSIP: 36209TXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         276 | PA      | $281.29         | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #481798                                                                                 | CUSIP: 36209UGF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          77 | PA      | $78.08          | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #481853                                                                                 | CUSIP: 36209UH66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         146 | PA      | $148.97         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/28 #482668                                                                                 | CUSIP: 36209VFH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         271 | PA      | $275.04         | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #482878                                                                                | CUSIP: 36209VM35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2492 | PA      | $2541.99        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/28 #484261                                                                                 | CUSIP: 36209W5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         261 | PA      | $267.16         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #483639                                                                                 | CUSIP: 36209WHQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          18 | PA      | $17.96          | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #484404                                                                                 | CUSIP: 36209XDH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          40 | PA      | $40.06          | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #485009                                                                                | CUSIP: 36209XYE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          85 | PA      | $86.10          | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #717956                                                                                 | CUSIP: 3620A3TM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2924 | PA      | $3027.85        | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #717997                                                                                | CUSIP: 3620A3UW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7408 | PA      | $7673.38        | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720055                                                                                 | CUSIP: 3620A55Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2590 | PA      | $2621.55        | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720064                                                                                 | CUSIP: 3620A55Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20928 | PA      | $21183.05       | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720070                                                                                 | CUSIP: 3620A56F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3809 | PA      | $3856.19        | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720075                                                                                 | CUSIP: 3620A56L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3005 | PA      | $3041.52        | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #719228                                                                                 | CUSIP: 3620A5A58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15097 | PA      | $15283.97       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #719230                                                                                 | CUSIP: 3620A5A74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4186 | PA      | $4237.85        | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #719216                                                                                 | CUSIP: 3620A5AR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       52484 | PA      | $53131.53       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #719217                                                                                 | CUSIP: 3620A5AS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13299 | PA      | $13778.56       | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #719262                                                                                 | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18203 | PA      | $18859.99       | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #719739                                                                                | CUSIP: 3620A5S42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4866 | PA      | $5153.08        | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #720602                                                                                | CUSIP: 3620A6RX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1082 | PA      | $1140.45        | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2040#721759                                                                        | CUSIP: 3620A7ZY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2926 | PA      | $2881.51        | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722699                                                                                | CUSIP: 3620A83G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4932 | PA      | $4993.13        | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722700                                                                                | CUSIP: 3620A83H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8806 | PA      | $8915.07        | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722701                                                                                | CUSIP: 3620A83J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13390 | PA      | $13555.31       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #722705                                                                                | CUSIP: 3620A83N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         896 | PA      | $928.82         | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #722204                                                                                 | CUSIP: 3620A8KR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16289 | PA      | $16488.74       | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #722270                                                                                 | CUSIP: 3620A8MT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1253 | PA      | $1297.79        | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #722964                                                                                 | CUSIP: 3620A9FD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1656 | PA      | $1714.47        | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723248                                                                                | CUSIP: 3620A9P96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2492 | PA      | $2578.38        | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723224                                                                                | CUSIP: 3620A9PH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12061 | PA      | $12484.48       | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723228                                                                                | CUSIP: 3620A9PM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4171 | PA      | $4316.83        | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #723234                                                                                | CUSIP: 3620A9PT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1198 | PA      | $1213.29        | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #723339                                                                                 | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9950 | PA      | $10302.93       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #723333                                                                                 | CUSIP: 3620A9SW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5729 | PA      | $5799.76        | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #723430                                                                                | CUSIP: 3620A9VX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         576 | PA      | $583.46         | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/40 #723739                                                                                 | CUSIP: 3620AABG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21135 | PA      | $20797.39       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #723740                                                                                 | CUSIP: 3620AABH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17402 | PA      | $17618.60       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/40 #723743                                                                                 | CUSIP: 3620AABL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9341 | PA      | $9206.16        | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #723745                                                                                 | CUSIP: 3620AABN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13322 | PA      | $13487.85       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 5/40 #723747                                                                                 | CUSIP: 3620AABQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18428 | PA      | $18133.85       | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #724220                                                                                 | CUSIP: 3620AASH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       86561 | PA      | $87623.79       | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #724223                                                                                 | CUSIP: 3620AASL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      108190 | PA      | $109520.37      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #724340                                                                                 | CUSIP: 3620AAV96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6336 | PA      | $6413.67        | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/40 #724698                                                                                 | CUSIP: 3620ABDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12469 | PA      | $12299.08       | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #726298                                                                                 | CUSIP: 3620AC3F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6976 | PA      | $7222.40        | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #726316                                                                                 | CUSIP: 3620AC3Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2473 | PA      | $2559.84        | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #726323                                                                                 | CUSIP: 3620AC4G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3778 | PA      | $3910.56        | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #726394                                                                                | CUSIP: 3620AC7F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4941 | PA      | $5001.79        | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #726095                                                                                | CUSIP: 3620ACUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15306 | PA      | $15856.82       | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #726467                                                                                | CUSIP: 3620ADCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         980 | PA      | $992.16         | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #726916                                                                                | CUSIP: 3620ADSD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11907 | PA      | $12054.61       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #727692                                                                                | CUSIP: 3620AENH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1844 | PA      | $1950.28        | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727849                                                                                 | CUSIP: 3620AETE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3112 | PA      | $3150.48        | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727850                                                                                 | CUSIP: 3620AETF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7532 | PA      | $7625.37        | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727855                                                                                 | CUSIP: 3620AETL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3022 | PA      | $3059.36        | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #728314                                                                                | CUSIP: 3620AFDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6074 | PA      | $6149.10        | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #728315                                                                                | CUSIP: 3620AFDU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8691 | PA      | $8796.05        | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #728319                                                                                | CUSIP: 3620AFDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5040 | PA      | $5220.37        | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #728451                                                                                | CUSIP: 3620AFH42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11965 | PA      | $12395.89       | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #729514                                                                                 | CUSIP: 3620AGN76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1777 | PA      | $1841.56        | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #729562                                                                                 | CUSIP: 3620AGQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2651 | PA      | $2743.34        | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #731980                                                                                 | CUSIP: 3620AKFV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1115 | PA      | $1155.39        | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 1/40 #732376                                                                                 | CUSIP: 3620AKT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         531 | PA      | $545.10         | 0.00%             | 2040-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #733155                                                                                 | CUSIP: 3620ALQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5187 | PA      | $5374.96        | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #733234                                                                                 | CUSIP: 3620ALSX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         647 | PA      | $655.02         | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #733255                                                                                 | CUSIP: 3620ALTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1128 | PA      | $1141.39        | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #734392                                                                                 | CUSIP: 3620AM2Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15156 | PA      | $15687.99       | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #733726                                                                                 | CUSIP: 3620AMD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      287690 | PA      | $298019.69      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #733737                                                                                 | CUSIP: 3620AMEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2666 | PA      | $2699.07        | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #733784                                                                                 | CUSIP: 3620AMFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5678 | PA      | $5886.26        | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #733812                                                                                 | CUSIP: 3620AMGV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1739 | PA      | $1660.70        | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #733919                                                                                 | CUSIP: 3620AMK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6734 | PA      | $6968.48        | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #733989                                                                                | CUSIP: 3620AMNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6546 | PA      | $6444.77        | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/40 #734032                                                                                | CUSIP: 3620AMPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1315 | PA      | $1362.64        | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#734089                                                                        | CUSIP: 3620AMRJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6468 | PA      | $6363.00        | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/40 #734104                                                                                | CUSIP: 3620AMRZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1875 | PA      | $1799.87        | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #734151                                                                                 | CUSIP: 3620AMTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       60207 | PA      | $59239.07       | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735358                                                                                 | CUSIP: 3620AN5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17477 | PA      | $17693.17       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735359                                                                                 | CUSIP: 3620AN5U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9738 | PA      | $9857.90        | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735365                                                                                 | CUSIP: 3620AN6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9616 | PA      | $9735.08        | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735366                                                                                 | CUSIP: 3620AN6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6675 | PA      | $6756.15        | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #735701                                                                                 | CUSIP: 3620APKN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5144 | PA      | $5331.88        | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #737104                                                                                 | CUSIP: 3620AQ3M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5682 | PA      | $5751.66        | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #737177                                                                                 | CUSIP: 3620AQ6N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       94277 | PA      | $97646.04       | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #737191                                                                                 | CUSIP: 3620AQ7C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4760 | PA      | $4930.96        | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #736596                                                                                 | CUSIP: 3620AQKH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5516 | PA      | $5584.53        | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/40 #736729                                                                                 | CUSIP: 3620AQPN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51697 | PA      | $52335.71       | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737035                                                                                 | CUSIP: 3620AQY80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1891 | PA      | $1914.79        | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737007                                                                                 | CUSIP: 3620AQYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25853 | PA      | $26171.43       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737015                                                                                 | CUSIP: 3620AQYL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32573 | PA      | $32976.17       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/41 #738002                                                                                 | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17082 | PA      | $16814.58       | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #737311                                                                                 | CUSIP: 3620ARDQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21587 | PA      | $22372.93       | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #737454                                                                                 | CUSIP: 3620ARH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10389 | PA      | $10762.57       | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/40 #737442                                                                                 | CUSIP: 3620ARHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2349 | PA      | $2313.51        | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #737532                                                                                | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2669 | PA      | $2627.61        | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #737559                                                                                | CUSIP: 3620ARMG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       71023 | PA      | $69910.40       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/40 #737674                                                                                | CUSIP: 3620ARQ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4877 | PA      | $5052.57        | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#737712                                                                        | CUSIP: 3620ARR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4230 | PA      | $4158.09        | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#737704                                                                        | CUSIP: 3620ARRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2856 | PA      | $2807.31        | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/40 #737790                                                                                | CUSIP: 3620ARUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3605 | PA      | $3547.75        | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #738885                                                                                | CUSIP: 3620AS2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33461 | PA      | $32913.08       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #738886                                                                                | CUSIP: 3620AS2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19426 | PA      | $19127.10       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/41 #738106                                                                                 | CUSIP: 3620ASAF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10122 | PA      | $10479.10       | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/41 #738119                                                                                 | CUSIP: 3620ASAU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3748 | PA      | $3882.72        | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #738218                                                                                 | CUSIP: 3620ASDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3693 | PA      | $3823.55        | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #738240                                                                                 | CUSIP: 3620ASEM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1647 | PA      | $1704.76        | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738418                                                                                 | CUSIP: 3620ASK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1641 | PA      | $1698.57        | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738404                                                                                 | CUSIP: 3620ASKR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1723 | PA      | $1783.17        | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738429                                                                                 | CUSIP: 3620ASLJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12159 | PA      | $12581.21       | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #739091                                                                                 | CUSIP: 3620ATC47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33691 | PA      | $34105.07       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #739184                                                                                 | CUSIP: 3620ATFZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2881 | PA      | $2916.73        | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #739352                                                                                | CUSIP: 3620ATL96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       60753 | PA      | $57999.95       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #739706                                                                                 | CUSIP: 3620ATYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13595 | PA      | $14086.44       | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 07/15/2040#739708                                                                        | CUSIP: 3620ATYD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         883 | PA      | $915.34         | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#740830                                                                        | CUSIP: 3620AVA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23178 | PA      | $22069.76       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #741215                                                                                 | CUSIP: 3620AVN81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4908 | PA      | $4968.50        | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #741227                                                                                 | CUSIP: 3620AVPL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1468 | PA      | $1486.00        | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 06/15/2040#741262                                                                        | CUSIP: 3620AVQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1820 | PA      | $1842.91        | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/40 #741269                                                                                 | CUSIP: 3620AVQW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4104 | PA      | $4154.97        | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #741372                                                                                 | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15773 | PA      | $15968.13       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #741817                                                                                | CUSIP: 3620AWDW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       37448 | PA      | $35889.39       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #743475                                                                                 | CUSIP: 3620AX6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8325 | PA      | $8624.45        | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #743665                                                                                 | CUSIP: 3620AYFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6517 | PA      | $6753.26        | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #743877                                                                                 | CUSIP: 3620AYM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1929 | PA      | $1952.67        | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745192                                                                                 | CUSIP: 3620C02Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14911 | PA      | $15095.63       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745196                                                                                 | CUSIP: 3620C03D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28912 | PA      | $29270.20       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745228                                                                                 | CUSIP: 3620C04M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       65211 | PA      | $66017.45       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745231                                                                                 | CUSIP: 3620C04Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       58759 | PA      | $59485.18       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745232                                                                                 | CUSIP: 3620C04R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       39739 | PA      | $40229.77       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745236                                                                                 | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41526 | PA      | $42038.51       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745237                                                                                 | CUSIP: 3620C04W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1170 | PA      | $1184.75        | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745068                                                                                 | CUSIP: 3620C0W53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4902 | PA      | $4962.75        | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745083                                                                                 | CUSIP: 3620C0XL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       49303 | PA      | $49912.73       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745088                                                                                 | CUSIP: 3620C0XR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21949 | PA      | $22219.95       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745094                                                                                 | CUSIP: 3620C0XX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      101832 | PA      | $103090.40      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745127                                                                                 | CUSIP: 3620C0YY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22160 | PA      | $22433.76       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745138                                                                                 | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       37511 | PA      | $37974.25       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/40 #746823                                                                                | CUSIP: 3620C2VQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8142 | PA      | $8031.99        | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #747153                                                                                 | CUSIP: 3620C3BW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2335 | PA      | $2419.97        | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/40 #747264                                                                                 | CUSIP: 3620C3FD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2410 | PA      | $2439.90        | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 08/15/2040#747723                                                                        | CUSIP: 3620C3VQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4901 | PA      | $5080.68        | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/40 #748811                                                                                 | CUSIP: 3620C43U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5459 | PA      | $5526.25        | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #748144                                                                                 | CUSIP: 3620C4ER7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3009 | PA      | $2954.76        | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/41 #748183                                                                                 | CUSIP: 3620C4FY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1921 | PA      | $1892.95        | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #748242                                                                                | CUSIP: 3620C4HT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4677 | PA      | $4601.15        | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #748482                                                                                 | CUSIP: 3620C4RB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16165 | PA      | $16756.05       | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/40 #749953                                                                                | CUSIP: 3620C6E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17489 | PA      | $17206.53       | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 11/15/2040#749935                                                                        | CUSIP: 3620C6EG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1983 | PA      | $1955.91        | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2041#750185                                                                        | CUSIP: 3620C6NA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9285 | PA      | $9124.34        | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #486530                                                                                 | CUSIP: 36210APP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         113 | PA      | $113.60         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #486531                                                                                 | CUSIP: 36210APQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         602 | PA      | $611.97         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #486540                                                                                 | CUSIP: 36210APZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          16 | PA      | $16.48          | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #486599                                                                                | CUSIP: 36210ARU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          17 | PA      | $17.52          | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #486804                                                                                 | CUSIP: 36210AX93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          87 | PA      | $88.46          | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #487575                                                                                 | CUSIP: 36210BT88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         108 | PA      | $109.87         | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/29 #487563                                                                                 | CUSIP: 36210BTU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         752 | PA      | $778.62         | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #488260                                                                                 | CUSIP: 36210CMH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          12 | PA      | $12.43          | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #490591                                                                                 | CUSIP: 36210E7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          24 | PA      | $24.21          | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #489711                                                                                 | CUSIP: 36210EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         172 | PA      | $175.41         | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #489861                                                                                 | CUSIP: 36210EFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3227 | PA      | $3167.26        | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/41 #489862                                                                                | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      131266 | PA      | $129062.30      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #490107                                                                                | CUSIP: 36210ENY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         393 | PA      | $400.71         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #490919                                                                                | CUSIP: 36210FK88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         207 | PA      | $209.47         | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #490977                                                                                | CUSIP: 36210FM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         186 | PA      | $189.37         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #492354                                                                                | CUSIP: 36210G5P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         618 | PA      | $621.91         | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/30 #493519                                                                                | CUSIP: 36210JG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         151 | PA      | $155.05         | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #495896                                                                                 | CUSIP: 36210L3D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         121 | PA      | $123.09         | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #495202                                                                                 | CUSIP: 36210LDF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          67 | PA      | $68.30          | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/29 #499474                                                                                 | CUSIP: 36210Q2F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         160 | PA      | $162.89         | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #502272                                                                                 | CUSIP: 36210T6H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         236 | PA      | $240.38         | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/29 #502341                                                                                 | CUSIP: 36210UBJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         109 | PA      | $111.78         | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #503025                                                                                 | CUSIP: 36210UYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          18 | PA      | $17.99          | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 12/29 #510858                                                                                | CUSIP: 36211EQK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          43 | PA      | $44.18          | 0.00%             | 2029-12-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/29 #510903                                                                                 | CUSIP: 36211ERY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         182 | PA      | $185.70         | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513653                                                                                 | CUSIP: 36211HTJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          37 | PA      | $37.84          | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #513722                                                                                 | CUSIP: 36211HVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          12 | PA      | $11.87          | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/30 #515294                                                                                 | CUSIP: 36211KNK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         552 | PA      | $565.20         | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 10/30 #515513                                                                                | CUSIP: 36211KVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2740 | PA      | $2833.24        | 0.00%             | 2030-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/29 #518019                                                                                | CUSIP: 36211NPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         488 | PA      | $500.93         | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #520104                                                                                 | CUSIP: 36211QX97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         284 | PA      | $291.14         | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/30 #521123                                                                                | CUSIP: 36211R4G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         435 | PA      | $449.76         | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #528852                                                                                 | CUSIP: 36212BQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         284 | PA      | $293.93         | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/31 #530552                                                                                 | CUSIP: 36212DL98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3661 | PA      | $3760.81        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/30 #532641                                                                                | CUSIP: 36212FWA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         263 | PA      | $272.19         | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #533932                                                                                 | CUSIP: 36212HED8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          33 | PA      | $32.98          | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #534007                                                                                 | CUSIP: 36212HGQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3311 | PA      | $3447.30        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/30 #538051                                                                                 | CUSIP: 36212MWL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1179 | PA      | $1218.39        | 0.00%             | 2030-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #538864                                                                                 | CUSIP: 36212NTV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         386 | PA      | $399.92         | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/31 #543785                                                                                 | CUSIP: 36212UCW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          26 | PA      | $26.98          | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #544721                                                                                 | CUSIP: 36212VD22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          94 | PA      | $97.37          | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #545176                                                                                 | CUSIP: 36212VT90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4227 | PA      | $4370.61        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #545159                                                                                 | CUSIP: 36212VTQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1633 | PA      | $1691.07        | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #545934                                                                                 | CUSIP: 36212WPT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10655 | PA      | $10787.10       | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #549552                                                                                 | CUSIP: 36213BQD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          91 | PA      | $93.57          | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #549563                                                                                 | CUSIP: 36213BQQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         176 | PA      | $179.60         | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #549588                                                                                 | CUSIP: 36213BRH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         203 | PA      | $210.81         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #550969                                                                                | CUSIP: 36213DCE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         650 | PA      | $675.52         | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #551116                                                                                 | CUSIP: 36213DGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          83 | PA      | $85.53          | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/31 #551661                                                                                 | CUSIP: 36213DZ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         681 | PA      | $708.89         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #552576                                                                                 | CUSIP: 36213E2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         261 | PA      | $269.27         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #552620                                                                                 | CUSIP: 36213E4D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         107 | PA      | $110.68         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #552668                                                                                 | CUSIP: 36213E6D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1078 | PA      | $1124.02        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552550                                                                                | CUSIP: 36213EZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20915 | PA      | $20553.76       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552552                                                                                | CUSIP: 36213EZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11756 | PA      | $11554.34       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552554                                                                                | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       56209 | PA      | $55283.36       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #553437                                                                                 | CUSIP: 36213FZA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         180 | PA      | $186.32         | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #553442                                                                                 | CUSIP: 36213FZF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2153 | PA      | $2214.63        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #554247                                                                                 | CUSIP: 36213GWG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         638 | PA      | $662.21         | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #556294                                                                                | CUSIP: 36213J7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         953 | PA      | $988.08         | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #555696                                                                                 | CUSIP: 36213JKH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          99 | PA      | $102.87         | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #555867                                                                                 | CUSIP: 36213JQU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         151 | PA      | $156.80         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #556007                                                                                | CUSIP: 36213JU86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         574 | PA      | $595.38         | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #555999                                                                                | CUSIP: 36213JUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         200 | PA      | $207.88         | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #557611                                                                                 | CUSIP: 36213LN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         252 | PA      | $258.98         | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #558746                                                                                 | CUSIP: 36213MWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         398 | PA      | $411.63         | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #560191                                                                                 | CUSIP: 36213PKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         163 | PA      | $169.03         | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #560279                                                                                 | CUSIP: 36213PM40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          69 | PA      | $70.30          | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #560401                                                                                 | CUSIP: 36213PRW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         458 | PA      | $475.49         | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #560462                                                                                 | CUSIP: 36213PTT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         160 | PA      | $164.73         | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #563407                                                                                 | CUSIP: 36213S3Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         613 | PA      | $636.20         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #563613                                                                                 | CUSIP: 36213TDS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         108 | PA      | $112.53         | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #564543                                                                                | CUSIP: 36213UEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          44 | PA      | $45.49          | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #564650                                                                                 | CUSIP: 36213UH37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         860 | PA      | $891.22         | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #564867                                                                                 | CUSIP: 36213UQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          42 | PA      | $43.34          | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565092                                                                                 | CUSIP: 36213UXV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12999 | PA      | $13527.80       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565482                                                                                 | CUSIP: 36213VFX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         124 | PA      | $128.37         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #565867                                                                                 | CUSIP: 36213VTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         590 | PA      | $614.54         | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565952                                                                                 | CUSIP: 36213VWM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         320 | PA      | $330.75         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565960                                                                                 | CUSIP: 36213VWV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3146 | PA      | $3258.16        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #565982                                                                                 | CUSIP: 36213VXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         324 | PA      | $338.18         | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #566254                                                                                | CUSIP: 36213WBX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          67 | PA      | $69.36          | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #567102                                                                                 | CUSIP: 36213XAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         156 | PA      | $161.59         | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #567217                                                                                | CUSIP: 36213XDW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         176 | PA      | $182.87         | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #567252                                                                                | CUSIP: 36213XEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         240 | PA      | $248.12         | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #568814                                                                                | CUSIP: 36213Y3X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1012 | PA      | $1051.70        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #167424                                                                                | CUSIP: 36216K4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1508 | PA      | $1534.70        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #780777                                                                                 | CUSIP: 36225A2J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          25 | PA      | $25.79          | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 11/27 #780795                                                                                | CUSIP: 36225A3C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          14 | PA      | $14.09          | 0.00%             | 2027-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #780798                                                                                | CUSIP: 36225A3F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           8 | PA      | $8.25           | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 11/27 #780834                                                                                | CUSIP: 36225A4T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          45 | PA      | $45.92          | 0.00%             | 2027-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 10/28 #780881                                                                                | CUSIP: 36225A6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          93 | PA      | $94.30          | 0.00%             | 2028-10-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/27 #780499                                                                                 | CUSIP: 36225ARU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           2 | PA      | $2.00           | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/27 #780570                                                                                 | CUSIP: 36225AT34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           2 | PA      | $2.21           | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #780545                                                                                 | CUSIP: 36225ATA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          57 | PA      | $56.92          | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #780580                                                                                 | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         141 | PA      | $142.57         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/27 #780618                                                                                 | CUSIP: 36225AVK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          12 | PA      | $11.99          | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/27 #780622                                                                                 | CUSIP: 36225AVP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          13 | PA      | $13.48          | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/27 #780631                                                                                 | CUSIP: 36225AVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           9 | PA      | $9.51           | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #780931                                                                                | CUSIP: 36225BA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          55 | PA      | $55.60          | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/28 #780977                                                                                | CUSIP: 36225BCN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          51 | PA      | $51.74          | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/29 #781027                                                                                 | CUSIP: 36225BD88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          56 | PA      | $56.54          | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781006                                                                                 | CUSIP: 36225BDK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          61 | PA      | $62.26          | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781019                                                                                 | CUSIP: 36225BDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          15 | PA      | $15.57          | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781031                                                                                 | CUSIP: 36225BEC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          27 | PA      | $27.66          | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 8/29 #781078                                                                                 | CUSIP: 36225BFT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          46 | PA      | $47.49          | 0.00%             | 2029-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/30 #781130                                                                                 | CUSIP: 36225BHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          49 | PA      | $50.07          | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/30 #781196                                                                                 | CUSIP: 36225BKH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         548 | PA      | $560.16         | 0.00%             | 2030-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 7/30 #781205                                                                                 | CUSIP: 36225BKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          60 | PA      | $62.41          | 0.00%             | 2030-07-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/31 #781247                                                                                 | CUSIP: 36225BL48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          82 | PA      | $85.16          | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #781277                                                                                | CUSIP: 36225BM21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          27 | PA      | $27.07          | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #781272                                                                                 | CUSIP: 36225BMV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          28 | PA      | $28.59          | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 7.00% 4/32 #781432                                                                              | CUSIP: 36225BSV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15193 | PA      | $15841.29       | 0.00%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #781469                                                                                 | CUSIP: 36225BT24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          74 | PA      | $76.73          | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #781539                                                                                 | CUSIP: 36225BV88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         759 | PA      | $786.58         | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/32 #781569                                                                                | CUSIP: 36225BW61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1432 | PA      | $1483.37        | 0.00%             | 2032-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/32 #781548                                                                                | CUSIP: 36225BWH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         533 | PA      | $551.13         | 0.00%             | 2032-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #781584                                                                                 | CUSIP: 36225BXM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         342 | PA      | $354.13         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #781605                                                                                 | CUSIP: 36225BYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1339 | PA      | $1387.14        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.0% 06/20/2042#783637                                                                          | CUSIP: 3622A2BE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33784 | PA      | $31774.93       | 0.00%             | 2042-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 05/15/2039#783724                                                                        | CUSIP: 3622A2D58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       27796 | PA      | $28766.82       | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 04/15/2043#783836                                                                        | CUSIP: 3622A2HM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      282171 | PA      | $269989.24      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/41 #752909                                                                                 | CUSIP: 36230MGS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7652 | PA      | $7737.40        | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 6/41 #754005                                                                                 | CUSIP: 36230NNW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2702 | PA      | $2665.59        | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #754197                                                                                 | CUSIP: 36230NUW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2383 | PA      | $2341.28        | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 11/40 #756928                                                                                | CUSIP: 36230RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9028 | PA      | $8659.99        | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #757487                                                                                 | CUSIP: 36230SJ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       68493 | PA      | $65317.03       | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #757488                                                                                 | CUSIP: 36230SJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       59500 | PA      | $56778.58       | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #757489                                                                                 | CUSIP: 36230SKA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       46711 | PA      | $44554.51       | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #757490                                                                                 | CUSIP: 36230SKB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       50578 | PA      | $48317.53       | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 6/41 #757631                                                                                 | CUSIP: 36230SPQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4833 | PA      | $4747.41        | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #759125                                                                                 | CUSIP: 36230UD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2465 | PA      | $2425.00        | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/41 #759100                                                                                 | CUSIP: 36230UDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5102 | PA      | $4895.11        | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 3/39 #782604                                                                                 | CUSIP: 36241K3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1815 | PA      | $1900.68        | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/34 #781813                                                                                | CUSIP: 36241KAN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         955 | PA      | $981.64         | 0.00%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 12/38 #782495                                                                                | CUSIP: 36241KXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         615 | PA      | $642.84         | 0.00%             | 2038-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 2/39 #782562                                                                                 | CUSIP: 36241KZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2169 | PA      | $2245.32        | 0.00%             | 2039-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/41 #783501                                                                                 | CUSIP: 36241L3J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      190040 | PA      | $196781.91      | 0.00%             | 2041-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #783532                                                                                 | CUSIP: 36241L4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       24566 | PA      | $23510.81       | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #783550                                                                                 | CUSIP: 36241L5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5933 | PA      | $5675.19        | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4.5% 06/20/2041#783590                                                                          | CUSIP: 36241L7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6245 | PA      | $6318.51        | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/39 #782727                                                                                 | CUSIP: 36241LA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21067 | PA      | $21799.02       | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #782918                                                                                 | CUSIP: 36241LG34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      113106 | PA      | $117166.84      | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #782989                                                                                 | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18659 | PA      | $18889.49       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #783008                                                                                 | CUSIP: 36241LKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      164931 | PA      | $166982.24      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #783143                                                                                | CUSIP: 36241LP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5599 | PA      | $5513.04        | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783276                                                                                 | CUSIP: 36241LT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4151 | PA      | $4202.84        | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 3/41 #783267                                                                                 | CUSIP: 36241LTY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      129955 | PA      | $127932.43      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/41 #783307                                                                                 | CUSIP: 36241LU87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4084 | PA      | $4018.98        | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783295                                                                                 | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      188087 | PA      | $190421.86      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 6.0% 05/15/2040#783362                                                                        | CUSIP: 36241LWX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      144172 | PA      | $151995.69      | 0.00%             | 2040-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/33 #616015                                                                                | CUSIP: 36290SK42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         662 | PA      | $680.15         | 0.00%             | 2033-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #616423                                                                                 | CUSIP: 36290SYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         684 | PA      | $714.03         | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #617454                                                                                 | CUSIP: 36290T5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3123 | PA      | $2987.74        | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 6/37 #617570                                                                                 | CUSIP: 36290UCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1511 | PA      | $1615.10        | 0.00%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/33 #623639                                                                                | CUSIP: 36291BZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         427 | PA      | $438.97         | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/34 #629115                                                                                 | CUSIP: 36291H3Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         151 | PA      | $157.73         | 0.00%             | 2034-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 7/35 #635384                                                                                 | CUSIP: 36291Q2R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         465 | PA      | $497.82         | 0.00%             | 2035-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #635855                                                                                | CUSIP: 36291RMC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5823 | PA      | $6222.35        | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/35 #643755                                                                                | CUSIP: 36292BE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3915 | PA      | $4214.11        | 0.00%             | 2035-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/36 #654552                                                                                | CUSIP: 36294NEZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1268 | PA      | $1357.19        | 0.00%             | 2036-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/36 #657024                                                                                 | CUSIP: 36294Q4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1124 | PA      | $1202.65        | 0.00%             | 2036-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#666342                                                                        | CUSIP: 36295CHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18158 | PA      | $16922.69       | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2043#666409                                                                        | CUSIP: 36295CKW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4535 | PA      | $4321.31        | 0.00%             | 2043-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #667416                                                                                 | CUSIP: 36295DN96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4632 | PA      | $4797.12        | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/37 #670111                                                                                 | CUSIP: 36295GN40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         663 | PA      | $693.99         | 0.00%             | 2037-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/39 #670200                                                                                 | CUSIP: 36295GRV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6811 | PA      | $7138.31        | 0.00%             | 2039-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/39 #670624                                                                                 | CUSIP: 36295HAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3947 | PA      | $4146.69        | 0.00%             | 2039-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #677235                                                                                 | CUSIP: 36295QLQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17424 | PA      | $17639.73       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #678637                                                                                 | CUSIP: 36295R4W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5862 | PA      | $5773.47        | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #678648                                                                                | CUSIP: 36295R5H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       40008 | PA      | $40506.01       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #678654                                                                                 | CUSIP: 36295R5P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30110 | PA      | $29641.12       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #678655                                                                                 | CUSIP: 36295R5Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30639 | PA      | $31019.52       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 10/39 #680489                                                                                | CUSIP: 36295T7A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1696 | PA      | $1794.02        | 0.00%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #680497                                                                                | CUSIP: 36295T7J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         718 | PA      | $757.88         | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #680498                                                                                | CUSIP: 36295T7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2778 | PA      | $2941.82        | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #682568                                                                                | CUSIP: 36295WJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       60892 | PA      | $59956.71       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/39 #692706                                                                                 | CUSIP: 36296JR31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17088 | PA      | $17297.23       | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #692780                                                                                 | CUSIP: 36296JUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4255 | PA      | $4409.47        | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #698433                                                                                 | CUSIP: 36296Q4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4083 | PA      | $4227.34        | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #698474                                                                                 | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      182478 | PA      | $184722.20      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #698479                                                                                 | CUSIP: 36296Q6Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9514 | PA      | $9381.12        | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #698480                                                                                 | CUSIP: 36296Q6R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2901 | PA      | $2936.81        | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/39 #698214                                                                                 | CUSIP: 36296QVF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1859 | PA      | $1923.31        | 0.00%             | 2039-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/39 #698329                                                                                 | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6050 | PA      | $6124.35        | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 1/39 #701582                                                                                 | CUSIP: 36296UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11586 | PA      | $12142.25       | 0.00%             | 2039-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/39 #703035                                                                                 | CUSIP: 36296WBC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13600 | PA      | $13399.06       | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #704775                                                                                | CUSIP: 36296X6L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13363 | PA      | $13856.55       | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/39 #704628                                                                                 | CUSIP: 36296XYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16618 | PA      | $17202.54       | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #704665                                                                                 | CUSIP: 36296XZ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10115 | PA      | $10471.99       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 12/39 #704808                                                                                | CUSIP: 36296YAH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11176 | PA      | $11311.59       | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #704931                                                                                 | CUSIP: 36296YEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3829 | PA      | $3876.45        | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #704984                                                                                 | CUSIP: 36296YFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3128 | PA      | $3244.01        | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #704995                                                                                 | CUSIP: 36296YGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4570 | PA      | $4729.33        | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #705835                                                                                 | CUSIP: 36297AEG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         883 | PA      | $914.39         | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 10/15/2040#705890                                                                        | CUSIP: 36297AF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       70155 | PA      | $69048.44       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #706789                                                                                 | CUSIP: 36297BF63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30843 | PA      | $30390.86       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/39 #706762                                                                                 | CUSIP: 36297BFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8985 | PA      | $8869.00        | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #709863                                                                                | CUSIP: 36297ETU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         921 | PA      | $968.94         | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #710987                                                                                | CUSIP: 36297F2U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4774 | PA      | $4945.69        | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #711029                                                                                | CUSIP: 36297F4N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6093 | PA      | $6308.92        | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #711059                                                                                | CUSIP: 36297F5U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5017 | PA      | $5200.91        | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/39 #710482                                                                                | CUSIP: 36297FJ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14661 | PA      | $14460.09       | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #710465                                                                                 | CUSIP: 36297FJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21566 | PA      | $21833.85       | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/39 #710513                                                                                | CUSIP: 36297FK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6170 | PA      | $6078.39        | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/39 #710497                                                                                | CUSIP: 36297FKJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10814 | PA      | $10671.06       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #710499                                                                                | CUSIP: 36297FKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16192 | PA      | $16393.40       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #710771                                                                                 | CUSIP: 36297FT44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2896 | PA      | $2999.69        | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #710776                                                                                 | CUSIP: 36297FT93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8946 | PA      | $9261.94        | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #710839                                                                                 | CUSIP: 36297FV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32083 | PA      | $32478.67       | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 9/39 #710868                                                                                 | CUSIP: 36297FW57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       66826 | PA      | $70141.22       | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 9/39 #710869                                                                                 | CUSIP: 36297FW65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       40042 | PA      | $42011.69       | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #710848                                                                                 | CUSIP: 36297FWH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13930 | PA      | $14422.64       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #710849                                                                                 | CUSIP: 36297FWJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       68562 | PA      | $70962.75       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #710924                                                                                | CUSIP: 36297FYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9364 | PA      | $9699.01        | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #711174                                                                                 | CUSIP: 36297GCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12214 | PA      | $12362.54       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #711223                                                                                 | CUSIP: 36297GD49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      106263 | PA      | $107575.43      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/38 #711379                                                                                 | CUSIP: 36297GJY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1807 | PA      | $1882.57        | 0.00%             | 2038-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #711450                                                                                 | CUSIP: 36297GL73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4295 | PA      | $4228.12        | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/40 #711483                                                                                 | CUSIP: 36297GM80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12005 | PA      | $11821.86       | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #711463                                                                                | CUSIP: 36297GML1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7024 | PA      | $7111.26        | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/39 #711476                                                                                | CUSIP: 36297GMZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35051 | PA      | $34519.90       | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #711491                                                                                 | CUSIP: 36297GNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51862 | PA      | $51055.05       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 3/40 #711495                                                                                 | CUSIP: 36297GNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      258326 | PA      | $254356.78      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #711616                                                                                | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       65270 | PA      | $62367.34       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #713740                                                                                 | CUSIP: 36297J4Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       34547 | PA      | $34972.87       | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/39 #713199                                                                                 | CUSIP: 36297JKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2090 | PA      | $2166.49        | 0.00%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/39 #713327                                                                                 | CUSIP: 36297JPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15304 | PA      | $15841.09       | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #713471                                                                                 | CUSIP: 36297JT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19333 | PA      | $19570.86       | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 09/15/2039#713871                                                                        | CUSIP: 36297KCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15810 | PA      | $16004.18       | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                  | GENERAL MOTORS CO 5% 04/01/2035                                                                         | CUSIP: 37045VAH3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     1419000 | PA      | $1409541.84     | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                  | GENERAL MOTORS CO 5.2% 04/01/2045                                                                       | CUSIP: 37045VAJ9<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     1619000 | PA      | $1473782.39     | 0.00%             | 2045-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 6.75% 10/01/2037                                                          | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    59592000 | PA      | $66939022.00    | 0.07%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNMA 2004-24 ZM 5% 04/34                                                                                | CUSIP: 38374F2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       83242 | PA      | $84956.59       | 0.00%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2004-32 GS 650-1ML 5/34                                                                             | CUSIP: 38374GZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       19518 | PA      | $1138.80        | 0.00%             | 2034-05-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2004-73 AL TSFR1M+708.552 8/34                                                                      | CUSIP: 38374H2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       15623 | PA      | $1553.55        | 0.00%             | 2034-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H010 FA TSFR1M+44.448 5/60                                                                     | CUSIP: 38375BBV3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       38523 | PA      | $38449.52       | 0.00%             | 2060-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H19 FG TSFR1M+41.448 8/60                                                                      | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       15239 | PA      | $15189.93       | 0.00%             | 2060-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H27 FA TSFR1M+38 12/60                                                                         | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       54380 | PA      | $53986.74       | 0.00%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H05 FA TSFR1M+61.448 12/60                                                                     | CUSIP: 38375BKD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       37865 | PA      | $37873.21       | 0.00%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H07 FA TSFR1M+61.448 3/61                                                                      | CUSIP: 38375BKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       42306 | PA      | $42315.22       | 0.00%             | 2061-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H12 FA TSFR1M+60.448 5/61                                                                      | CUSIP: 38375BLS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       52345 | PA      | $52348.86       | 0.00%             | 2061-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H13 FA TSFR1M+61.448 4/61                                                                      | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       34031 | PA      | $34040.65       | 0.00%             | 2061-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H14 FB TSFR1M+61.448 5/61                                                                      | CUSIP: 38375BLZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       44947 | PA      | $44958.57       | 0.00%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H14 FC TSFR1M+61.448 5/61                                                                      | CUSIP: 38375BMB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       37893 | PA      | $37900.31       | 0.00%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H17 FA TSFR1M+64.448 6/61                                                                      | CUSIP: 38375BML3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       37743 | PA      | $37767.47       | 0.00%             | 2061-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+66.448 09/20/2061                                                   | CUSIP: 38375BNA6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      112226 | PA      | $112325.08      | 0.00%             | 2061-09-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H21 FA TSFR1M+71.448 10/61                                                                     | CUSIP: 38375BNE8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       44547 | PA      | $44630.84       | 0.00%             | 2061-10-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H01 FA TSFR1M+81.448 11/61                                                                     | CUSIP: 38375BNX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       43409 | PA      | $43520.09       | 0.00%             | 2061-11-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H03 FA TSFR1M+81.448 1/20/62 RVM                                                               | CUSIP: 38375BPJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       27974 | PA      | $28054.37       | 0.00%             | 2062-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H06 FA TSFR1M+74.448 1/62                                                                      | CUSIP: 38375BPQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       58716 | PA      | $58844.07       | 0.00%             | 2062-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H07 FA TSFR1M+74.448 3/20/62                                                                   | CUSIP: 38375BQA3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       34368 | PA      | $34418.40       | 0.00%             | 2062-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2007-37 TS TSFR1M+657.552 6/37                                                                      | CUSIP: 38375KNC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       31232 | PA      | $2813.23        | 0.00%             | 2037-06-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+71.448 12/20/2063                                                   | CUSIP: 38375UDY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       56387 | PA      | $56477.62       | 0.00%             | 2063-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+71.448 01/20/2064                                                   | CUSIP: 38375UEJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       24642 | PA      | $24689.11       | 0.00%             | 2064-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+61.448 06/20/2064                                                   | CUSIP: 38375UKG4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       30351 | PA      | $30358.57       | 0.00%             | 2064-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2015-H13 FL TSFR1M+39.448 05/63                                                                     | CUSIP: 38376RCN4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        1266 | PA      | $1260.69        | 0.00%             | 2063-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2015-H13 HA 2.5% 08/64                                                                              | CUSIP: 38376RCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        2218 | PA      | $2106.52        | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE REMIC TR 2007-075                                                       | GNR 2015-H17 GZ 4.4518% 05/65                                                                           | CUSIP: 38376REM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       20304 | PA      | $20088.95       | 0.00%             | 2065-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA TSFR1M+31.448 04/63                                            | CUSIP: 38376RFZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        2430 | PA      | $2413.19        | 0.00%             | 2063-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-H03 FA TSFR1M+66.448 3/60                                                                      | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       93394 | PA      | $93484.15       | 0.00%             | 2060-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2011-52 HI 7% 4/41                                                                                  | CUSIP: 38377VGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       13616 | PA      | $1400.95        | 0.00%             | 2041-04-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2011-136 WI 4.5% 5/40                                                                               | CUSIP: 38377YTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |        4930 | PA      | $133.94         | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HARTFORD INSURANCE GROUP INC/THE                                                   | HARTFORD INSURANCE GROUP INC/THE 4.3% 04/15/2043                                                        | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |      679000 | PA      | $600751.51      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 5.6% 02/15/2041                                                                               | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     4709000 | PA      | $4953807.07     | 0.01%             | 2041-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                     | HOME DEPOT INC 5.95% 04/01/2041                                                                         | CUSIP: 437076AV4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      527000 | PA      | $574557.79      | 0.00%             | 2041-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANE TECHNOLOGIES FINANCING LTD                                                   | TRANE TECHNOLOGIES FINANCING LTD 4.65% 11/01/2044                                                       | CUSIP: 456873AC2<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |      314000 | PA      | $289837.51      | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANE TECHNOLOGIES HOLDCO INC                                                      | TRANE TECHNOLOGIES HOLDCO INC 5.75% 06/15/2043                                                          | CUSIP: 45687AAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      223000 | PA      | $236663.46      | 0.00%             | 2043-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.25% 10/01/2027                                                                  | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3379000 | PA      | $3403130.52     | 0.00%             | 2027-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KEYBANK NATL ASSN                                                                  | KEYBANK NATL ASSN 6.95% 02/01/2028                                                                      | CUSIP: 49306CAB7<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |      619000 | PA      | $649447.30      | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 6.11% 01/29/2037                                                            | CUSIP: 59022CAJ2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1340000 | PA      | $1446945.32     | 0.00%             | 2037-01-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAP I INC                                                       | MSAC 04-HE7 B3 TSFR1M+536.448 8/34                                                                      | CUSIP: 61744CGL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       46597 | PA      | $74442.59       | 0.00%             | 2034-08-25      | Variable      | 0.09%                 | No            |                  3 | On Loan: No      |
| NAKILAT INC                                                                        | NAKILAT INC 6.067% 12/31/2033 144A                                                                      | CUSIP: 62983PAA3<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |      853127 | PA      | $900057.69      | 0.00%             | 2033-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 5.95% 06/15/2041                                                                           | CUSIP: 65473QAX1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     2375000 | PA      | $2492370.01     | 0.00%             | 2041-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 5.25% 02/15/2043                                                                           | CUSIP: 65473QBB8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |      132000 | PA      | $128182.17      | 0.00%             | 2043-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 4.8% 02/15/2044                                                                            | CUSIP: 65473QBC6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     4982000 | PA      | $4536181.10     | 0.00%             | 2044-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 4.5% 04/01/2027                                                          | CUSIP: 681936BF6<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |      716000 | PA      | $717110.08      | 0.00%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 5.375% 07/15/2040                                                                           | CUSIP: 68389XAM7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      135000 | PA      | $123504.34      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFECORP                                                                   | PACIFIC LIFECORP 5.125% 01/30/2043 144A                                                                 | CUSIP: 694476AD4<br>LEI: VFN8KLUEIK7XMVX1JM30 | Long             | DBT              | CORP              | US        |     3343000 | PA      | $3184591.38     | 0.00%             | 2043-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.625% 06/15/2035                                                                   | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    17000000 | PA      | $16267300.00    | 0.02%             | 2035-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                    | PHILIP MORRIS INTL INC 4.375% 11/15/2041                                                                | CUSIP: 718172AM1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     1174000 | PA      | $1060551.75     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REGIONS BANK OF ALABAMA                                                            | REGIONS BANK OF ALABAMA 6.45% 06/26/2037                                                                | CUSIP: 75913MAA7<br>LEI: EQTWLK1G7ODGC2MGLV11 | Long             | DBT              | CORP              | US        |     5877000 | PA      | $6443319.53     | 0.01%             | 2037-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                              | REYNOLDS AMERICAN INC 5.7% 08/15/2035                                                                   | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      171000 | PA      | $180441.82      | 0.00%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                       | ROCKIES EXPRESS PIPELINE LLC 7.5% 07/15/2038 144A                                                       | CUSIP: 77340RAD9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      360000 | PA      | $392194.08      | 0.00%             | 2038-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                       | ROCKIES EXPRESS PIPELINE LLC 6.875% 04/15/2040 144A                                                     | CUSIP: 77340RAM9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      105000 | PA      | $108143.81      | 0.00%             | 2040-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR                                                                     | SEMT 2004-6 A3B TSFR6M+130.826 7/34                                                                     | CUSIP: 81744FCU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1329 | PA      | $1249.14        | 0.00%             | 2034-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SPECTRA ENERGY PARTNERS LP                                                         | SPECTRA ENERGY PARTNERS LP 4.5% 03/15/2045                                                              | CUSIP: 84756NAG4<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |      543000 | PA      | $470628.03      | 0.00%             | 2045-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                                                  | TAMPA ELECTRIC CO 6.55% 05/15/2036                                                                      | CUSIP: 875127AV4<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |      280000 | PA      | $315492.67      | 0.00%             | 2036-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS and ANNUITY ASSN AMER                                                 | TEACHERS INS and ANNUITY ASSN AMER 4.9% 09/15/2044 144A                                                 | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     1484000 | PA      | $1371698.80     | 0.00%             | 2044-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                                              | TMTS 2003-4HE A TSFR1M+97.448 9/34                                                                      | CUSIP: 881561BU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       42492 | PA      | $45717.80       | 0.00%             | 2034-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| THORNBURG MTG SECS TR                                                              | TMST 2003-4 A1 TSFR1M+75.448 9/43                                                                       | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       31614 | PA      | $30738.34       | 0.00%             | 2043-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 6.55% 05/01/2037                                                                  | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     7048000 | PA      | $7255289.71     | 0.01%             | 2037-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 7.3% 07/01/2038                                                                   | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     8091000 | PA      | $8756058.92     | 0.01%             | 2038-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 6.75% 06/15/2039                                                                  | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     3974000 | PA      | $4070356.43     | 0.00%             | 2039-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 5.875% 11/15/2040                                                                 | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    12748000 | PA      | $11957738.22    | 0.01%             | 2040-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 5.5% 09/01/2041                                                                   | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    23879000 | PA      | $21359295.08    | 0.02%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 4.5% 09/15/2042                                                                   | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     2302000 | PA      | $1815387.72     | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSALTA CORP                                                                     | TRANSALTA CORP 6.5% 03/15/2040                                                                          | CUSIP: 89346DAE7<br>LEI: 984500EE2ADD850F1C96 | Long             | DBT              | CORP              | CA        |      515000 | PA      | $520007.90      | 0.00%             | 2040-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRAPEZA CDO XII LTD / TRAPEZA CDO XII INC                                          | TRAP 2007-12A B TSFR3M+82.161 4/42                                                                      | CUSIP: 89413GAG3<br>LEI: 5493000R4ICCD2N68609 | Long             | ABS-CBDO         | CORP              | KY        |     1380000 | PA      | $1092243.78     | 0.00%             | 2042-04-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 6.25% 05/15/2030                                                            | CUSIP: 912810FM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5440000 | PA      | $6024587.51     | 0.01%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                             | UNITEDHEALTH GROUP INC 3.95% 10/15/2042                                                                 | CUSIP: 91324PCA8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       74000 | PA      | $61998.26       | 0.00%             | 2042-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                             | UNITEDHEALTH GROUP INC 4.625% 07/15/2035                                                                | CUSIP: 91324PCQ3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      418000 | PA      | $415449.13      | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                             | UNITEDHEALTH GROUP INC 4.75% 07/15/2045                                                                 | CUSIP: 91324PCR1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     1023000 | PA      | $927589.49      | 0.00%             | 2045-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 5.75% 08/15/2042                                                                             | CUSIP: 91529YAJ5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     1539000 | PA      | $1519903.32     | 0.00%             | 2042-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 4.862% 08/21/2046                                                            | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4504220.10     | 0.00%             | 2046-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 4.4% 11/01/2034                                                              | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     8120000 | PA      | $7959020.51     | 0.01%             | 2034-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 4.3% 07/22/2027                                                                  | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    28701000 | PA      | $28803505.33    | 0.03%             | 2027-07-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTG BACKED SECS 2003-I TR                                              | WELLS FARGO MORTGAGE BACKED SECURITIES 2003-I TRUST VAR 09/25/2033                                      | CUSIP: 949802AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        3307 | PA      | $3293.82        | 0.00%             | 2033-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.75% 06/24/2044                                                                       | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     2747000 | PA      | $2784824.82     | 0.00%             | 2044-06-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.1% 09/15/2045                                                                        | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     9765000 | PA      | $9139395.71     | 0.01%             | 2045-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                    | XCEL ENERGY INC 4.8% 09/15/2041                                                                         | CUSIP: 98389BAN0<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |      311000 | PA      | $289760.81      | 0.00%             | 2041-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/45#G08681                                                                             | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9762 | PA      | $9374.65        | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 07/01/2043#AL3931                                                                        | CUSIP: 3138ELLM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9607 | PA      | $9534.72        | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2044#AS3935                                                                        | CUSIP: 3138WDLR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6366 | PA      | $6139.75        | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 12/20/2045#MA3310                                                                          | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1147059 | PA      | $1094370.24     | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2011-94 SA TSFR1M+598.552 07/41                                                                     | CUSIP: 38377WN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       65414 | PA      | $6949.31        | 0.00%             | 2041-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 10/01/2042#C04268                                                                        | CUSIP: 31292LW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15457 | PA      | $14536.62       | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 04/01/2043#Q16915                                                                        | CUSIP: 3132J8DV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9757 | PA      | $9197.23        | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AB9858                                                                        | CUSIP: 31417G5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      717531 | PA      | $672337.25      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2046#G08687                                                                        | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      135772 | PA      | $130324.54      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2043#G07345                                                                        | CUSIP: 3128M9P63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      565783 | PA      | $563511.31      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.264% 08/01/2041#AL6552                                                                      | CUSIP: 3138EPH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      153856 | PA      | $157160.70      | 0.00%             | 2041-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 01/46#MA3377                                                                               | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23952 | PA      | $23474.08       | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | Fidelity Sai Us Treasury Bond Index Fund                                                                | CUSIP: 31635V786<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   631791078 | NS      | $5673483881.49  | 6.08%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 10/01/2045#AL7413                                                                        | CUSIP: 3138EQGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48630 | PA      | $48165.11       | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/45#AZ9583                                                                               | CUSIP: 3140E2UH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       71697 | PA      | $70889.12       | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/45#AZ3341                                                                               | CUSIP: 3138YUWB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97994 | PA      | $97080.01       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2042#AJ6217                                                                          | CUSIP: 3138AX4B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37704 | PA      | $37529.26       | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2045#Q37045                                                                          | CUSIP: 3132QTZK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21500 | PA      | $21361.58       | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 02/20/2046#MA3454                                                                          | CUSIP: 36179RZT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      711808 | PA      | $678983.10      | 0.00%             | 2046-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/20/2040#004799                                                                          | CUSIP: 36202FKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      109032 | PA      | $105248.31      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2040#V81771                                                                        | CUSIP: 3132L66G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41880 | PA      | $40781.55       | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2040#V81966                                                                        | CUSIP: 3132L7FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       50056 | PA      | $48605.84       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 7/40#V81831                                                                              | CUSIP: 3132L7A82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19904 | PA      | $19359.01       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2040#V82091                                                                        | CUSIP: 3132L7KC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      104227 | PA      | $101412.63      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/40#V82128                                                                             | CUSIP: 3132L7LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      100199 | PA      | $97474.09       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2040#V81886                                                                        | CUSIP: 3132L7CX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      133918 | PA      | $130422.55      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 9/40#V81958                                                                              | CUSIP: 3132L7E70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      107922 | PA      | $105196.54      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2040#V81750                                                                        | CUSIP: 3132L65K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      235495 | PA      | $229375.85      | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2040#V81792                                                                        | CUSIP: 3132L67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      208803 | PA      | $203605.51      | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/40#V81744                                                                             | CUSIP: 3132L65D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      123611 | PA      | $120364.43      | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2042#Q09230                                                                          | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      648732 | PA      | $645579.85      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2046#G60440                                                                        | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6232836 | PA      | $6005104.33     | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.6% 03/09/2026                                                                           | CUSIP: 172967KJ9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    17445000 | PA      | $17446659.02    | 0.02%             | 2026-03-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BATH and BODY WORKS INC                                                            | BATH and BODY WORKS INC 6.875% 11/01/2035                                                               | CUSIP: 501797AL8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |      430000 | PA      | $438135.39      | 0.00%             | 2035-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/42#AQ3065                                                                             | CUSIP: 3138MJMP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32360 | PA      | $31421.90       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 11/20/2042#MA0535                                                                            | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5574789 | PA      | $5491864.22     | 0.01%             | 2042-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2043#AF3695                                                                          | CUSIP: 36181KC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11164 | PA      | $10662.45       | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                            | BPCE SA 4.875% 04/01/2026 144A                                                                          | CUSIP: 05578QAE3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     7383000 | PA      | $7386463.00     | 0.01%             | 2026-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 4.8% 04/05/2026                                                                       | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    19815000 | PA      | $19827460.27    | 0.02%             | 2026-04-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4.5% 05/20/2041#783578                                                                          | CUSIP: 36241L6P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15157 | PA      | $15335.54       | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2046#AS7024                                                                          | CUSIP: 3138WGYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      114001 | PA      | $112686.35      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2042#G07368                                                                          | CUSIP: 3128M9QV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      594573 | PA      | $592743.80      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2046#AS7000                                                                          | CUSIP: 3138WGX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      339352 | PA      | $316936.18      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/42#G60488                                                                               | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      733358 | PA      | $731440.32      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2040#G06016                                                                        | CUSIP: 3128M8AR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19344 | PA      | $19696.03       | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/46#Q39901                                                                             | CUSIP: 3132QXAB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23260 | PA      | $22359.08       | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2046#BC0824                                                                        | CUSIP: 3140EU4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      367123 | PA      | $352492.84      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2046#Q40046                                                                        | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      380517 | PA      | $364945.05      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2046#Q40085                                                                        | CUSIP: 3132WDCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      262445 | PA      | $252279.06      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 03/46#MA3521                                                                               | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11662 | PA      | $11124.00       | 0.00%             | 2046-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/42#G60517                                                                             | CUSIP: 31335ASE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      420916 | PA      | $428594.81      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2039#AS3482                                                                          | CUSIP: 3138WC2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1255 | PA      | $1251.08        | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2039#AS2011                                                                          | CUSIP: 3138WBGV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3122 | PA      | $3115.08        | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2039#AV6581                                                                          | CUSIP: 3138XJJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7327 | PA      | $7309.66        | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 02/01/2035#AB0067                                                                          | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      487519 | PA      | $500395.98      | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 03/01/2033#AB0066                                                                          | CUSIP: 31416VCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4141 | PA      | $4238.28        | 0.00%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 07/01/2033#709252                                                                          | CUSIP: 31401H5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2798 | PA      | $2866.25        | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 07/01/2033#709470                                                                          | CUSIP: 31401JFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18320 | PA      | $18755.03       | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#G60553                                                                        | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2636498 | PA      | $2542610.84     | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 05/46#MA3664                                                                                 | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      807411 | PA      | $791103.82      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 10/20/2042#AC0073                                                                            | CUSIP: 36178YCJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      221285 | PA      | $217064.94      | 0.00%             | 2042-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.2% 05/12/2026                                                                            | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1556000 | PA      | $1559404.73     | 0.00%             | 2026-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 08/15/2041#768109                                                                          | CUSIP: 36176KDN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5975 | PA      | $5883.35        | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 10/15/2041#775540                                                                          | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15360 | PA      | $15079.38       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 12/15/2041#792596                                                                          | CUSIP: 36177L3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2164 | PA      | $2127.14        | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2042#792254                                                                          | CUSIP: 36177LQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11624 | PA      | $11403.08       | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2042#794559                                                                          | CUSIP: 36177PB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4743 | PA      | $4660.19        | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2042#796180                                                                          | CUSIP: 36177Q2N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10193 | PA      | $10003.66       | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 06/15/2042#799330                                                                          | CUSIP: 36177ULL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11389 | PA      | $11169.41       | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 05/15/2042#AA1859                                                                          | CUSIP: 36177YB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         468 | PA      | $465.72         | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 12/15/2042#AB8144                                                                          | CUSIP: 36178VBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3771 | PA      | $3704.20        | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 11/15/2042#AB9201                                                                          | CUSIP: 36178WGJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5956 | PA      | $5846.60        | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2043#AC9441                                                                          | CUSIP: 36179KP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17690 | PA      | $17358.03       | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 08/15/2043#AD5682                                                                          | CUSIP: 36180HJ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4277 | PA      | $4186.26        | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2043#AD7475                                                                          | CUSIP: 36180KJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2671 | PA      | $2624.27        | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2042#733816                                                                          | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67885 | PA      | $66677.26       | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2041#738107                                                                          | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5609 | PA      | $5521.37        | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 06/01/2032#C91456                                                                        | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      745770 | PA      | $740959.69      | 0.00%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C6 COML MTG TR                                                          | CSAIL 2016-C6 A5 3.0898% 01/15/2049                                                                     | CUSIP: 12636MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      883925 | PA      | $881399.75      | 0.00%             | 2049-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 4.4% 07/01/2046                                                                        | CUSIP: 842587CX3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     8095000 | PA      | $6922087.36     | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 07/01/2032#C91467                                                                        | CUSIP: 3128P7TY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       65039 | PA      | $64615.71       | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARGENTUM NETHERLANDS BV                                                            | ARGENTUM NETHERLANDS BV 5.625%/VAR 08/15/2052 REGS                                                      | CUSIP: N/A<br>LEI: 724500RPEZI5VVQQWE89       | Long             | DBT              | CORP              | NL        |     5775000 | PA      | $5852548.09     | 0.01%             | 2052-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2016-C4                                            | CFCRE 2016-C4 A4 3.283% 05/10/58                                                                        | CUSIP: 12531YAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      576865 | PA      | $575428.78      | 0.00%             | 2058-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/45#G60412                                                                               | CUSIP: 31335AN53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5949 | PA      | $5896.16        | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 06/15/2026                                                      | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     5362000 | PA      | $5360712.48     | 0.01%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 6/1/31#MA2675                                                                            | CUSIP: 31418B6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      390008 | PA      | $380200.23      | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AT2645                                                                          | CUSIP: 36194A5E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12314 | PA      | $11774.85       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/20/2046#AS9183                                                                          | CUSIP: 36193VFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11396 | PA      | $10919.21       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AR3124                                                                          | CUSIP: 36192XPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26650 | PA      | $25534.22       | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AR3062                                                                          | CUSIP: 36192XMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23169 | PA      | $22199.07       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 05/20/2046#AS9175                                                                          | CUSIP: 36193VFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       45275 | PA      | $43380.41       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AS6967                                                                          | CUSIP: 36193SW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22278 | PA      | $21345.95       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AT1323                                                                          | CUSIP: 36193YPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       30487 | PA      | $29211.28       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AS4297                                                                          | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      112726 | PA      | $108007.76      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AR3125                                                                          | CUSIP: 36192XPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28962 | PA      | $27749.56       | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AR9310                                                                          | CUSIP: 36193GKX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10540 | PA      | $10108.78       | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AS4758                                                                          | CUSIP: 36193PJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19731 | PA      | $18904.88       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2046#AU2287                                                                          | CUSIP: 36194PRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15574 | PA      | $14922.33       | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 05/20/2046#AS6968                                                                          | CUSIP: 36193SW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       46153 | PA      | $44221.33       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2039#AB0050                                                                        | CUSIP: 31416VBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97877 | PA      | $99205.48       | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2035#AB8197                                                                        | CUSIP: 31417FDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57411 | PA      | $58259.62       | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727139                                                                        | CUSIP: 31402EZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24259 | PA      | $24577.17       | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727060                                                                        | CUSIP: 31402EWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11155 | PA      | $11305.90       | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727221                                                                        | CUSIP: 31402E4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8866 | PA      | $8981.99        | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2037#AB8009                                                                        | CUSIP: 31417E3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3015 | PA      | $3044.23        | 0.00%             | 2037-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#741529                                                                        | CUSIP: 31402XY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4174 | PA      | $4230.79        | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2038#AB8124                                                                        | CUSIP: 31417FA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4156 | PA      | $4213.13        | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2033#688077                                                                        | CUSIP: 31400HM26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4580 | PA      | $4634.15        | 0.00%             | 2033-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2034#752919                                                                        | CUSIP: 31403MPC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1252 | PA      | $1268.83        | 0.00%             | 2034-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/46#AS7008                                                                               | CUSIP: 36193SYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33138 | PA      | $31751.05       | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/46#AS7009                                                                               | CUSIP: 36193SYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25823 | PA      | $24742.35       | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027                                                            | CUSIP: 3136A8PY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       54667 | PA      | $798.32         | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 02/34#G30703                                                                             | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1619113 | PA      | $1607202.33     | 0.00%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2016-H13 FB T1Y+50 05/20/2066                                                                       | CUSIP: 38376RUU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      100241 | PA      | $100346.15      | 0.00%             | 2066-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 4.65% 07/01/2026                                                                | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     1823000 | PA      | $1823489.46     | 0.00%             | 2026-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/46#AS7533                                                                               | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3100527 | PA      | $2882159.06     | 0.00%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34669                                                                          | CUSIP: 31307RFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10192 | PA      | $10032.57       | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34598                                                                          | CUSIP: 31307RDB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18551 | PA      | $18278.19       | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34653                                                                          | CUSIP: 31307RE27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       80929 | PA      | $79771.30       | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34677                                                                          | CUSIP: 31307RFS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6817 | PA      | $6724.62        | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34623                                                                          | CUSIP: 31307RD44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7870 | PA      | $7745.20        | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34584                                                                          | CUSIP: 31307RCV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10666 | PA      | $10520.72       | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34571                                                                          | CUSIP: 31307RCG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31135 | PA      | $30695.86       | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2046#Q39717                                                                          | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58232 | PA      | $54193.17       | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2046#Q40165                                                                          | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       69564 | PA      | $64739.44       | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 5/46#Q40310                                                                                | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      171420 | PA      | $159531.50      | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 6/46#V82414                                                                                | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1115096 | PA      | $1037759.48     | 0.00%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2046#V82275                                                                          | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1125316 | PA      | $1047270.03     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                      | HEALTHCARE REALTY HOLDINGS LP 3.5% 08/01/2026                                                           | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     1945000 | PA      | $1937125.12     | 0.00%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG 2013-51 GI 3% 10/25/2032                                                                   | CUSIP: 3136AECM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       33099 | PA      | $981.41         | 0.00%             | 2032-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 01/15/2033                                                            | CUSIP: 3137AXRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       22415 | PA      | $1367.04        | 0.00%             | 2033-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AS9172                                                                          | CUSIP: 3138WKFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7868 | PA      | $7808.34        | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AU1687                                                                          | CUSIP: 3138X02V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9409 | PA      | $9338.85        | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2042#AK2717                                                                          | CUSIP: 3138E7AT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3440 | PA      | $3420.69        | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                           | COOPERATIEVE RABOBANK UA 3.75% 07/21/2026                                                               | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     4206000 | PA      | $4200435.84     | 0.00%             | 2026-07-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2042#AQ9061                                                                          | CUSIP: 3138MRB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17401 | PA      | $17334.94       | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AU2854                                                                          | CUSIP: 3138X2E42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26140 | PA      | $25958.70       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.125% 07/25/2028                                                                         | CUSIP: 172967KU4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     6909000 | PA      | $6917880.07     | 0.01%             | 2028-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034                                                   | CUSIP: 3137BGB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       92526 | PA      | $2246.52        | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS INSTITUTE OF TECHNOLOGY                                              | MASSACHUSETTS INSTITUTE OF TECHNOLOGY 3.885% 07/01/2116                                                 | CUSIP: 575718AF8<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |     4116000 | PA      | $2972790.06     | 0.00%             | 2116-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 3.125% 09/01/2026                                                                  | CUSIP: 875484AJ6<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |     2628000 | PA      | $2612712.45     | 0.00%             | 2026-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 10/20/2040#004828                                                                        | CUSIP: 36202FLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      141984 | PA      | $141153.64      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 04/20/2040#004673                                                                        | CUSIP: 36202FFN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26701 | PA      | $26539.56       | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 11/20/2040#004850                                                                        | CUSIP: 36202FL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       59678 | PA      | $59291.71       | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.25% 08/15/2046                                                            | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      830000 | PA      | $567804.29      | 0.00%             | 2046-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 06/15/2041#366975                                                                        | CUSIP: 36204DT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      326803 | PA      | $330849.13      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2046#BC8334                                                                          | CUSIP: 3140F4HL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37325 | PA      | $36894.28       | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2046#BC0214                                                                          | CUSIP: 3140EUGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      294873 | PA      | $291592.92      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036                                                              | CUSIP: 31397CDM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      212767 | PA      | $219006.82      | 0.00%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C35                                                   | WFCM TR 2016-C35 A4 2.931% 07/15/2048                                                                   | CUSIP: 95000FAT3<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-MBS          | CORP              | US        |    11005000 | PA      | $10938995.31    | 0.01%             | 2048-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CM TR 2016-JP2 D                                                         | JP MORGAN CM TR 2016-JP2 A4 2.8218% 08/15/2049                                                          | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2830047 | PA      | $2816540.97     | 0.00%             | 2049-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 02/20/2041#004948                                                                        | CUSIP: 36202FP91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2451 | PA      | $2435.69        | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 12/20/2040#004880                                                                        | CUSIP: 36202FM52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28475 | PA      | $28292.27       | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 06/20/2040#004709                                                                        | CUSIP: 36202FGS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       25874 | PA      | $25732.35       | 0.00%             | 2040-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 12/20/2039#004592                                                                        | CUSIP: 36202FC53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       56183 | PA      | $55869.37       | 0.00%             | 2039-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 07/20/2039#004488                                                                        | CUSIP: 36202E6Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2150 | PA      | $2144.29        | 0.00%             | 2039-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 10/39#004553                                                                             | CUSIP: 36202FBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10082 | PA      | $10024.33       | 0.00%             | 2039-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 06/20/2039#004461                                                                        | CUSIP: 36202E5W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11093 | PA      | $11033.66       | 0.00%             | 2039-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 07/20/2040#004737                                                                        | CUSIP: 36202FHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2276 | PA      | $2263.40        | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034                                                          | CUSIP: 3137B9ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |           5 | PA      | $0.02           | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 08/01/2034#C91782                                                                        | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      337646 | PA      | $334762.07      | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 05/01/2034#C91764                                                                        | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      199690 | PA      | $198029.67      | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2041#Q02144                                                                          | CUSIP: 3132GFLZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3293 | PA      | $3281.53        | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2041#A96822                                                                          | CUSIP: 312945SK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5675 | PA      | $5659.29        | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2046#Q43088                                                                        | CUSIP: 3132WGNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30233 | PA      | $28996.01       | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2046#BC2817                                                                          | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3196148 | PA      | $2969047.19     | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FGLMC 30YR 3.5% 09/46#Q43176                                                                            | CUSIP: 3132WGQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      363724 | PA      | $348725.72      | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2046#AS7822                                                                        | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      144429 | PA      | $138312.68      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/20/2046#MA3937                                                                          | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1332782 | PA      | $1280748.52     | 0.00%             | 2046-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 4.3% 04/01/2027                                                                               | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     8399000 | PA      | $8432562.07     | 0.01%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 5.8% 04/01/2047                                                                               | CUSIP: 42809HAH0<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    11931000 | PA      | $12512273.79    | 0.01%             | 2047-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/44#AV8070                                                                             | CUSIP: 3138XK6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3217 | PA      | $3122.43        | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/42#AK8632                                                                             | CUSIP: 3138EDSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5419 | PA      | $5246.09        | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/42#AQ6804                                                                             | CUSIP: 3138MNR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7669 | PA      | $7410.08        | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/43#AS0080                                                                             | CUSIP: 3138W9CS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7510 | PA      | $7257.80        | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/42#AB5369                                                                             | CUSIP: 31417B6F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10125 | PA      | $9811.84        | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/42#AP9654                                                                             | CUSIP: 3138MDWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12348 | PA      | $11992.53       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/42#AP5393                                                                             | CUSIP: 3138M87F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35027 | PA      | $33902.34       | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/42#AB6934                                                                             | CUSIP: 31417DV42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49872 | PA      | $48238.22       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.679% 02/01/2039#AL8741                                                                      | CUSIP: 3138ETWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42419 | PA      | $44395.16       | 0.00%             | 2039-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2042#C04320                                                                          | CUSIP: 31292LYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      678165 | PA      | $639287.90      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MA 2016-H20 FM TSFR1M+51.448 12/20/2062                                                  | CUSIP: 38376RYJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        8521 | PA      | $8507.06        | 0.00%             | 2062-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2046#AL9058                                                                        | CUSIP: 3138ERB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1802698 | PA      | $1730858.86     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/01/2046#BC1130                                                                          | CUSIP: 3140EVHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      605110 | PA      | $597752.63      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 07/20/2043#635118                                                                          | CUSIP: 36291QSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       88902 | PA      | $84671.07       | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 03/20/2046#MA3523                                                                          | CUSIP: 36179R4G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       49911 | PA      | $50462.03       | 0.00%             | 2046-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2016-C4                                                     | JPMDB COML MTG SECS TR 2016-C4 ASB 2.9941% 12/15/2049                                                   | CUSIP: 46646RAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      262769 | PA      | $261844.52      | 0.00%             | 2049-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA                                       | BLACKBIRD AIRCRAF 2016-1A A STEP 12/16/2041 144A                                                        | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      385785 | PA      | $386711.15      | 0.00%             | 2041-12-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2046#AL8321                                                                          | CUSIP: 3138ETG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      572419 | PA      | $566637.39      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#G60603                                                                        | CUSIP: 31335AU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       88054 | PA      | $84643.30       | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2031#MA2803                                                                        | CUSIP: 31418CDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1835896 | PA      | $1785744.41     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.183% 11/25/2027                                                           | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     6909000 | PA      | $6914781.59     | 0.01%             | 2027-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.484% 10/23/2045       | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4300000 | PA      | $4082970.74     | 0.00%             | 2045-10-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6                                        | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 XA CSTR 12/10/2049                                          | CUSIP: 17291EBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1118227 | PA      | $2276.93        | 0.00%             | 2049-12-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-LC25                                                  | WELLS FARGO COML MTG TR 2016-LC25 A3 3.374% 12/15/2059                                                  | CUSIP: 95000JAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13445517 | PA      | $13384693.90    | 0.01%             | 2059-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 11/46#MA4126                                                                                 | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    18207289 | PA      | $16902569.13    | 0.02%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2031#AS8511                                                                        | CUSIP: 3138WJN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5133406 | PA      | $4989764.81     | 0.01%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#AS8226                                                                        | CUSIP: 3138WJD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2808079 | PA      | $2731398.71     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HILTON USA TR 2016-HHV                                                             | HILTON USA TR 2016-HHV B CSTR 11/05/2038 144A                                                           | CUSIP: 43300LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5510000 | PA      | $5498100.60     | 0.01%             | 2038-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061                                       | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |         264 | PA      | $264.98         | 0.00%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 4.663% 06/15/2051                                                                             | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     3736000 | PA      | $3261683.27     | 0.00%             | 2051-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                                | EMERA US FINANCE LP 4.75% 06/15/2046                                                                    | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5449000 | PA      | $4711216.90     | 0.01%             | 2046-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                                | EMERA US FINANCE LP 3.55% 06/15/2026                                                                    | CUSIP: 29103DAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     9123000 | PA      | $9104514.98     | 0.01%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7                                            | CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7 3.5853% 12/10/2054                                              | CUSIP: 12532BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8445777 | PA      | $8390414.11     | 0.01%             | 2054-12-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C37                                                   | WELLS FARGO COML MTG TR 2016-C37 3.525% 12/15/2049                                                      | CUSIP: 95000PAD6<br>LEI: 549300TRQQDPEF728F16 | Long             | ABS-MBS          | CORP              | US        |     2576703 | PA      | $2562307.26     | 0.00%             | 2049-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.75% 09/21/2047                                                                    | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    22490000 | PA      | $18700435.00    | 0.02%             | 2047-09-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                           | UTAH ACQUISITION SUB INC 3.95% 06/15/2026                                                               | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |     1245000 | PA      | $1243589.96     | 0.00%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2996 ZD 5.5% 06/35                                                                                  | CUSIP: 31395UZR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      160648 | PA      | $163235.51      | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2933 ZM 5.75% 02/15/2035                                                                            | CUSIP: 31395MT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      262402 | PA      | $267992.38      | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 4.1% 02/09/2027                                                                    | CUSIP: 254709AM0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    13375000 | PA      | $13393450.28    | 0.01%             | 2027-02-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2010-150 ZC 4.75% 01/41                                                                             | CUSIP: 31397QAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      544587 | PA      | $540771.11      | 0.00%             | 2041-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 2010-95 ZC 5% 09/25/2040                                                                     | CUSIP: 31398NFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1118907 | PA      | $1106293.30     | 0.00%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 01/01/2032#AS8602                                                                        | CUSIP: 3138WJRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2896473 | PA      | $2816393.14     | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045                                                            | CUSIP: 3136ANY68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      308754 | PA      | $42726.59       | 0.00%             | 2045-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 05/46#MA3665                                                                               | CUSIP: 36179SCA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       27882 | PA      | $28188.81       | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNMA 2017-H06 FA T1Y+35 08/66                                                                           | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      143438 | PA      | $143280.39      | 0.00%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#AL9776                                                                        | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1625493 | PA      | $1556652.09     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/47#AL9779                                                                               | CUSIP: 3138ER2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93913 | PA      | $92859.50       | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2047#BE8498                                                                        | CUSIP: 3140FUNQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5463 | PA      | $5501.33        | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2047#BE6506                                                                        | CUSIP: 3140FSGQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4937 | PA      | $4970.87        | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2046#BE4488                                                                        | CUSIP: 3140FP7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11623 | PA      | $11706.83       | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2046#BD1238                                                                        | CUSIP: 3140F8LU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2730 | PA      | $2754.38        | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2011-4 PZ 5% 2/41                                                                                   | CUSIP: 31397QKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      225444 | PA      | $225233.41      | 0.00%             | 2041-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/46#BC9077                                                                             | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      611670 | PA      | $585764.76      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOLL BROTHERS FINANCE CORP                                                         | TOLL BROS FIN CORP 4.875% 03/15/2027                                                                    | CUSIP: 88947EAS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      739000 | PA      | $743236.24      | 0.00%             | 2027-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 3.95% 03/15/2027                                                                             | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1997724.84     | 0.00%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2046#AS7844                                                                          | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1173897 | PA      | $1090486.79     | 0.00%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 8/46#BC1509                                                                                | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1420345 | PA      | $1319422.79     | 0.00%             | 2046-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2017-C5                                                     | JPMDB 2017-C5 ASB 3.4919% 03/50                                                                         | CUSIP: 46590TAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3543561 | PA      | $3522704.44     | 0.00%             | 2050-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.43% 01/25/2027                                                         | CUSIP: 3137BVZ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6096569 | PA      | $6070716.95     | 0.01%             | 2027-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028                                                         | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    11294000 | PA      | $11402827.97    | 0.01%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 01/01/2033#AL2976                                                                        | CUSIP: 3138EKJW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85824 | PA      | $82723.87       | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 01/01/2033#AL2982                                                                        | CUSIP: 3138EKJ48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91790 | PA      | $88614.35       | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 11/01/2032#C73584                                                                          | CUSIP: 31288B6V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9588 | PA      | $9981.46        | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 03/20/2047#MA4322                                                                            | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2235061 | PA      | $2196759.87     | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 04/20/2047#MA4383                                                                            | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    16744563 | PA      | $16457619.91    | 0.02%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                          | CLECO CORPORATE HLDGS LLC 4.973% 05/01/2046                                                             | CUSIP: 18551PAD1<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |     8304000 | PA      | $7363880.08     | 0.01%             | 2046-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2017                                                         | CITIGROUP COML MTG TR 2017-P7 3.509% 04/14/2050                                                         | CUSIP: 17325HBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1233547 | PA      | $1230305.78     | 0.00%             | 2050-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                          | CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026                                                             | CUSIP: 18551PAC3<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    19755000 | PA      | $19724421.83    | 0.02%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2017-30 AI 5.5% 05/47                                                                               | CUSIP: 3136AWQD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      168970 | PA      | $22017.64       | 0.00%             | 2047-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 4.836% 05/09/2028                                                                          | CUSIP: 06738EAW5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     6102000 | PA      | $6148066.26     | 0.01%             | 2028-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-160 DY 4% 12/20/2040                                                                           | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      762047 | PA      | $758565.83      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-170 B 4% 12/40                                                                                 | CUSIP: 38377NRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      168381 | PA      | $167609.27      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2045#AZ4750                                                                        | CUSIP: 3138YWH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      113412 | PA      | $108934.36      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 4.375% 05/15/2047                                                                          | CUSIP: 65473QBF9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     3114000 | PA      | $2633595.81     | 0.00%             | 2047-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2046#Q39250                                                                        | CUSIP: 3132QWH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6884 | PA      | $6617.61        | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#G60561                                                                        | CUSIP: 31335ATS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8820 | PA      | $8477.44        | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                                | NOVA CHEMICALS CORP 5.25% 06/01/2027 144A                                                               | CUSIP: 66977WAR0<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |      204000 | PA      | $205085.48      | 0.00%             | 2027-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2046#G60393                                                                        | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       42524 | PA      | $40905.91       | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035                                               | CUSIP: 31394FGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      119722 | PA      | $121661.50      | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR                                             | COMMERCIAL MORTGAGE CD 2017-CD4 MTG TR A4 3.514% 05/10/2050                                             | CUSIP: 12515DAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7919000 | PA      | $7847034.50     | 0.01%             | 2050-05-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9394                                                                        | CUSIP: 3138WKNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56084 | PA      | $56403.47       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3% 02/01/2037#C91917                                                                          | CUSIP: 3128P8DW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      183790 | PA      | $178788.14      | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNMA 13-149 MA 2.5% 5/20/40                                                                             | CUSIP: 38378UQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      186931 | PA      | $185300.22      | 0.00%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2046#784232                                                                          | CUSIP: 3622A2VZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      359178 | PA      | $351231.72      | 0.00%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/47#Q48877                                                                               | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      217126 | PA      | $214595.38      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/47#Q48876                                                                             | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       82804 | PA      | $83450.24       | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2017-GS6                                                            | GS MTG SECS TR 2017-GS6 3.164% 05/10/2050                                                               | CUSIP: 36253PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3972643 | PA      | $3927445.39     | 0.00%             | 2050-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 4683 LM 3% 05/15/2047                                                                               | CUSIP: 3137BYKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      436468 | PA      | $426246.55      | 0.00%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DBJPM 2017-C6 MTG TR                                                               | DBJPM 2017-C6 ASB 3.121% 06/50                                                                          | CUSIP: 23312JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1083508 | PA      | $1076606.15     | 0.00%             | 2050-06-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 07/01/2032#MA3060                                                                          | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14503 | PA      | $14232.89       | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 09/20/2046#MA3939                                                                          | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7222 | PA      | $7306.16        | 0.00%             | 2046-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8                                            | CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 A3 3.3048% 06/15/2050                                           | CUSIP: 12532CAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18660421 | PA      | $18485513.35    | 0.02%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                                | SIRIUS XM RADIO INC 5% 08/01/2027 144A                                                                  | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      825000 | PA      | $824513.58      | 0.00%             | 2027-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-H1                                             | MORGAN STANLEY CAPITAL I TRUST 2017-H1 A4 3.259% 06/15/2050                                             | CUSIP: 61691JAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16730000 | PA      | $16554477.21    | 0.02%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C1                                                            | UBS COML MTG TR 2017-C1 3.196% 06/15/2050                                                               | CUSIP: 90276EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      982593 | PA      | $974026.76      | 0.00%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 3.875% 07/15/2027                                                                  | CUSIP: 875484AK3<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |    11191000 | PA      | $11163768.83    | 0.01%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                                                     | BANK 2017-BNKS 3.131% 06/15/2060                                                                        | CUSIP: 06541WAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2612067 | PA      | $2586115.43     | 0.00%             | 2060-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                                                     | BANK 2017-BNKS 3.39% 06/15/2060                                                                         | CUSIP: 06541WAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10059000 | PA      | $9964074.22     | 0.01%             | 2060-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2040#A90709                                                                        | CUSIP: 312938YE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13313 | PA      | $13551.30       | 0.00%             | 2040-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2044#Q30272                                                                        | CUSIP: 3132QLJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4876 | PA      | $4947.36        | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2044#Q29656                                                                        | CUSIP: 3132MAMD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4876 | PA      | $4947.48        | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/41#A97555                                                                             | CUSIP: 312946MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16671 | PA      | $16973.21       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2044#Q30263                                                                        | CUSIP: 3132QLJH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27666 | PA      | $28020.59       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/39#G05497                                                                             | CUSIP: 3128M7NN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3041 | PA      | $3095.77        | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2035#A38837                                                                        | CUSIP: 31297UZA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6838 | PA      | $6949.07        | 0.00%             | 2035-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2044#Q29663                                                                        | CUSIP: 3132MAML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      122192 | PA      | $123756.35      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/43#Q22414                                                                             | CUSIP: 3132JPVF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23270 | PA      | $23668.80       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2035#G02836                                                                        | CUSIP: 3128M4PV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         870 | PA      | $883.33         | 0.00%             | 2035-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2045#Q30829                                                                        | CUSIP: 3132QL4P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15726 | PA      | $15937.60       | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2037#G02671                                                                        | CUSIP: 3128M4JQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         979 | PA      | $994.90         | 0.00%             | 2037-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/31#G05173                                                                             | CUSIP: 3128M7CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2637 | PA      | $2654.61        | 0.00%             | 2031-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK6                                                                     | BANK 2017-BNK6 ASB 3.289% 07/60                                                                         | CUSIP: 060352AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      513507 | PA      | $511734.26      | 0.00%             | 2060-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2045#Q33769                                                                        | CUSIP: 3132QQFK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      130403 | PA      | $131990.87      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.25% 11/01/2041#AJ7445                                                                       | CUSIP: 3138E0HX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14681 | PA      | $14741.27       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.25% 12/01/2041#AK9124                                                                       | CUSIP: 3138EED63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4483 | PA      | $4329.15        | 0.00%             | 2041-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.9% 04/01/2042#AO1103                                                                        | CUSIP: 3138LRGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8049 | PA      | $7961.50        | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.65% 05/01/2042#AO3781                                                                       | CUSIP: 3138LUFX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6336 | PA      | $6170.77        | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.4% 08/01/2042#AP5087                                                                        | CUSIP: 3138M8UM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51666 | PA      | $49491.54       | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.4% 09/01/2042#AP9959                                                                        | CUSIP: 3138MEB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24350 | PA      | $23300.64       | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.65% 08/01/2042#AP5088                                                                       | CUSIP: 3138M8UN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16408 | PA      | $15968.02       | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                           | DUQUESNE LIGHT HLDGS INC 3.616% 08/01/2027 144A                                                         | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     2736000 | PA      | $2713765.51     | 0.00%             | 2027-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC 2010-116 QB 4% 09/16/2040                                                   | CUSIP: 38377LAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       53359 | PA      | $53129.62       | 0.00%             | 2040-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP                               | HILTON WORLDWIDE FIN LLC / HILTON WORLDWIDE FIN CORP 4.875% 04/01/2027                                  | CUSIP: 432891AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      164000 | PA      | $164029.85      | 0.00%             | 2027-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5831                                                                          | CUSIP: 36196HPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43099 | PA      | $42064.33       | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5857                                                                          | CUSIP: 36196HQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41590 | PA      | $40591.60       | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 07/15/2046#AT7623                                                                          | CUSIP: 36194GPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23245 | PA      | $22737.48       | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 07/15/2046#AT7536                                                                          | CUSIP: 36194GLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       28936 | PA      | $28304.84       | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 12/15/2046#AX5803                                                                          | CUSIP: 36196HNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8286 | PA      | $8099.56        | 0.00%             | 2046-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5855                                                                          | CUSIP: 36196HQG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15251 | PA      | $14885.03       | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5815                                                                          | CUSIP: 36196HN89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31962 | PA      | $31194.90       | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                  | GENERAL MOTORS CO 5.4% 04/01/2048                                                                       | CUSIP: 37045VAQ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      654000 | PA      | $602098.51      | 0.00%             | 2048-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                   | CCO HLDGS LLC/CAP CORP 5% 02/01/2028 144A                                                               | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3546000 | PA      | $3538354.47     | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 08/20/2047#MA4652                                                                          | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2962223 | PA      | $2842872.45     | 0.00%             | 2047-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LCCM 2017-LC26 MTG TR                                                              | LCCM 2017-LC26 MTG TR 3.289% 07/12/2050 144A                                                            | CUSIP: 50190DAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4874074 | PA      | $4817854.40     | 0.01%             | 2050-07-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA SOFR30A+593.552 01/25/2044                                   | CUSIP: 3136AHTW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       61564 | PA      | $7145.65        | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 07/20/2047#MA4586                                                                          | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9739 | PA      | $9346.79        | 0.00%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 03/20/2043#AA6146                                                                            | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      140793 | PA      | $131772.14      | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 03/20/2043#AD8812                                                                            | CUSIP: 36180MYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       58620 | PA      | $54899.73       | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 03/20/2043#AA6141                                                                          | CUSIP: 36178DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42388 | PA      | $40537.93       | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 02/20/2043#AD1755                                                                          | CUSIP: 36180C5Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       99401 | PA      | $95062.20       | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 2017-1A A23 4.118% 07/25/2047 144A                                         | CUSIP: 25755TAH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    30988980 | PA      | $30912960.93    | 0.03%             | 2047-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MTG TR                                                                 | CD 2017-CD5 MTG TR 3.171% 08/15/2050                                                                    | CUSIP: 12515HAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17699115 | PA      | $17446400.09    | 0.02%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 08/01/2032#MA3090                                                                          | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      346154 | PA      | $339641.08      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 07/01/2032#J37270                                                                          | CUSIP: 31307UCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17193 | PA      | $16900.71       | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2032#J36710                                                                          | CUSIP: 31307TN31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3674 | PA      | $3620.18        | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2032#J36729                                                                          | CUSIP: 31307TPN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10616 | PA      | $10451.78       | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 08/01/2032#J37406                                                                          | CUSIP: 31307UGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23570 | PA      | $23170.29       | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 08/01/2032#J37452                                                                          | CUSIP: 31307UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15418 | PA      | $15153.32       | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MTG TR                                                                 | CD MTG TR 2017-CD5 AAB 3.22% 08/15/2050                                                                 | CUSIP: 12515HBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      183979 | PA      | $182850.26      | 0.00%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CGMS COMMERCIAL MORTGAGE TRUST 2017-B1                                             | CGMS COMMERCIAL MORTGAGE TRUST 2017-B1 3.197% 08/15/2050                                                | CUSIP: 17326CAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      761274 | PA      | $753099.76      | 0.00%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CGMS COMMERCIAL MORTGAGE TRUST 2017-B1                                             | CGMS COMMERCIAL MORTGAGE TRUST 2017-B1 3.458% 08/15/2050                                                | CUSIP: 17326CAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2800000 | PA      | $2776315.92     | 0.00%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                          | MILLICOM INTL CELLULAR SA 5.125% 01/15/2028 144A                                                        | CUSIP: 600814AN7<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |      801000 | PA      | $796754.70      | 0.00%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DNKN 2017-1A A2II 4.03% 11/20/2047 144A                                                                 | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |    32982920 | PA      | $32861622.01    | 0.04%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 09/32#MA3125                                                                               | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32140 | PA      | $31535.08       | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.4% 10/01/2047                                                                      | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     1092000 | PA      | $1007659.74     | 0.00%             | 2047-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                       | HUDSON PACIFIC PROPERTIES LP 3.95% 11/01/2027                                                           | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     2573000 | PA      | $2446828.57     | 0.00%             | 2027-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                           | EQT CORP 3.9% 10/01/2027                                                                                | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      773000 | PA      | $771545.40      | 0.00%             | 2027-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.194% 07/25/2027                                                        | CUSIP: 3137FAWS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6723000 | PA      | $6672976.17     | 0.01%             | 2027-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM CO                                                        | CLEVELAND ELECTRIC ILLUM CO 3.5% 04/01/2028 144A                                                        | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5498000 | PA      | $5416577.81     | 0.01%             | 2028-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                            | BANK OF NOVA SCOTIA FRN TSFR3M+290.961 PERP                                                             | CUSIP: 064159KJ4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | EP               | CORP              | CA        |    19859000 | PA      | $19842273.76    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERN PIPELINE LP                                                       | PLAINS ALL AMERN PIPELINE LP 6.125%/VAR PERP                                                            | CUSIP: 726503AE5<br>LEI: 5521FA2ITF25TVH63740 | Long             | EP               | CORP              | US        |     1075000 | PA      | $1074073.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                              | NORTHROP GRUMMAN CORP 4.03% 10/15/2047                                                                  | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     3355000 | PA      | $2752359.53     | 0.00%             | 2047-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2017-COR2                                                                     | COMM 2017-COR2 3.317% 09/10/2050                                                                        | CUSIP: 12595EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300361 | PA      | $298824.75      | 0.00%             | 2050-09-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.244% 08/25/2027                                                        | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    21500000 | PA      | $21338868.25    | 0.02%             | 2027-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C40                                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C40 3.395% 10/15/2050                                        | CUSIP: 95000YAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      272022 | PA      | $270543.26      | 0.00%             | 2050-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2017                                           | CITIGROUP COML MTG TR 2017-C4 3.471% 10/12/2050                                                         | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5056000 | PA      | $5013511.40     | 0.01%             | 2050-10-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2046#G60989                                                                          | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1365155 | PA      | $1269622.04     | 0.00%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2040#A95150                                                                          | CUSIP: 312943WK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       82893 | PA      | $82699.98       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2045#AZ1709                                                                        | CUSIP: 3138YS3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       50157 | PA      | $50709.16       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2045#AY5719                                                                        | CUSIP: 3138YKK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57876 | PA      | $58548.66       | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2044#AV6341                                                                        | CUSIP: 3138XJBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6271 | PA      | $6375.18        | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2044#AX6510                                                                        | CUSIP: 3138Y8GU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56258 | PA      | $56912.58       | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2045#AY5316                                                                        | CUSIP: 3138YJ4A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17967 | PA      | $18176.02       | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2044#AX2369                                                                        | CUSIP: 3138Y3T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3066 | PA      | $3115.46        | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2045#AS5393                                                                        | CUSIP: 3138WE7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23517 | PA      | $23790.08       | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2044#AX6493                                                                        | CUSIP: 3138Y8GB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9592 | PA      | $9703.67        | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 3.8% 11/15/2037                                                                             | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1295000 | PA      | $1065030.66     | 0.00%             | 2037-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2045#AZ7335                                                                          | CUSIP: 3140E0EH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      190997 | PA      | $189013.99      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2046#G60824                                                                          | CUSIP: 31335A4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      176996 | PA      | $175712.86      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2047#G08793                                                                          | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11526570 | PA      | $11341779.48    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027                                                         | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |     4382000 | PA      | $4295287.23     | 0.00%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/46#AL9397                                                                               | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      379493 | PA      | $352527.91      | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.187% 09/25/2027                                                        | CUSIP: 3137FBU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12069282 | PA      | $11976772.36    | 0.01%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK8                                                                     | BANK 2017-BNK8 A3 3.229% 11/15/2050                                                                     | CUSIP: 06650AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3740736 | PA      | $3685759.01     | 0.00%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TERRAFORM POWER OPERATING LLC                                                      | TERRAFORM POWER OPERATING LLC 5% 01/31/2028 144A                                                        | CUSIP: 88104LAE3<br>LEI: 5493000S2OLR3UT5BE13 | Long             | DBT              | CORP              | US        |      421000 | PA      | $421535.09      | 0.00%             | 2028-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 05/01/2047       | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    52170000 | PA      | $43483168.60    | 0.05%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.2% 03/15/2028         | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1723042.39     | 0.00%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 11/20/2047#784391                                                                          | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1096718 | PA      | $1051844.98     | 0.00%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                | SYNCHRONY FINANCIAL 3.95% 12/01/2027                                                                    | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     6658000 | PA      | $6627478.40     | 0.01%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 3.75% 02/15/2028        | CUSIP: 161175BJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7200000 | PA      | $7136438.04     | 0.01%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C5                                                            | UBS COML MTG TR 2017-C5 3.345% 11/15/2050                                                               | CUSIP: 90276TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      699599 | PA      | $694205.98      | 0.00%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 MTG TR                                                                 | CD 2017-CD6 ASB MTG TR 3.332% 11/13/2050                                                                | CUSIP: 125039AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5279076 | PA      | $5242712.23     | 0.01%             | 2050-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CCUBS COML MTG TR 2017-C1                                                          | CCUBS COML MTG TR 2017-C1 3.462% 11/15/2050                                                             | CUSIP: 12508GAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      430125 | PA      | $427585.87      | 0.00%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHLMC MULTIFAM STRUCTURED PASS THROUGH K071 A2 3.286% 11/25/2027                                        | CUSIP: 3137FCLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13265000 | PA      | $13162704.30    | 0.01%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 5.4% 06/15/2047                                                                      | CUSIP: 15135UAR0<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     1485000 | PA      | $1396430.32     | 0.00%             | 2047-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 5.25% 06/15/2037                                                                     | CUSIP: 15135UAP4<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |      657000 | PA      | $654841.05      | 0.00%             | 2037-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017                                                       | WELLS FARGO COML MTG TR 2017 C42 XA CSTR 12/15/2050                                                     | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1169690 | PA      | $14577.49       | 0.00%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 3.999% 11/01/2049                                                                          | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      889000 | PA      | $672099.43      | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017-C41                                                   | WELLS FARGO COML MTG TR 2017-C41 3.39% 11/15/2050                                                       | CUSIP: 95001ABB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43854 | PA      | $43604.55       | 0.00%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C7                                                            | UBSCM 2017-C7 XA CSTR 12/50                                                                             | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24482012 | PA      | $348993.53      | 0.00%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.303% 11/25/2027                                                        | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    27454000 | PA      | $27269635.41    | 0.03%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C7                                                            | UBS COML MTG TR 2017-C7 3.586% 12/15/2050                                                               | CUSIP: 90276WAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      310029 | PA      | $308532.05      | 0.00%             | 2050-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2017-HR2                                                   | MORGAN STANLEY CAP I TR 2017-HR2 3.33% 12/15/2050                                                       | CUSIP: 61691NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6533883 | PA      | $6469326.65     | 0.01%             | 2050-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/45#BM1415                                                                             | CUSIP: 3140J5SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      102923 | PA      | $104681.14      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2041#G60405                                                                        | CUSIP: 31335ANW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      178870 | PA      | $182108.49      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 01/01/2036#G30933                                                                          | CUSIP: 3132J4HK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      577319 | PA      | $585708.13      | 0.00%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 12/20/2047#MA4900                                                                          | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20420 | PA      | $19571.72       | 0.00%             | 2047-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043                                             | CUSIP: 3136AA4A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       47731 | PA      | $44922.94       | 0.00%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042                                             | CUSIP: 3136AA2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       65959 | PA      | $62634.78       | 0.00%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042                                                 | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       51919 | PA      | $49439.97       | 0.00%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC                                                               | ARAMARK SERVICES INC 5% 02/01/2028 144A                                                                 | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |      975000 | PA      | $975262.28      | 0.00%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B1 MTG TR                                                           | BENCHMARK MTG TR 2018-B1 ASB 3.602% 01/15/2051                                                          | CUSIP: 08162PAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1223357 | PA      | $1216483.26     | 0.00%             | 2051-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHLMC MULTIFAM STRUCTURED PASS THROUGH 2018-K072 A2 3.444% 12/25/2027                                   | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    28327000 | PA      | $28188580.11    | 0.03%             | 2027-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK10                                                                    | BANK 2017-BNK4 3.428% 02/15/2061                                                                        | CUSIP: 065404BA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7238339 | PA      | $7165284.87     | 0.01%             | 2061-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044                                                   | CUSIP: 38376MAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      714668 | PA      | $676136.27      | 0.00%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2014-25 HC 3% 2/44                                                                                  | CUSIP: 38379AEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      884833 | PA      | $830174.83      | 0.00%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2014-2 BA 3% 01/20/2044                                                  | CUSIP: 38378YG78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     1357994 | PA      | $1284958.61     | 0.00%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2044                                                            | CUSIP: 38378Y2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      525332 | PA      | $497539.33      | 0.00%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4% 03/15/2028                                                                                   | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     3724000 | PA      | $3728434.61     | 0.00%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2047#Q53034                                                                        | CUSIP: 3132XVLQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      269989 | PA      | $258096.62      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B2 MTG TR                                                           | BENCHMARK 2018-B2 MTG TR 3.7802% 02/15/2051                                                             | CUSIP: 08161CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1124469 | PA      | $1120420.97     | 0.00%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4% 03/01/2028                                                               | CUSIP: 92277GAM9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     2553000 | PA      | $2551865.37     | 0.00%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                           | CSX CORP 4.3% 03/01/2048                                                                                | CUSIP: 126408HK2<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     5524000 | PA      | $4708419.79     | 0.01%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 11/20/2047#MA4835                                                                          | CUSIP: 36179TLQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43392 | PA      | $38750.20       | 0.00%             | 2047-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.35% 01/25/2028                                                         | CUSIP: 3137FETN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22090000 | PA      | $21970336.26    | 0.02%             | 2028-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 5.3% 03/01/2048                                                                 | CUSIP: 958254AJ3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2561961.94     | 0.00%             | 2048-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.97%/VAR 03/05/2029                                                        | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3624000 | PA      | $3621394.78     | 0.00%             | 2029-03-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 4.78% 03/25/2038                                                                        | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     2165000 | PA      | $2068646.35     | 0.00%             | 2038-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANK and TRUST COMPANY                                              | FIRST CITIZENS BANK and TRUST CO 6.125% 03/09/2028                                                      | CUSIP: 125581GX0<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |    28000000 | PA      | $28987208.88    | 0.03%             | 2028-03-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2047#MA3184                                                                        | CUSIP: 31418CRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6575 | PA      | $6603.73        | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2048#Q54334                                                                        | CUSIP: 3132XWY88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      826483 | PA      | $790078.30      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2033#G18673                                                                          | CUSIP: 3128MMXB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       52766 | PA      | $51786.41       | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C8                                              | UBS COMMERCIAL MORTGAGE TRUST 2018-C8 3.903% 02/15/2051                                                 | CUSIP: 90276VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1031997 | PA      | $1028860.01     | 0.00%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2047#CA0855                                                                        | CUSIP: 3140Q75R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      241276 | PA      | $230605.65      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 4.375% 03/22/2028                                                              | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     4320000 | PA      | $4354908.75     | 0.00%             | 2028-03-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | Fidelity Sustainability Bond Index Fund                                                                 | CUSIP: 31635T401<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |     2703643 | NS      | $25738679.24    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2046#BC0880                                                                        | CUSIP: 3140EU6S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      102195 | PA      | $97898.49       | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#Q40647                                                                        | CUSIP: 3132WDWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22608 | PA      | $21682.65       | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 03/01/2033#G18681                                                                          | CUSIP: 3128MMXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      170850 | PA      | $167616.05      | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.6% 01/25/2028                                                          | CUSIP: 3137F4D41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    51254973 | PA      | $51134226.78    | 0.05%             | 2028-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2018-C9                                                            | UBS COML MTG TR 2018-C9 A4 4.117% 03/15/2051                                                            | CUSIP: 90291JAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9714061 | PA      | $9647689.68     | 0.01%             | 2051-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                      | AIA GROUP LTD 3.9% 04/06/2028 144A                                                                      | CUSIP: 00131LAF2<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |     2931000 | PA      | $2940241.27     | 0.00%             | 2028-04-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/48#G61343                                                                               | CUSIP: 31335BP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      499967 | PA      | $492732.68      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.75% 04/01/2048        | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1898000 | PA      | $1651997.62     | 0.00%             | 2048-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2048#BJ1581                                                                          | CUSIP: 3140H2XK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17848 | PA      | $17564.28       | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2047#BJ0197                                                                          | CUSIP: 3140H1GF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9319 | PA      | $9225.72        | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55141                                                                          | CUSIP: 3132XXWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8139 | PA      | $8018.54        | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DOLLAR TREE INC                                                                    | DOLLAR TREE INC 4.2% 05/15/2028                                                                         | CUSIP: 256746AH1<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |     3971000 | PA      | $3985456.74     | 0.00%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2047#AS9990                                                                        | CUSIP: 3138WLC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96571 | PA      | $97000.12       | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.075%/VAR 04/23/2029                                                                     | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     4606000 | PA      | $4612831.30     | 0.00%             | 2029-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                                                   | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1968224 | PA      | $1944808.20     | 0.00%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                                                   | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1497227 | PA      | $1482670.53     | 0.00%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9417                                                                        | CUSIP: 3138WKPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46678 | PA      | $46905.84       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#BE8189                                                                        | CUSIP: 3140FUC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9039 | PA      | $9101.50        | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/47#AS9614                                                                             | CUSIP: 3138WKVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30963 | PA      | $31138.68       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2047#AS9602                                                                        | CUSIP: 3138WKU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42487 | PA      | $42729.05       | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#BH0886                                                                        | CUSIP: 3140GN6Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14115 | PA      | $14252.96       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BH3646                                                                        | CUSIP: 3140GSBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12954 | PA      | $13011.11       | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/47#BH0885                                                                             | CUSIP: 3140GN6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10913 | PA      | $10975.47       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BH3647                                                                        | CUSIP: 3140GSBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8047 | PA      | $8100.53        | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#AS9422                                                                        | CUSIP: 3138WKPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11310 | PA      | $11374.59       | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/47#AS9616                                                                             | CUSIP: 3138WKVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7764 | PA      | $7818.20        | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2046#BC8622                                                                        | CUSIP: 3140F4SL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9662 | PA      | $9747.43        | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2047#BH0937                                                                        | CUSIP: 3140GPBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16842 | PA      | $16958.41       | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#BE5550                                                                        | CUSIP: 3140FREY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46119 | PA      | $46381.14       | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2048#BJ5430                                                                          | CUSIP: 3140H7A80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      119672 | PA      | $117768.25      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2048#BJ5455                                                                          | CUSIP: 3140H7BZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       76634 | PA      | $75415.05       | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2048#BJ8804                                                                          | CUSIP: 3140HAYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11058 | PA      | $10881.82       | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2048#BK3839                                                                          | CUSIP: 3140HHHR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54788 | PA      | $53915.97       | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55504                                                                          | CUSIP: 3132XYDJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       73759 | PA      | $72668.83       | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55725                                                                          | CUSIP: 3132XYLF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      164637 | PA      | $162203.38      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55720                                                                          | CUSIP: 3132XYLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27602 | PA      | $27193.85       | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55661                                                                          | CUSIP: 3132XYJF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      135826 | PA      | $133818.16      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2010-135 ZA 4.5% 12/40                                                                              | CUSIP: 31398SE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       68011 | PA      | $65941.88       | 0.00%             | 2040-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C44                                                   | WELLS FARGO COML MTG TR 2018-C44 A5 4.212% 05/15/2051                                                   | CUSIP: 95001JAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9285000 | PA      | $9297653.60     | 0.01%             | 2051-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2047#G61305                                                                          | CUSIP: 31335BNW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      796321 | PA      | $783554.45      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                                  | BERKSHIRE HATHAWAY ENERGY COMPANY 3.25% 04/15/2028                                                      | CUSIP: 084659AM3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |     2069000 | PA      | $2048310.68     | 0.00%             | 2028-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2048#Q54192                                                                          | CUSIP: 3132XWUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36243 | PA      | $35729.77       | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2046#V82292                                                                          | CUSIP: 3132L7RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      170677 | PA      | $168900.52      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2047#AS9968                                                                          | CUSIP: 3138WLCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      306852 | PA      | $302257.98      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2048#BM3877                                                                          | CUSIP: 3140J8JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      217902 | PA      | $214503.41      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/47#BM1277                                                                               | CUSIP: 3140J5M30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      552741 | PA      | $544811.26      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLS INC 2018-1B PASS THRU TR                                              | UNITED AIRLS INC 2018-1B PASS THRU TR 4.6% 09/01/2027                                                   | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1129192 | PA      | $1129135.02     | 0.00%             | 2027-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2048#Q55992                                                                          | CUSIP: 3132XYUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      946040 | PA      | $932351.21      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2048#G08816                                                                        | CUSIP: 3128MJ4A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      186865 | PA      | $178458.64      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 07/01/2032#G31067                                                                        | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      241914 | PA      | $240369.66      | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                                                           | ENEL SPA 3.375%/VAR PERP REGS                                                                           | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | DBT              | CORP              | IT        |      671000 | PA      | $794262.20      | 0.00%             | 2199-12-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.9% 04/25/2028                                                          | CUSIP: 3137FEZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9900000 | PA      | $9938374.38     | 0.01%             | 2028-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C44                                                   | WELLS FARGO COML MTG TR 2018-C44 4.167% 05/15/2051                                                      | CUSIP: 95001JAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      423250 | PA      | $423986.93      | 0.00%             | 2051-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE FOUNDATION INC                                                    | PRIME HEALTHCARE FOUNDATION INC 7% 12/01/2027                                                           | CUSIP: 74166AAA0<br>LEI: 984500CA2F5A8B78A337 | Long             | DBT              | CORP              | US        |     2599000 | PA      | $2687708.81     | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 06/20/2048#MA5266                                                                            | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2490895 | PA      | $2552630.36     | 0.00%             | 2048-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 2018-1A A2II 4.328% 07/25/2048 144A                                        | CUSIP: 25755TAK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7988372 | PA      | $7978927.85     | 0.01%             | 2048-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION                                                 | CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A                                      | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      689865 | PA      | $686423.13      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6% 06/15/2048                                                                        | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      201000 | PA      | $198246.95      | 0.00%             | 2048-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 4.95% 06/15/2028                                                                     | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     3824000 | PA      | $3900409.26     | 0.00%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.8% 06/15/2038                                                                      | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2595000 | PA      | $2696242.63     | 0.00%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2047#Q45635                                                                        | CUSIP: 3132WKHM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31784 | PA      | $32021.67       | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2046#Q45028                                                                        | CUSIP: 3132WJSS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32117 | PA      | $32357.34       | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2047#Q48095                                                                        | CUSIP: 3132WM7H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      369080 | PA      | $371843.44      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2047#Q46222                                                                        | CUSIP: 3132WK4G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      133219 | PA      | $134216.90      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2047#Q48759                                                                        | CUSIP: 3132WNWV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      529446 | PA      | $533244.97      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/47#Q47942                                                                             | CUSIP: 3132WMZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      127114 | PA      | $128065.90      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2047#Q47935                                                                        | CUSIP: 3132WMY99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      271596 | PA      | $273629.27      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2046#BC9079                                                                        | CUSIP: 3140F5CR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53503 | PA      | $53890.93       | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/47#BE9387                                                                             | CUSIP: 3140FVND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21507 | PA      | $21636.24       | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#Q49393                                                                        | CUSIP: 3132WPNK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      224354 | PA      | $225963.83      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/46#BC0287                                                                             | CUSIP: 3140EUJ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40375 | PA      | $40730.97       | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BE3663                                                                        | CUSIP: 3140FPB99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      692357 | PA      | $696512.31      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/47#BE3749                                                                             | CUSIP: 3140FPEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      558003 | PA      | $561351.95      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2017-134 BA 2.5% 11/46                                                                              | CUSIP: 38380GF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       81144 | PA      | $76046.14       | 0.00%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                                                       | NAVIENT CORP 6.75% 06/15/2026                                                                           | CUSIP: 63938CAJ7<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1052131.50     | 0.00%             | 2026-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/48#CA1564                                                                             | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58257 | PA      | $58369.86       | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK12                                                                    | BANK 2018-BNK12 4.165% 05/15/2061                                                                       | CUSIP: 06541KAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      657996 | PA      | $657848.69      | 0.00%             | 2061-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | FIDELITY SAI MUNICIPAL INCOME FUND                                                                      | CUSIP: 31635V158<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |    18750800 | NS      | $189195574.00   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.85% 05/25/2028                                                         | CUSIP: 3137FG6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    33650000 | PA      | $33756458.51    | 0.04%             | 2028-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 05/01/2033#MA3363                                                                          | CUSIP: 31418CWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      653444 | PA      | $640306.39      | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-AON                                         | J P MORGAN CHASE COML MTG SECS TR 2018-AON-D 4.6132% 07/05/2031 144A                                    | CUSIP: 46649XAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1846000 | PA      | $567645.00      | 0.00%             | 2031-07-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                            | BAYER US FIN II LLC 4.375% 12/15/2028 144A                                                              | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     6803000 | PA      | $6827386.03     | 0.01%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                            | BAYER US FIN II LLC 4.875% 06/25/2048 144A                                                              | CUSIP: 07274NAQ6<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     5321000 | PA      | $4564863.34     | 0.00%             | 2048-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2018-C8                                                     | JPMDB COML MTG SECS TR 2018-C8 4.145% 06/15/2051                                                        | CUSIP: 46591ABB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3775080 | PA      | $3774650.35     | 0.00%             | 2051-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/39#G05624                                                                             | CUSIP: 3128M7SM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4614 | PA      | $4696.48        | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/46#BM3928                                                                             | CUSIP: 3140J8LJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75357 | PA      | $76627.50       | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                                           | BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051                                                           | CUSIP: 08161HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1260000 | PA      | $1259464.75     | 0.00%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NATL MTG AS GTD RE PTT SOFR30A+41.448 05/25/2048                                                | CUSIP: 3136B1C51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      425278 | PA      | $417196.82      | 0.00%             | 2048-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 4795 FA SOFR30A+41.448 05/15/2048                | CUSIP: 3137F5PW3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      702130 | PA      | $685808.82      | 0.00%             | 2048-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NATL MTG AS GTD RE PTT 18-38 FG SOFR30A+41.448 06/25/2048                                       | CUSIP: 3136B1T20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1019303 | PA      | $997343.50      | 0.00%             | 2048-06-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+46.448 05/25/2047                                                | CUSIP: 3136AWTD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      787596 | PA      | $774865.29      | 0.00%             | 2047-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2048#G08830                                                                        | CUSIP: 3128MJ4Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      140385 | PA      | $134069.98      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2048#MA3240                                                                        | CUSIP: 31418CS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      146827 | PA      | $147249.43      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 12-154 F SOFR30A+41.448 01/25/2043                                       | CUSIP: 3136AA6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      369578 | PA      | $364232.03      | 0.00%             | 2043-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2017-4709 FE SOFR30A+46.448 08/15/2047                                   | CUSIP: 3137FANA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      384225 | PA      | $378190.29      | 0.00%             | 2047-08-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2048#CA0983                                                                        | CUSIP: 3140Q8CV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20531 | PA      | $20589.94       | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                         | J P MORGAN CHASE COML MTG SECS TR 2018-WPT DFX 5.3503% 07/05/2033 144A                                  | CUSIP: 46645WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1370000 | PA      | $790060.09      | 0.00%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  3 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                         | J P MORGAN CHASE COML MTG SECS TR 2018-WPT CFX 4.95% 07/05/2023 144A                                    | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      767000 | PA      | $521905.15      | 0.00%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                         | J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A                                       | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4282147 | PA      | $4084097.70     | 0.00%             | 2033-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.271%/VAR 07/23/2029                                                       | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     6107000 | PA      | $6141539.73     | 0.01%             | 2029-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LIM                                                     | THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A                                                | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      820863 | PA      | $821264.44      | 0.00%             | 2038-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 17-186 HK 3% 11/16/2045                                                  | CUSIP: 38380T6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      757259 | PA      | $716983.73      | 0.00%             | 2045-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C12                                             | UBS COMMERCIAL MORTGAGE TRUST 2018-C12 ASB 4.1945% 08/15/2051                                           | CUSIP: 90353DAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      525408 | PA      | $525412.49      | 0.00%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4.4% 01/15/2029                                                             | CUSIP: 92277GAN7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     6227000 | PA      | $6287977.15     | 0.01%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE NATL ASSN MCLEAN VA                                                    | CAPITAL ONE NATL ASN MCLEAN VA 4.682%/VAR 08/09/2028                                                    | CUSIP: 25466AAN1<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |     2954000 | PA      | $3080925.64     | 0.00%             | 2028-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 4.75% 08/15/2028                                                                | CUSIP: 958254AK0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     1236000 | PA      | $1254144.39     | 0.00%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                  | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-3 M55D 4% 08/25/2057                                    | CUSIP: 35563PGL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      249289 | PA      | $240119.60      | 0.00%             | 2057-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK13                                                                    | BANK 2018-BNK13 3.953% 08/15/2061                                                                       | CUSIP: 06539LBA7<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |     5905385 | PA      | $5880169.86     | 0.01%             | 2061-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK13                                                                    | BANK 2018-BN13 A5 4.217% 08/15/2061                                                                     | CUSIP: 06539LBB5<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |    11000000 | PA      | $11035676.30    | 0.01%             | 2061-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.625% 09/01/2028                                                                               | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     9085000 | PA      | $9374815.13     | 0.01%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                  | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-3 MA 3.5% 08/25/2057                                    | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4000183 | PA      | $3911261.04     | 0.00%             | 2057-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% #BM4385 08/48                                                                            | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      587969 | PA      | $597968.12      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                                                   | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                                                     | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    27283384 | PA      | $402659.09      | 0.00%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-BOP                                                   | MORGAN STANLEY CAP I TR 2018-BOP A TSFR1M+89.7 06/15/2035 144A                                          | CUSIP: 61768FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      134441 | PA      | $109362.04      | 0.00%             | 2033-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2045#G07949                                                                          | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      496875 | PA      | $493360.57      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 08/20/2048#MA5398                                                                            | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2739827 | PA      | $2684313.67     | 0.00%             | 2048-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                                           | GS MTG SECS TR 2018-GS10 A4 3.89% 07/10/2051                                                            | CUSIP: 36250SAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15685681 | PA      | $15613210.02    | 0.02%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                                           | GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051                                                           | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5912000 | PA      | $5913460.26     | 0.01%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                                           | GS MTG SECS TR 2018-GS10 AAB 4.106% 07/10/2051                                                          | CUSIP: 36250SAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      873172 | PA      | $872181.61      | 0.00%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                         | MIZUHO FINL GROUP INC 4.254%/VAR 09/11/2029                                                             | CUSIP: 60687YAT6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     1035000 | PA      | $1040357.44     | 0.00%             | 2029-09-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                           | WILLIS NORTH AMERICA INC 4.5% 09/15/2028                                                                | CUSIP: 970648AG6<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |     1897000 | PA      | $1908396.99     | 0.00%             | 2028-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                  | GENERAL MOTORS CO 5.95% 04/01/2049                                                                      | CUSIP: 37045VAT7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     3089000 | PA      | $3043416.99     | 0.00%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNA 2018-M10 A2 CSTR 07/28                                                                              | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      919360 | PA      | $913746.28      | 0.00%             | 2028-07-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| Fidelity Advisor Series I                                                          | FIDELITY ADVISOR FLOATING RATE HIGH INCOME FUNDZ                                                        | CUSIP: 315806703<br>LEI: C7J4FOV6ELAVE39B7M82 | Long             | EC               | RF                | US        |   171239274 | NS      | $1530879107.33  | 1.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Securities Fund                                                           | FIDELITY REAL ESTATE INCOME FUNDZ                                                                       | CUSIP: 316389311<br>LEI: LIUMB3NDWOFJPXVROE85 | Long             | EC               | RF                | US        |   153203591 | NS      | $1918108963.24  | 2.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2048#Q54900                                                                        | CUSIP: 3132XXNS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      325616 | PA      | $310967.74      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2048#MA3307                                                                        | CUSIP: 31418CU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84197 | PA      | $84439.71       | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2047#CA0324                                                                        | CUSIP: 3140Q7LE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      102892 | PA      | $103348.86      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2048#CA1713                                                                        | CUSIP: 3140Q83X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34239 | PA      | $34337.11       | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2048#CA1218                                                                        | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75925 | PA      | $76143.33       | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2047#CA0623                                                                        | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59290 | PA      | $59553.37       | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2048#BK0200                                                                        | CUSIP: 3140HDGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17578 | PA      | $17628.37       | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2047#BH9459                                                                        | CUSIP: 3140GYQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23090 | PA      | $23192.73       | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9459                                                                        | CUSIP: 3138WKQM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12612 | PA      | $12683.82       | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2047#CA1780                                                                        | CUSIP: 3140Q86S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19710 | PA      | $19797.77       | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2039#A89270                                                                        | CUSIP: 312936JP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       44616 | PA      | $45427.19       | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2040#A94862                                                                        | CUSIP: 312943MK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22310 | PA      | $22716.48       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2046#BC4754                                                                          | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      383055 | PA      | $378996.46      | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/46#BC1443                                                                            | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      541137 | PA      | $535741.51      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/46#BC2843                                                                               | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      647254 | PA      | $640395.91      | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | Fidelity Sai Total Bond Fund                                                                            | CUSIP: 31635T849<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |  2114523201 | NS      | $19601630072.65 | 21.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2046#BM4548                                                                        | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      513563 | PA      | $522271.17      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                                                | JAPAN GOVERNMENT OF 0.1% 09/20/2028                                                                     | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   382050000 | PA      | $2374451.82     | 0.00%             | 2028-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2047#CA0181                                                                          | CUSIP: 3140Q7FX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      837773 | PA      | $824182.86      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.9% 08/25/2028                                                          | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7532000 | PA      | $7570130.00     | 0.01%             | 2028-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK CR CARD ISSUANCE TR                                                       | CITIBANK CR CARD ISSUANCE TR 18-A7 A7 3.96% 10/15/2030                                                  | CUSIP: 17305EGS8<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-CBDO         | CORP              | US        |     9000000 | PA      | $9070615.80     | 0.01%             | 2030-10-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK14                                                                    | BANK 2018-BNK14 4.185% 09/15/2060                                                                       | CUSIP: 06035RAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2890872 | PA      | $2892813.39     | 0.00%             | 2060-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B6 MORTGAGE TRUST                                                   | BENCHMARK 2018-B6 MORTGAGE TRUST 3.995% 10/10/2051                                                      | CUSIP: 08162CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4700000 | PA      | $4671409.43     | 0.01%             | 2051-10-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                                                                | TOLEDO HOSPITAL/THE 5.325% 11/15/2028                                                                   | CUSIP: 889184AC1<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |     2395000 | PA      | $2440116.05     | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2046#G61420                                                                        | CUSIP: 31335BSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3121651 | PA      | $3004148.42     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2045#Q31307                                                                        | CUSIP: 3132QMNZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12016 | PA      | $11630.35       | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2046#Q41359                                                                        | CUSIP: 3132WEQM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12231 | PA      | $11756.85       | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/47#V84700                                                                             | CUSIP: 3132LAGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      178129 | PA      | $171117.93      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/45#Q34074                                                                             | CUSIP: 3132QQQ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15844 | PA      | $15286.84       | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Summer Street Trust                                                       | Fidelity Advisor New Markets Income Fund - Class Z                                                      | CUSIP: 31641Q755<br>LEI: P1TJ3M056NR1SYX5LY49 | Long             | EC               | RF                | US        |   146178405 | NS      | $2056730165.31  | 2.20%             |  |  |  | No            |                  1 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG ENERGY INC 5.75% 01/15/2028                                                                         | CUSIP: 629377CE0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     1136000 | PA      | $1135920.71     | 0.00%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/42#Q10245                                                                             | CUSIP: 3132HLHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      118204 | PA      | $114607.12      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2042#AB7124                                                                        | CUSIP: 31417D4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      119351 | PA      | $115783.46      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2045#G61419                                                                        | CUSIP: 31335BSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      143794 | PA      | $139392.84      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.05% 09/25/2028                                                         | CUSIP: 3137FJXV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9405000 | PA      | $9486435.07     | 0.01%             | 2028-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/42#G07184                                                                               | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4766158 | PA      | $4748562.07     | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/47#Q52377                                                                               | CUSIP: 3132XUUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1537653 | PA      | $1513002.03     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B7 MTG TR                                                           | BENCHMARK MORTGAGE TRUST 2018-B7 A2 4.377% 05/15/2053                                                   | CUSIP: 08162TAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      791836 | PA      | $790718.51      | 0.00%             | 2053-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                  | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-4 MA 3.5% 11/25/2057                                    | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1597967 | PA      | $1558556.76     | 0.00%             | 2058-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 5.5% 02/15/2049                                                                                 | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     4129000 | PA      | $3865184.73     | 0.00%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.8% 02/15/2029                                                                                 | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     1376000 | PA      | $1402614.10     | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-L1                                                    | MORGAN STANLEY CAP I TR 2018-L1 4.238% 10/15/2051                                                       | CUSIP: 61691QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2658568 | PA      | $2665539.86     | 0.00%             | 2051-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2048#BJ2752                                                                          | CUSIP: 3140H4BW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23116 | PA      | $22748.51       | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2048#G08851                                                                        | CUSIP: 3128MJ5M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      373795 | PA      | $356628.75      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C47                                                   | WELLS FARGO COML MTG TR 2018-C47 ASB 4.365% 09/15/2061                                                  | CUSIP: 95002DBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5385164 | PA      | $5391742.92     | 0.01%             | 2061-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#Q40336                                                                        | CUSIP: 3132WDLS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6751 | PA      | $6464.60        | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2048#Q57760                                                                        | CUSIP: 3132Y1TS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       62391 | PA      | $59525.48       | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2048#Q58960                                                                        | CUSIP: 3132Y25W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2035634 | PA      | $1942151.54     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2048#Q58277                                                                        | CUSIP: 3132Y2FT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      139916 | PA      | $133490.72      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2048#Q58675                                                                        | CUSIP: 3132Y2T97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      953631 | PA      | $909837.32      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2048#Q58655                                                                        | CUSIP: 3132Y2TM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      164282 | PA      | $156737.46      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                               | BOSTON PROPERTIES LP 4.5% 12/01/2028                                                                    | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     4766000 | PA      | $4806087.16     | 0.01%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HORIZON 2018                                                                       | HORIZON 2018-1 A 4.458% 12/15/2038 144A                                                                 | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6454055 | PA      | $6389540.09     | 0.01%             | 2038-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3% 02/01/2037#C91912                                                                          | CUSIP: 3128P8DR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10244 | PA      | $9965.45        | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 4.3% 02/15/2030                                                                            | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     7106000 | PA      | $7173436.65     | 0.01%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF CSTR 09/25/2030                                                              | CUSIP: 3136B3DE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3302663 | PA      | $3304464.29     | 0.00%             | 2030-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                        | SUNOCO LP / SUNOCO FIN CORP 5.875% 03/15/2028                                                           | CUSIP: 86765LAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1335000 | PA      | $1335505.97     | 0.00%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B8 MTG TR                                                           | BENCHMARK 2018-B8 A5 MORTGAGE TRUST 4.2317% 01/15/2052                                                  | CUSIP: 08162UAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15369000 | PA      | $15312867.80    | 0.02%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12                                     | WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052                                                            | CUSIP: 95001RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3836000 | PA      | $3860304.51     | 0.00%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                                             | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                                                 | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4191000 | PA      | $4219308.95     | 0.00%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.859% 11/25/2028                                                        | CUSIP: 3137FKSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4600000 | PA      | $4619386.70     | 0.00%             | 2028-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLAN MAST OWN TR                                                      | FORD CR FLOORPLAN MAST OWN TR 4.06% 11/15/2030                                                          | CUSIP: 34528PAK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5400000 | PA      | $5444352.90     | 0.01%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.35% 02/12/2048                                                                    | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     1560000 | PA      | $1251744.00     | 0.00%             | 2048-02-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VOYA FINANCIAL INC                                                                 | VOYA FINANCIAL INC 4.7%/VAR 01/23/2048                                                                  | CUSIP: 929089AF7<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |     3132000 | PA      | $3010560.15     | 0.00%             | 2048-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2047#Q48754                                                                          | CUSIP: 3132WNWQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2918906 | PA      | $2878496.32     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK15                                                                    | BANK 2018-BNK15 4.285% 11/15/2061                                                                       | CUSIP: 06036FBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      648289 | PA      | $650114.17      | 0.00%             | 2061-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                                          | MYLAN INC 4.55% 04/15/2028                                                                              | CUSIP: 628530BK2<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |     3354000 | PA      | $3371066.69     | 0.00%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2048#Q58998                                                                        | CUSIP: 3132Y27L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       87478 | PA      | $87640.57       | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2039#G05645                                                                        | CUSIP: 3128M7TA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7753 | PA      | $7892.15        | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12                                     | WELLS FARGO TR 2013-LC12 4.245% 01/15/2052                                                              | CUSIP: 95001RAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3593697 | PA      | $3599137.46     | 0.00%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.25% 04/15/2029                                                                     | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2564000 | PA      | $2648131.79     | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                             | EQUITABLE HOLDINGS INC 4.35% 04/20/2028                                                                 | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |     1898000 | PA      | $1907536.31     | 0.00%             | 2028-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2044#AL5512                                                                        | CUSIP: 3138ENDS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      192719 | PA      | $195823.97      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                                                       | KREDITANSTALT FUR WIEDER(UNGTD 0.75% 01/15/2029 REGS                                                    | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |     1485000 | PA      | $1684652.15     | 0.00%             | 2029-01-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2041#AJ7242                                                                        | CUSIP: 3138E0BL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93581 | PA      | $95161.33       | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2042#C04180                                                                        | CUSIP: 31292LUD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      796500 | PA      | $772557.84      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2042#C04276                                                                        | CUSIP: 31292LXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      510880 | PA      | $495071.52      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2042#Q09689                                                                        | CUSIP: 3132GVC26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       62758 | PA      | $60981.93       | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2043#Q21466                                                                        | CUSIP: 3132JNTX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       88124 | PA      | $85258.46       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2048#ZS4751                                                                        | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1987456 | PA      | $1897695.49     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 08/01/2032#ZS7804                                                                        | CUSIP: 3132A8U56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      431383 | PA      | $418423.66      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                                                           | EUROPEAN INVESTMENT BANK 0.625% 01/22/2029 REGS                                                         | CUSIP: N/A<br>LEI: 5493006YXS1U5GIHE750       | Long             | DBT              | CORP              | LU        |     1270000 | PA      | $1436449.90     | 0.00%             | 2029-01-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.05% 03/30/2029        | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4200000 | PA      | $4265548.48     | 0.00%             | 2029-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 09/01/2033#MA3461                                                                          | CUSIP: 31418CZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115653 | PA      | $113238.90      | 0.00%             | 2033-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 04/01/2033#BJ2704                                                                          | CUSIP: 3140H4AE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44828 | PA      | $43951.82       | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2032#BM5109                                                                          | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4512182 | PA      | $4436815.91     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                             | EQUITABLE HOLDINGS INC 5% 04/20/2048                                                                    | CUSIP: 054561AM7<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    10215000 | PA      | $9059813.64     | 0.01%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 4.5% 04/22/2029                                                            | CUSIP: 91087BAF7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     3114000 | PA      | $3134163.15     | 0.00%             | 2029-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.875% 02/01/2029                                                                               | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     9796000 | PA      | $10210197.41    | 0.01%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                           | VISTRA OPERATIONS CO LLC 5.625% 02/15/2027 144A                                                         | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     1015000 | PA      | $1014647.49     | 0.00%             | 2027-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2042#G61830                                                                          | CUSIP: 31335CA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3708445 | PA      | $3697324.82     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2045#G61829                                                                          | CUSIP: 31335CA61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1665750 | PA      | $1658491.15     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2043#BM1167                                                                          | CUSIP: 3140J5JM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      855029 | PA      | $851328.93      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.974%/VAR 02/07/2030                                                       | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2345000 | PA      | $2342914.90     | 0.00%             | 2030-02-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2043#AL7626                                                                          | CUSIP: 3138EQPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1488328 | PA      | $1481770.01     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2044#G61831                                                                          | CUSIP: 31335CA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      835795 | PA      | $833777.27      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2045#G61807                                                                          | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1232488 | PA      | $1229016.53     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 04/20/2048#BG3507                                                                            | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      197186 | PA      | $192697.42      | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 04/20/2048#BG7744                                                                            | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      223701 | PA      | $218609.54      | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2045#G61796                                                                        | CUSIP: 31335B7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       76286 | PA      | $77652.99       | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2048#G61821                                                                        | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1537469 | PA      | $1544656.29     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                   | ALTRIA GROUP INC 4.8% 02/14/2029                                                                        | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     2374000 | PA      | $2425524.01     | 0.00%             | 2029-02-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 10/01/2033#MA3489                                                                        | CUSIP: 31418C2X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3045 | PA      | $3019.73        | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 04/01/2033#CA2680                                                                          | CUSIP: 3140Q96S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      116500 | PA      | $114221.76      | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 10/01/2033#BM5114                                                                          | CUSIP: 3140J9VG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33958 | PA      | $33317.34       | 0.00%             | 2033-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 04/01/2033#BK4146                                                                          | CUSIP: 3140HHTC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      142682 | PA      | $139764.68      | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2033#CA1278                                                                          | CUSIP: 3140Q8M44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77317 | PA      | $75763.29       | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMCC COML MTG SECS TR 2019-COR4                                                   | JPMCC COML MTG SECS TR 2019-COR4 A5 4.0291% 03/10/2052                                                  | CUSIP: 48128YAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      850000 | PA      | $824300.34      | 0.00%             | 2052-03-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                       | HUDSON PACIFIC PROPERTIES LP 4.65% 04/01/2029                                                           | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    10668000 | PA      | $9494520.00     | 0.01%             | 2029-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2032#BM5345                                                                          | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2161686 | PA      | $2125681.18     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2048#G61896                                                                        | CUSIP: 31335CC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      277396 | PA      | $265177.45      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.771% 12/25/2028                                                        | CUSIP: 3137FKUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1090665 | PA      | $1093131.92     | 0.00%             | 2028-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                  | STORE CAPITAL LLC 4.625% 03/15/2029                                                                     | CUSIP: 862121AB6<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     2374000 | PA      | $2384958.12     | 0.00%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+56.448 02/20/2049                                                 | CUSIP: 38381RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     1560522 | PA      | $1552979.71     | 0.00%             | 2049-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2046#BM4980                                                                          | CUSIP: 3140J9RA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8416274 | PA      | $8377419.88     | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK16                                                                    | BANK 2019-BNK16 4.267% 02/15/2052                                                                       | CUSIP: 065405AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1400000 | PA      | $1381891.00     | 0.00%             | 2052-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1                                  | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2016-1 3.5% 07/25/2058                                       | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2773737 | PA      | $2701631.95     | 0.00%             | 2058-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C49                                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C49 ASB 3.933% 03/15/2052                                    | CUSIP: 95001WAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4949024 | PA      | $4940342.78     | 0.01%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                            | CUSIP: 38380HC42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      748563 | PA      | $697428.53      | 0.00%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 04/20/2047                                                            | CUSIP: 38380UVE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      679371 | PA      | $650840.51      | 0.00%             | 2047-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 10/20/2047                                                            | CUSIP: 38380UAT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      605404 | PA      | $565767.02      | 0.00%             | 2047-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2034#BN5298                                                                          | CUSIP: 3140JM3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95898 | PA      | $93800.78       | 0.00%             | 2034-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 01/01/2033#BH9235                                                                          | CUSIP: 3140GYHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30680 | PA      | $30084.72       | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2028#AV3616                                                                          | CUSIP: 3138XFAS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2704 | PA      | $2676.16        | 0.00%             | 2028-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 02/01/2034#J40197                                                                          | CUSIP: 31307YGE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5488 | PA      | $5368.39        | 0.00%             | 2034-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2033#J38387                                                                          | CUSIP: 31307VJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       74744 | PA      | $73273.12       | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 12/01/2032#J38057                                                                          | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25809 | PA      | $25344.20       | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2033#J40168                                                                          | CUSIP: 31307YFH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       97664 | PA      | $95866.93       | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MTG TR                                                          | BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062                                                     | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2683000 | PA      | $2647459.91     | 0.00%             | 2062-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7386                                                                          | CUSIP: 31419JF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       75696 | PA      | $75379.41       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/40#AE3576                                                                               | CUSIP: 31419D6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92471 | PA      | $92048.04       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8603                                                                          | CUSIP: 31419KRZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69880 | PA      | $69660.10       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8185                                                                          | CUSIP: 31419KCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51333 | PA      | $51090.18       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7382                                                                          | CUSIP: 31419JFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30376 | PA      | $30342.46       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE4056                                                                          | CUSIP: 31419EQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      113880 | PA      | $113397.57      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8135                                                                          | CUSIP: 31419KBD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36126 | PA      | $35957.49       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE7390                                                                               | CUSIP: 31419JF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      134724 | PA      | $134420.94      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7679                                                                          | CUSIP: 31419JQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      121730 | PA      | $121253.48      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE9771                                                                          | CUSIP: 31419L2D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       92599 | PA      | $92308.89       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7374                                                                          | CUSIP: 31419JFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78322 | PA      | $78103.83       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7376                                                                          | CUSIP: 31419JFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45789 | PA      | $45619.74       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE4058                                                                          | CUSIP: 31419EQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80604 | PA      | $80304.33       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE8996                                                                               | CUSIP: 31419K7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      107584 | PA      | $107202.55      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8538                                                                          | CUSIP: 31419KPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88372 | PA      | $87961.40       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8186                                                                          | CUSIP: 31419KCY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103862 | PA      | $103570.65      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE6588                                                                               | CUSIP: 31419HKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45332 | PA      | $45229.81       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE7364                                                                               | CUSIP: 31419JFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54044 | PA      | $53813.89       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2040#AE9804                                                                          | CUSIP: 31419L3N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      277143 | PA      | $276115.78      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUXEMBOURG                                                        | SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A                                                      | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |     1000000 | PA      | $1010261.37     | 0.00%             | 2049-04-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-L2                                                    | MORGAN STANLEY CAP I TR 2019-L2 A3 3.806% 03/15/2052                                                    | CUSIP: 61768HAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17904493 | PA      | $17758397.92    | 0.02%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ILPT TRUST 2019-SURF                                                               | ILPT TRUST 2019-SURF 4.145% 02/11/2041 144A                                                             | CUSIP: 44965LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15819000 | PA      | $15714246.58    | 0.02%             | 2041-02-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                                            | DARLING INGREDIENTS INC 5.25% 04/15/2027 144A                                                           | CUSIP: 237266AH4<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |      410000 | PA      | $409883.03      | 0.00%             | 2027-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                             | EQUITABLE HOLDINGS INC 4.572% 02/15/2029 144A                                                           | CUSIP: 054561AN5<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |     1989000 | PA      | $1996307.45     | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST II                                                               | PINE STR TR II 5.568% 02/15/2049 144A                                                                   | CUSIP: 72284LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7700000 | PA      | $7337082.68     | 0.01%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 11/01/2033#G16677                                                                        | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2055548 | PA      | $2033725.64     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 4.375% 05/01/2026 144A                                                      | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     7747000 | PA      | $7747480.16     | 0.01%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2034#G16737                                                                          | CUSIP: 3128MFV62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39061 | PA      | $38307.28       | 0.00%             | 2034-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                           | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A A 3.967% 04/15/2039 144A                                      | CUSIP: 14855MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2404234 | PA      | $2380232.29     | 0.00%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                           | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A B 5.095% 04/15/2039 144A                                      | CUSIP: 14855MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3098041 | PA      | $3059334.88     | 0.00%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 02/01/2033#ZS8686                                                                          | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       44344 | PA      | $43468.27       | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 04/01/2037#BM1257                                                                        | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6237438 | PA      | $5892651.22     | 0.01%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 02/01/2034#G16752                                                                        | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1821634 | PA      | $1796175.35     | 0.00%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| METLIFE SECURITIZATION TRUST 2019-1                                                | METLIFE SECURITIZATION TRUST 2019-1A A1A 3.75% 04/25/2058 144A                                          | CUSIP: 59166EAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       49057 | PA      | $48608.44       | 0.00%             | 2058-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 10/01/2037#BM1951                                                                        | CUSIP: 3140J6EZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      572156 | PA      | $540218.03      | 0.00%             | 2037-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 03/01/2033#BM4614                                                                          | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88996 | PA      | $87446.55       | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MTG TR                                                          | BENCHMARK 2019-B10 MORTGAGE TRUST 3.615% 03/15/2062                                                     | CUSIP: 08162VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5635054 | PA      | $5606882.03     | 0.01%             | 2062-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                           | COOPERATIEVE RABOBANK UA 1.125% 05/07/2031 REGS                                                         | CUSIP: N/A<br>LEI: DG3RU1DBUFHT4ZF9WN62       | Long             | DBT              | CORP              | NL        |     1100000 | PA      | $1180372.39     | 0.00%             | 2031-05-07      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC A TSFR1M+111.448 04/15/2034 144A                                  | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4547307 | PA      | $4524570.00     | 0.00%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC D TSFR1M+201.448 04/15/2034 144A                                  | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3079000 | PA      | $3044361.25     | 0.00%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC C TSFR1M+171.448 04/15/2034 144A                                  | CUSIP: 05608BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2933000 | PA      | $2903670.00     | 0.00%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC B TSFR1M+141.448 04/15/2034 144A                                  | CUSIP: 05608BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4437000 | PA      | $4398176.25     | 0.00%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 09/01/2032#BM1884                                                                          | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      210531 | PA      | $206607.91      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2034#G16829                                                                          | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      578333 | PA      | $566602.41      | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2049#BN2228                                                                        | CUSIP: 3140JJPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      761010 | PA      | $762248.41      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                                          | IQVIA INC 5% 05/15/2027 144A                                                                            | CUSIP: 46266TAA6<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |      415000 | PA      | $414092.44      | 0.00%             | 2027-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG ENERGY INC 5.25% 06/15/2029 144A                                                                    | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      484000 | PA      | $485688.68      | 0.00%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GROUP INC                                                      | PRINCIPAL FINL GROUP INC 3.7% 05/15/2029                                                                | CUSIP: 74251VAR3<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     1714000 | PA      | $1696308.50     | 0.00%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029                                                      | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    20383000 | PA      | $20417861.04    | 0.02%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                     | SERVICE CORP INTERNATIONAL INC 5.125% 06/01/2029                                                        | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     1035000 | PA      | $1038132.95     | 0.00%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 5.125% 05/15/2029                                                                 | CUSIP: 23311VAH0<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     8391000 | PA      | $8629593.64     | 0.01%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                                   | VIRGIN MEDIA SECD FIN PLC 5.5% 05/15/2029 144A                                                          | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |      415000 | PA      | $402936.32      | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2049#BN5567                                                                        | CUSIP: 3140JNFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      288518 | PA      | $288798.48      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#Q49499                                                                        | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       66476 | PA      | $66994.53       | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#G61047                                                                        | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      150604 | PA      | $152202.71      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2031#CA3178                                                                          | CUSIP: 3140QAQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1632347 | PA      | $1612752.27     | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 08/01/2031#BM1283                                                                          | CUSIP: 3140J5M97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14478 | PA      | $14329.28       | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2048#BJ2757                                                                        | CUSIP: 3140H4B37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      725068 | PA      | $697306.71      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2048#BK5486                                                                        | CUSIP: 3140HKCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      412316 | PA      | $396528.60      | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2047#CA1757                                                                        | CUSIP: 3140Q85T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      833541 | PA      | $802407.75      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2047#BH6709                                                                        | CUSIP: 3140GVN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      436904 | PA      | $420585.38      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/47#BH1302                                                                             | CUSIP: 3140GPNU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      298035 | PA      | $287089.37      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/48#BK3801                                                                             | CUSIP: 3140HHGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      383669 | PA      | $368978.83      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/48#BJ6757                                                                             | CUSIP: 3140H8QK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      780253 | PA      | $750378.18      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 3.75% 06/01/2026                                                                         | CUSIP: 00914AAB8<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4994432.15     | 0.01%             | 2026-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2048#G67716                                                                        | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       35216 | PA      | $35556.97       | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C50                                                   | WELLS FARGO COML MTG TR 2019-C50 3.635% 05/15/2052                                                      | CUSIP: 95001XAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4823795 | PA      | $4785022.22     | 0.01%             | 2052-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 05/20/2049#BN2615                                                                            | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       87197 | PA      | $84749.41       | 0.00%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 11/32#BJ6650                                                                               | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46333 | PA      | $45417.08       | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 03/01/2033#BK4845                                                                          | CUSIP: 3140HJL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77255 | PA      | $75815.86       | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2046#Q45023                                                                        | CUSIP: 3132WJSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      134167 | PA      | $128634.37      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2046#AL9489                                                                        | CUSIP: 3138ERRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140137 | PA      | $134202.22      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 4.352% 05/20/2049                                                                     | CUSIP: 233046AL5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |     7952175 | PA      | $7944594.19     | 0.01%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 01/33#J38270                                                                             | CUSIP: 31307VFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10059 | PA      | $9750.18        | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                                | SIRIUS XM RADIO INC 5.5% 07/01/2029 144A                                                                | CUSIP: 82967NBC1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      400000 | PA      | $400404.11      | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                           | VISTRA OPERATIONS CO LLC 5% 07/31/2027 144A                                                             | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     3190000 | PA      | $3185400.02     | 0.00%             | 2027-07-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-H6                                             | MORGAN STANLEY CAPITAL I TRUST 2019-H6 3.417% 06/15/2052                                                | CUSIP: 61769JBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4961000 | PA      | $4852855.66     | 0.01%             | 2052-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 02/20/2041#BH6401                                                                          | CUSIP: 3617H4DE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      467560 | PA      | $450659.01      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/20/2044#BF9583                                                                          | CUSIP: 3617GGUG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      590268 | PA      | $563232.00      | 0.00%             | 2044-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                       | WP CAREY INC 3.85% 07/15/2029                                                                           | CUSIP: 92936UAF6<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     1991000 | PA      | $1975161.30     | 0.00%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 4% 06/15/2029                                                                                | CUSIP: 91529YAN6<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     6130000 | PA      | $6080775.06     | 0.01%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 11/01/2033#ZT1410                                                                        | CUSIP: 3132ADR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1124262 | PA      | $1111197.51     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.088%/VAR 06/20/2030                                                                      | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    35939000 | PA      | $36654973.16    | 0.04%             | 2030-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 01/01/2032#BE3032                                                                        | CUSIP: 3140FNLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      193837 | PA      | $188217.27      | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 01/01/2033#ZS7938                                                                        | CUSIP: 3132A8ZB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      831685 | PA      | $806432.54      | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 05/01/2032#ZT2011                                                                        | CUSIP: 3132AEGU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      151617 | PA      | $150838.85      | 0.00%             | 2032-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                                                  | CLEAN HARBORS INC 5.125% 07/15/2029 144A                                                                | CUSIP: 184496AP2<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |      325000 | PA      | $324875.56      | 0.00%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                                  | NEXSTAR MEDIA INC 5.625% 07/15/2027 144A                                                                | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |     1435000 | PA      | $1435134.89     | 0.00%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 08/01/2031#AS7695                                                                        | CUSIP: 3138WHRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      568626 | PA      | $554137.22      | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 06/01/2031#G18604                                                                        | CUSIP: 3128MMU68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      185826 | PA      | $181332.78      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 07/01/2031#V61246                                                                        | CUSIP: 3132KFL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      315748 | PA      | $308115.08      | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 08/01/2031#V61273                                                                        | CUSIP: 3132KFMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      533051 | PA      | $519985.48      | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE LTD                                                       | HORIZON AIRCRAFT FINANCE LTD 2019-1 A 3.721% 07/15/2039 144A                                            | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6219560 | PA      | $6172783.33     | 0.01%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C51                                                   | WELLS FARGO COML MTG TR 2019-C51 3.311% 06/15/2052                                                      | CUSIP: 95001VAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1470000 | PA      | $1420248.59     | 0.00%             | 2052-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                                                 | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      221334 | PA      | $210895.83      | 0.00%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                           | ELANCO ANIMAL HEALTH INC VAR 08/28/2028                                                                 | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |     8545000 | PA      | $8883399.09     | 0.01%             | 2028-08-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PROJECT SILVER 2019                                                                | SILVER AIRCRAFT LEASE INVT LTD 2019-1 A 3.967% 07/15/2044 144A                                          | CUSIP: 827304AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4169923 | PA      | $4148280.75     | 0.00%             | 2044-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                               | ROMANIA REPUBLIC OF 2.124% 07/16/2031 REGS                                                              | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      275000 | PA      | $293664.52      | 0.00%             | 2031-07-16      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2019-C3                                                               | BBCMS MTG TR 2019-C3 3.458% 05/15/2052                                                                  | CUSIP: 05550MAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2663931 | PA      | $2642600.38     | 0.00%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2049#MA3663                                                                        | CUSIP: 31418DB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2296812 | PA      | $2185184.89     | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                               | WESTPAC BANKING CORP 4.11%/VAR 07/24/2034                                                               | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     5791000 | PA      | $5741206.49     | 0.01%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 11/20/2042#AB9917                                                                            | CUSIP: 36178XAS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26971 | PA      | $26420.99       | 0.00%             | 2042-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 03/44#AI2556                                                                                 | CUSIP: 36198NZV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      301258 | PA      | $294103.21      | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                        | SUNOCO LP / SUNOCO FIN CORP 6% 04/15/2027                                                               | CUSIP: 86765LAQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1005000 | PA      | $1005451.25     | 0.00%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMMUNITIES INC                                                    | TAYLOR MORRISON COMMUNITIES INC 5.75% 01/15/2028 144A                                                   | CUSIP: 87724RAB8<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |      655000 | PA      | $668094.11      | 0.00%             | 2028-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.194%/VAR 07/23/2030                                                       | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    10561000 | PA      | $10271527.53    | 0.01%             | 2030-07-23      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2049#MA3744                                                                          | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    40664434 | PA      | $37266741.42    | 0.04%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                                          | BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A                                                     | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    73564492 | PA      | $1757396.86     | 0.00%             | 2052-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-H6                                             | MORGAN STANLEY CAPITAL I TRUST 2019-H6 ASB 3.224% 06/15/2052                                            | CUSIP: 61769JAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2282779 | PA      | $2256497.67     | 0.00%             | 2052-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 2.7% 02/01/2027                                                                               | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1705416.38     | 0.00%             | 2027-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C52                                                   | WELLS FARGO COML MTG TR 2019-C52 2.892% 08/15/2052                                                      | CUSIP: 95002MAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3829000 | PA      | $3662887.64     | 0.00%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                            | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     2307687 | PA      | $2144951.33     | 0.00%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 19-1B PTT                                                             | AMER AIRLINE 19-1B PTT 3.85% 08/15/2029                                                                 | CUSIP: 02379DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      851604 | PA      | $836179.88      | 0.00%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 3.126%/VAR 08/13/2030 144A                                                                 | CUSIP: 902613AA6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     5359000 | PA      | $5179169.00     | 0.01%             | 2030-08-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 2.95% 09/01/2029                                                                           | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    21895000 | PA      | $21142624.74    | 0.02%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2048#CA2175                                                                        | CUSIP: 3140Q9MZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      222239 | PA      | $213244.15      | 0.00%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2048#ZM6198                                                                        | CUSIP: 3131Y03F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      210073 | PA      | $201569.96      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2047#CA1758                                                                        | CUSIP: 3140Q85U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      381721 | PA      | $366866.58      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2048#BJ9308                                                                        | CUSIP: 3140HBKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106765 | PA      | $102444.00      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2046#BE0183                                                                        | CUSIP: 3140FKFZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22463 | PA      | $21610.23       | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2049#QA0388                                                                        | CUSIP: 31334WND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      146171 | PA      | $140026.06      | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2048#ZM5557                                                                        | CUSIP: 3131Y0E65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       54900 | PA      | $52711.90       | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2048#BJ3670                                                                        | CUSIP: 3140H5CG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      827045 | PA      | $793569.96      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2047#BH1303                                                                        | CUSIP: 3140GPNV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84150 | PA      | $80875.88       | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2048#ZM5585                                                                        | CUSIP: 3131Y0F23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      442997 | PA      | $425343.41      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030                                                               | CUSIP: 92277GAU1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    16847000 | PA      | $16151027.52    | 0.02%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                              | TENET HEALTHCARE CORP 5.125% 11/01/2027                                                                 | CUSIP: 88033GDB3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1000582.23     | 0.00%             | 2027-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 09/01/2049#RA1293                                                                          | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      153398 | PA      | $141587.67      | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 10/01/2031#G15963                                                                        | CUSIP: 3128MEZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       97596 | PA      | $95204.45       | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 4.8% 08/15/2038                                                                       | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     2697000 | PA      | $2614534.32     | 0.00%             | 2038-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 4.9% 12/15/2048                                                                       | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      517000 | PA      | $465062.32      | 0.00%             | 2048-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 4.375% 10/15/2028                                                                     | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     3698000 | PA      | $3736359.91     | 0.00%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NGG FINANCE PLC                                                                    | NGG FINANCE PLC 2.125%/VAR 09/05/2082 REGS                                                              | CUSIP: N/A<br>LEI: 549300MLDJ2T68G21W86       | Long             | DBT              | CORP              | GB        |     1960000 | PA      | $2283514.77     | 0.00%             | 2082-09-05      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINANCE CO LLC                                                 | BLACKSTONE HOLDINGS FINANCE CO LLC 3.5% 09/10/2049 144A                                                 | CUSIP: 09256BAM9<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     4614000 | PA      | $3320202.19     | 0.00%             | 2049-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 B PTT                                                            | UNITED AIR 2019-2 B PTT 3.5% 11/01/2029                                                                 | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      514696 | PA      | $504005.96      | 0.00%             | 2029-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                  | IRON MOUNTAIN INC 4.875% 09/15/2029 144A                                                                | CUSIP: 46284VAF8<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1040456.03     | 0.00%             | 2029-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                            | SIMON PROPERTY GROUP LP 2.45% 09/13/2029                                                                | CUSIP: 828807DF1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |     3008000 | PA      | $2859712.07     | 0.00%             | 2029-09-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A                                                   | CUSIP: 202712BK0<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     3723000 | PA      | $3628311.79     | 0.00%             | 2034-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG'06 PTY LTD                                                       | FMG RES AUGUST 2006 PTY LTD 4.5% 09/15/2027 144A                                                        | CUSIP: 30251GBA4<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |      790000 | PA      | $789671.76      | 0.00%             | 2027-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                      | HEALTHCARE REALTY HOLDINGS LP 3.1% 02/15/2030                                                           | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     1868000 | PA      | $1789061.12     | 0.00%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.739%/VAR 10/15/2030                                                             | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     9341000 | PA      | $8930881.25     | 0.01%             | 2030-10-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                                      | METHANEX CORP 5.25% 12/15/2029                                                                          | CUSIP: 59151KAL2<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |       90000 | PA      | $90761.13       | 0.00%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029                                                         | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10415000 | PA      | $10213724.40    | 0.01%             | 2029-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2049#SD8016                                                                          | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11898478 | PA      | $10904307.76    | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                                                          | TEGNA INC 5% 09/15/2029                                                                                 | CUSIP: 87901JAH8<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |      115000 | PA      | $114891.13      | 0.00%             | 2029-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 12/01/2032#SB0030                                                                          | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1217013 | PA      | $1196684.22     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031                                                               | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     6510000 | PA      | $7412611.50     | 0.01%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036                                                              | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     4300000 | PA      | $4683792.20     | 0.01%             | 2036-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046                                                               | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     4886000 | PA      | $5190925.49     | 0.01%             | 2046-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029                                                        | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     8376000 | PA      | $8161981.31     | 0.01%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#AS8010                                                                        | CUSIP: 3138WH3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      629425 | PA      | $612447.96      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 08/01/2031#BC2778                                                                        | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      487424 | PA      | $475151.39      | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#BC0919                                                                        | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      344111 | PA      | $335795.17      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 06/01/2031#J34501                                                                        | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      293572 | PA      | $286774.48      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 5% 04/48#784805                                                                                 | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2664748 | PA      | $2747674.04     | 0.00%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 01/01/2039#K94441                                                                          | CUSIP: 3132LQZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      117337 | PA      | $118198.33      | 0.00%             | 2039-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 06/01/2038#K94293                                                                          | CUSIP: 3132LQUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60451 | PA      | $60989.85       | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 08/01/2038#K94341                                                                          | CUSIP: 3132LQWA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      229919 | PA      | $231607.85      | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4% 09/01/2039#CA4213                                                                          | CUSIP: 3140QBVF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      617139 | PA      | $621013.54      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 06/01/2038#K94286                                                                          | CUSIP: 3132LQUK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       44866 | PA      | $45265.72       | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 08/01/2038#K94337                                                                          | CUSIP: 3132LQV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      307300 | PA      | $310036.73      | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOTHEBYS                                                                           | SOTHEBYS 7.375% 10/15/2027 144A                                                                         | CUSIP: 835898AH0<br>LEI: 549300P5BAAMQQ7VL735 | Long             | DBT              | CORP              | US        |     1575000 | PA      | $1565401.93     | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B13 MTG TR                                                          | BENCHMARK 2019-B13 A4 2.952% 08/15/2057                                                                 | CUSIP: 08162DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12263000 | PA      | $11758422.92    | 0.01%             | 2057-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2019-BROOK                                       | J P MORGAN CHASE COML MTG SECS TR 2019-BROOK TSFR1M+136.448 09/15/2029 144A                             | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2806374 | PA      | $2751065.12     | 0.00%             | 2029-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                               | SABRA HEALTH CARE LP 3.9% 10/15/2029                                                                    | CUSIP: 78572XAG6<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |     7857000 | PA      | $7738374.46     | 0.01%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2019 C-17                                            | UBS COMMERCIAL MORTGAGE TRUST 2019 C17 ASB 2.8655% 10/15/2052                                           | CUSIP: 90278MAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8362349 | PA      | $8213965.35     | 0.01%             | 2052-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                    | BANK 2019-BNK21 ASB 2.808% 10/17/2052                                                                   | CUSIP: 06540BBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4712296 | PA      | $4636252.07     | 0.00%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                    | BANK 2019-BN21 A5 2.851% 10/17/2052                                                                     | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1112000 | PA      | $1065125.75     | 0.00%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2019-NQM4                                                | NEW RESIDENTIAL MTG LN TR 2019-NQM4 3.5% 08/25/2059 144A                                                | CUSIP: 64830MAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      255098 | PA      | $246198.91      | 0.00%             | 2059-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 09/01/2034#FM1577                                                                        | CUSIP: 3140X4XF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3086252 | PA      | $3055933.01     | 0.00%             | 2034-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 10/01/2034#FM1579                                                                        | CUSIP: 3140X4XH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      155571 | PA      | $153799.59      | 0.00%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 09/01/2034#FM1578                                                                        | CUSIP: 3140X4XG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2098294 | PA      | $2074401.55     | 0.00%             | 2034-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.8% 03/01/2050         | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3644000 | PA      | $2776221.30     | 0.00%             | 2050-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ZIGGO BV                                                                           | ZIGGO BV 4.875% 01/15/2030 144A                                                                         | CUSIP: 98955DAA8<br>LEI: 213800TQASLF9JXH5J59 | Long             | DBT              | CORP              | NL        |      625000 | PA      | $588846.94      | 0.00%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.884%/VAR 10/22/2030                                                       | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $7675290.80     | 0.01%             | 2030-10-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 08/01/2039#FM1353                                                                        | CUSIP: 3140X4QF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      128362 | PA      | $130817.10      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 06/01/2039#FM1045                                                                        | CUSIP: 3140X4ET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48280 | PA      | $49202.96       | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 03/01/2039#FM1774                                                                        | CUSIP: 3140X46L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       94717 | PA      | $96528.70       | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 07/01/2034#BO1835                                                                        | CUSIP: 3140JWBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      185708 | PA      | $183883.41      | 0.00%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 08/01/2034#CA4087                                                                        | CUSIP: 3140QBRH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      700073 | PA      | $693195.09      | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 07/01/2034#CA3925                                                                        | CUSIP: 3140QBLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      547924 | PA      | $542540.87      | 0.00%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 2.879%/VAR 10/30/2030                                                            | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     9400000 | PA      | $8996798.47     | 0.01%             | 2030-10-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2049#FM1534                                                                        | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8983424 | PA      | $9026111.68     | 0.01%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GSA1                                                           | GS MTG SECS TR 2019-GSA1 A4 3.0479% 11/10/2052                                                          | CUSIP: 36261PAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $963580.10      | 0.00%             | 2052-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT III AIRCRAFT LEASE LTD                                                 | THUNDERBOLT III AIRCRAFT LEASE LTD 2019-1 A 3.671% 11/15/2039 144A                                      | CUSIP: 88607AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12470547 | PA      | $12379000.87    | 0.01%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC                                                                      | NORDSTROM INC 4.375% 04/01/2030                                                                         | CUSIP: 655664AT7<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |      405000 | PA      | $389949.75      | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                    | XCEL ENERGY INC 3.5% 12/01/2049                                                                         | CUSIP: 98389BAX8<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     4570000 | PA      | $3328743.53     | 0.00%             | 2049-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2049#CA4628                                                                          | CUSIP: 3140QCEA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1021211 | PA      | $1004645.43     | 0.00%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE                                                       | BARCLAYS COMMERCIAL MORTGAGE 2.99% 11/15/2052                                                           | CUSIP: 05492JAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1301544 | PA      | $1284132.11     | 0.00%             | 2052-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2049#MA3870                                                                        | CUSIP: 31418DJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3188765 | PA      | $2804193.95     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                                          | BENCHMARK 2019-B14 MTG TR CSTR 12/15/2062                                                               | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   111717903 | PA      | $2123600.93     | 0.00%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 3.668% 10/25/2049 144A                                                     | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    36749760 | PA      | $35950349.82    | 0.04%             | 2049-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C54                                                   | WELLS FARGO COML MTG TR 2019-C54 ASB 3.063% 12/15/2052                                                  | CUSIP: 95001YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1386855 | PA      | $1367100.25     | 0.00%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ASGN INC                                                                           | ASGN INC 4.625% 05/15/2028 144A                                                                         | CUSIP: 00191UAA0<br>LEI: LZBNYYCBUKY537072438 | Long             | DBT              | CORP              | US        |      220000 | PA      | $213332.81      | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C54                                                   | WELLS FARGO COML MTG TR 2019-C54 3.146% 12/15/2052                                                      | CUSIP: 95001YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2390000 | PA      | $2305769.23     | 0.00%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2019                                                        | JPMDB 2019-COR6 A4 3.0565% 11/13/52                                                                     | CUSIP: 48129RAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2872000 | PA      | $2653128.04     | 0.00%             | 2052-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A                                           | CUSIP: 72703PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    38139560 | PA      | $36946413.45    | 0.04%             | 2049-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2049#BO4757                                                                          | CUSIP: 3140K0JB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5114974 | PA      | $4709973.39     | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2049#FM1338                                                                        | CUSIP: 3140X4PY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3271564 | PA      | $3273819.06     | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                                 | WALT DISNEY CO/THE 6.65% 11/15/2037                                                                     | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     5862000 | PA      | $6771552.08     | 0.01%             | 2037-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                        | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                                                      | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4657581 | PA      | $4506336.52     | 0.00%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                        | BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A                                                      | CUSIP: 05492PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      858000 | PA      | $818821.32      | 0.00%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORPORATION                                                             | FAIR ISAAC CORPORATION 4% 06/15/2028 144A                                                               | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |     1130000 | PA      | $1106276.22     | 0.00%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                      | CLEARWAY ENERGY OPER LLC 4.75% 03/15/2028 144A                                                          | CUSIP: 18539UAC9<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |      140000 | PA      | $139542.96      | 0.00%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 05/01/2038#C91994                                                                          | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4989385 | PA      | $5033821.98     | 0.01%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 01/20/2048#784850                                                                          | CUSIP: 3622AAH31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1103410 | PA      | $1047122.91     | 0.00%             | 2048-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2019-OC11                                                                    | BX TR 2019-OC11 3.202% 12/09/2041 144A                                                                  | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13636000 | PA      | $13106980.47    | 0.01%             | 2041-12-09      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-NUGS                                                  | MORGAN STANLEY CAP I TR 2019-NUGS A TSFR1M+106.448 4 12/15/2021 144A                                    | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9700000 | PA      | $7435923.00     | 0.01%             | 2036-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-C7                                                      | CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7 3.102% 12/15/2072                                           | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9335374 | PA      | $8985821.19     | 0.01%             | 2072-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C18 COML MTG TR                                                         | CSAIL 2019-C18 AS COML MTG TR 3.3214% 12/15/2052                                                        | CUSIP: 12597DAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7124559 | PA      | $6831667.67     | 0.01%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2019                                                                          | BANK 2019 2.846% 12/15/2052                                                                             | CUSIP: 06541RAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2526115 | PA      | $2474991.56     | 0.00%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2019                                                 | UBS COMMERCIAL MORTGAGE TRUST 2019-C18 ASB 2.9872% 12/15/2052                                           | CUSIP: 90278PAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2976584 | PA      | $2927640.78     | 0.00%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TR 2019-OC11                                                                    | BX TR 2019-OC11 C 3.856% 12/09/2041 144A                                                                | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      800000 | PA      | $776039.76      | 0.00%             | 2041-12-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984                                                            | CUSIP: 3617M76V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       76169 | PA      | $72790.94       | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 12/49#BR8986                                                                               | CUSIP: 3617M76X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17820 | PA      | $17051.16       | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 12/20/2049#BR8987                                                                          | CUSIP: 3617M76Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       59249 | PA      | $56806.17       | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 12/20/2049#BR8985                                                                          | CUSIP: 3617M76W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      166583 | PA      | $159507.20      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 3.25% 04/16/2030                                                           | CUSIP: 91087BAH3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1247000 | PA      | $1186988.13     | 0.00%             | 2030-04-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                                                          | TEGNA INC 4.625% 03/15/2028                                                                             | CUSIP: 87901JAJ4<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |      465000 | PA      | $463683.03      | 0.00%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 3.75% 05/15/2030                                                                     | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    40278000 | PA      | $39621266.40    | 0.04%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5% 05/15/2050                                                                        | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    16985000 | PA      | $14517349.22    | 0.02%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 7.125%/VAR PERP                                                                      | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EP               | CORP              | US        |     1210000 | PA      | $1255188.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2020-1                                                   | NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A                                                   | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2631278 | PA      | $2516044.45     | 0.00%             | 2059-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP STEP 02/01/2050                                                                 | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    12800000 | PA      | $11116576.77    | 0.01%             | 2050-02-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP STEP 02/01/2030                                                                 | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    20164000 | PA      | $19918839.03    | 0.02%             | 2030-02-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 3.25% 02/15/2027 144A                                                       | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    11688000 | PA      | $11580977.19    | 0.01%             | 2027-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 02/01/2050#SD8043                                                                        | CUSIP: 3132DV5C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1439358 | PA      | $1265768.75     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN HLDGS LLLP / LADDER CAP FIN CORP                                    | LADDER CAP FIN HLDGS LLLP/CORP 4.25% 02/01/2027 144A                                                    | CUSIP: 505742AM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      420000 | PA      | $417059.33      | 0.00%             | 2027-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 2.699%/VAR 01/22/2031                                                                    | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     6227000 | PA      | $5892101.48     | 0.01%             | 2031-01-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC             | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.875% 02/15/2030 144A           | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      580000 | PA      | $575213.67      | 0.00%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                       | ALIMENTATION COUCHE-TARD INC 2.95% 01/25/2030 144A                                                      | CUSIP: 01626PAM8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     3940000 | PA      | $3771007.41     | 0.00%             | 2030-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/34#FM0045                                                                               | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      191258 | PA      | $186891.80      | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                                                | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 2.624%/VAR PERP REGS                                                | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | EP               | CORP              | SE        |     1385000 | PA      | $1233521.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIXIS COML MTG SECS TR 2020-2PAC                                                 | NATIXIS COML MTG SECS TR 2020-2PAC 2.966% 12/15/2038 144A                                               | CUSIP: 63875DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7469322 | PA      | $7280211.73     | 0.01%             | 2038-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2020-RPL1                                                | NEW RESIDENTIAL MTG LN TR 2020-RPL1 A1 VAR 11/25/2059 144A                                              | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2259892 | PA      | $2194832.85     | 0.00%             | 2059-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                   | CCO HLDGS LLC/CAP CORP 4.5% 08/15/2030 144A                                                             | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     9205000 | PA      | $8779981.22     | 0.01%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                              | OPEN TEXT CORPORATION 3.875% 02/15/2028 144A                                                            | CUSIP: 683715AC0<br>LEI: 549300UQROQS42RKHM85 | Long             | DBT              | CORP              | CA        |      420000 | PA      | $400361.85      | 0.00%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                        | APOLLO AVIATION SECURITIZATION EQUITY TRUST 3.351% 01/16/2040 144A                                      | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      730036 | PA      | $725077.88      | 0.00%             | 2040-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                        | APOLLO AVIATION SECURITIZATION EQUITY TRUST 4.335% 01/16/2040 144A                                      | CUSIP: 00255UAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      141336 | PA      | $140639.76      | 0.00%             | 2040-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                        | MATCH GROUP HLD II LLC 4.125% 08/01/2030 144A                                                           | CUSIP: 57665RAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      530000 | PA      | $503669.81      | 0.00%             | 2030-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1.85% 05/25/2033                                                         | CUSIP: 3136ADB57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     4131471 | PA      | $3933282.24     | 0.00%             | 2033-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 02/20/2050#BQ4127                                                                            | CUSIP: 3617LNSQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1343562 | PA      | $1233847.64     | 0.00%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ACCENTRO REAL ESTATE AG                                                            | ACCENTRO REAL ESTATE AG PIK VAR 12/30/2034 REGS                                                         | CUSIP: N/A<br>LEI: 391200VKLY50XNAFCM46       | Long             | DBT              | CORP              | DE        |     1443507 | PA      | $460524.82      | 0.00%             | 2034-12-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED PF HOLDINGS LLC                                                             | UNITED PLANET FITNESS TERM 1LN 12/30/2026                                                               | CUSIP: 91132UAG8<br>LEI: 2549002AF6PASVP2G486 | Long             | LON              | CORP              | US        |      632255 | PA      | $607596.66      | 0.00%             | 2026-12-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.496%/VAR 02/13/2031                                                       | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    10724000 | PA      | $10072309.28    | 0.01%             | 2031-02-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 3.5% 09/01/2030                                                                                 | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    12405000 | PA      | $12017527.22    | 0.01%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                  | POST HLDGS INC 4.625% 04/15/2030 144A                                                                   | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      520000 | PA      | $509001.48      | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARLISLE COS INC                                                                   | CARLISLE COS INC 2.75% 03/01/2030                                                                       | CUSIP: 142339AJ9<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |     6227000 | PA      | $5914331.68     | 0.01%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 12/01/2030#ZS8591                                                                          | CUSIP: 3132A9RL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      592037 | PA      | $583323.69      | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 02/20/2050#BS8922                                                                            | CUSIP: 3617MK4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2914216 | PA      | $2676243.76     | 0.00%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 02/20/2050#MA6474                                                                            | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6808 | PA      | $6264.89        | 0.00%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 07/20/2049#MA6039                                                                          | CUSIP: 36179UV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    34635147 | PA      | $33098957.09    | 0.04%             | 2049-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GC45                                                           | GS MTG SECS TR 2020-GC45 2.8428% 02/13/2053                                                             | CUSIP: 36258YBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7286553 | PA      | $7131035.61     | 0.01%             | 2053-02-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2050#MA3964                                                                        | CUSIP: 31418DMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16182722 | PA      | $14200712.08    | 0.02%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                   | FIRSTENERGY CORP 3.4% 03/01/2050                                                                        | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $4903879.96     | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                   | FIRSTENERGY CORP 2.65% 03/01/2030                                                                       | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    11794000 | PA      | $11142577.16    | 0.01%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                                                    | BANK 2020-BNK25 2.613% 01/15/2063                                                                       | CUSIP: 06539WAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2023981 | PA      | $1975612.95     | 0.00%             | 2063-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 02/35#BO9279                                                                             | CUSIP: 3140K5JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      259042 | PA      | $248500.89      | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 03/20/2050#MA6541                                                                            | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11087048 | PA      | $10199012.22    | 0.01%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 08/01/2034#FM2422                                                                          | CUSIP: 3140X5VQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3279360 | PA      | $3225377.61     | 0.00%             | 2034-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 03/01/2035#CA5427                                                                        | CUSIP: 3140QDA53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6914379 | PA      | $6633020.33     | 0.01%             | 2035-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 03/01/2035#CA5428                                                                        | CUSIP: 3140QDA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6148024 | PA      | $5897849.91     | 0.01%             | 2035-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B17 MORTGAGE TRUST                                                  | BENCHMARK 2019-B MORTGAGE TRUST 2020 2.289% 03/15/2053                                                  | CUSIP: 08162MAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14415000 | PA      | $13220214.17    | 0.01%             | 2053-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B17 MORTGAGE TRUST                                                  | BENCHMARK 2020-B17 MORTGAGE TRUST CSTR 03/15/2053                                                       | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    23441008 | PA      | $941829.21      | 0.00%             | 2053-03-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 03/20/2047#784299                                                                            | CUSIP: 3622A2X49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      724788 | PA      | $712367.47      | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2020-GC46                                                    | CITIGROUP COML MTG TR 2020-GC46 2.614% 02/15/2053                                                       | CUSIP: 17328RBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      887332 | PA      | $865743.27      | 0.00%             | 2053-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-IG1 MTG TR                                                          | BENCHMARK 2020-IG1 MTG TR 2.7018% 09/15/2043                                                            | CUSIP: 08162LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      965194 | PA      | $919322.78      | 0.00%             | 2043-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2020-C55                                                   | WELLS FARGO COML MTG TR 2020-C55 2.651% 02/15/2053                                                      | CUSIP: 95002EAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |      675769 | PA      | $659620.66      | 0.00%             | 2053-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 01/01/2035#CA5039                                                                          | CUSIP: 3140QCS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      227569 | PA      | $223155.91      | 0.00%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                | ALEXANDRIA REAL EST EQUITS INC 4.9% 12/15/2030                                                          | CUSIP: 015271AU3<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     7224000 | PA      | $7371111.49     | 0.01%             | 2030-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 4.478%/VAR 04/04/2031                                                            | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    19300000 | PA      | $19499318.43    | 0.02%             | 2031-04-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 3.75% 04/01/2040                                                                           | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $843587.92      | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.412%/VAR 03/31/2031                                                                     | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    40428000 | PA      | $40638729.33    | 0.04%             | 2031-03-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.95% 03/31/2030                                                                      | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      262000 | PA      | $270065.30      | 0.00%             | 2030-03-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                             | OREILLY AUTOMOTIVE INC 4.2% 04/01/2030                                                                  | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |      193000 | PA      | $193797.34      | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                           | CSX CORP 3.8% 04/15/2050                                                                                | CUSIP: 126408HS5<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |       78000 | PA      | $60367.52       | 0.00%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                       | AUTOZONE INC 4% 04/15/2030                                                                              | CUSIP: 053332AZ5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    19121000 | PA      | $19038306.07    | 0.02%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 3.622%/VAR 04/01/2031                                                                    | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    47370000 | PA      | $46318064.36    | 0.05%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.194%/VAR 04/01/2031 144A                                                                 | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    43154000 | PA      | $43030834.17    | 0.05%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                                                    | BANK 2020-BNK26 2.313% 03/15/2063                                                                       | CUSIP: 06540JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18262875 | PA      | $17761442.16    | 0.02%             | 2063-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                                                    | BANK 2020-BNK26 2.155% 03/15/2063                                                                       | CUSIP: 06540JBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6000000 | PA      | $5620765.20     | 0.01%             | 2063-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B17 MORTGAGE TRUST                                                  | BENCHMARK 2019-B MORTGAGE TRUST 2020 2.0422% 03/15/2053                                                 | CUSIP: 08162MAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6600000 | PA      | $6102936.84     | 0.01%             | 2053-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AFLAC INC                                                                          | AFLAC INC 3.6% 04/01/2030                                                                               | CUSIP: 001055BJ0<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |      387000 | PA      | $381163.68      | 0.00%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 4.05% 04/15/2030                                                                            | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     4724000 | PA      | $4709877.51     | 0.01%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 3.6% 04/01/2040                                                                             | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      290000 | PA      | $219151.67      | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 4.7% 04/02/2027                                                                        | CUSIP: 05526DBP9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     2181000 | PA      | $2195787.51     | 0.00%             | 2027-04-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030                                                            | CUSIP: 92277GAV9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    16500000 | PA      | $16858524.05    | 0.02%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOLLAR GEN CORP NEW                                                                | DOLLAR GEN CORP NEW 3.5% 04/03/2030                                                                     | CUSIP: 256677AG0<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |     6956000 | PA      | $6767892.16     | 0.01%             | 2030-04-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 3.7% 04/30/2030                                                                        | CUSIP: 842587DE4<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     9229000 | PA      | $9088799.86     | 0.01%             | 2030-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2050#RA2457                                                                          | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2715054 | PA      | $2499228.94     | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                    | BAE SYSTEMS PLC 3.4% 04/15/2030 144A                                                                    | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    11997000 | PA      | $11718783.21    | 0.01%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 3.6% 05/01/2030                                                                            | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    21588000 | PA      | $21176301.51    | 0.02%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL 2020-C19 COMMERCIAL MORTGAGE TRUST                                           | CSAIL 2020-C19 COMMERCIAL MORTGAGE TRUST 2.5501% 03/15/2053                                             | CUSIP: 12597NAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5521890 | PA      | $5351297.35     | 0.01%             | 2053-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2040#MA4016                                                                        | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1705530 | PA      | $1581384.20     | 0.00%             | 2040-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.8% 04/01/2031         | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    25100000 | PA      | $22816364.10    | 0.02%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYT MORTGAGE TRUST 2019                                                            | NYT MORTGAGE TRUST 2019 TSFR1M+124.7 12/15/2035 144A                                                    | CUSIP: 62954PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20822000 | PA      | $20587752.50    | 0.02%             | 2035-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DPL INC                                                                            | DPL INC 4.35% 04/15/2029                                                                                | CUSIP: 233293AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7785000 | PA      | $7667761.01     | 0.01%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.522%/VAR 04/22/2031                                                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     4724000 | PA      | $4432707.11     | 0.00%             | 2031-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 04/01/2035#FM2926                                                                          | CUSIP: 3140X6HC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2796208 | PA      | $2732375.10     | 0.00%             | 2035-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 12/01/2034#FM2927                                                                        | CUSIP: 3140X6HD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2487320 | PA      | $2474611.25     | 0.00%             | 2034-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.592%/VAR 04/29/2031                                                       | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    15184000 | PA      | $14276785.91    | 0.02%             | 2031-04-29      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                           | CONSTELLATION BRANDS INC 2.875% 05/01/2030                                                              | CUSIP: 21036PBF4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     5370000 | PA      | $5104109.07     | 0.01%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 3.068%/VAR 04/30/2041                                                            | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     7784000 | PA      | $6076851.73     | 0.01%             | 2041-04-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                       | ENTEGRIS INC 4.375% 04/15/2028 144A                                                                     | CUSIP: 29362UAC8<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |     1255000 | PA      | $1244270.50     | 0.00%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                           | LIBERTY MUTUAL GROUP INC 3.95% 05/15/2060 144A                                                          | CUSIP: 53079EBK9<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    12820000 | PA      | $9089062.58     | 0.01%             | 2060-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 06/01/2040#MA4054                                                                        | CUSIP: 31418DQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3147368 | PA      | $2915816.90     | 0.00%             | 2040-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.15% 05/01/2030                                                                              | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    55693000 | PA      | $57683447.21    | 0.06%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.04% 05/01/2027                                                                              | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    19675000 | PA      | $19881877.71    | 0.02%             | 2027-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.805% 05/01/2050                                                                             | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     9895000 | PA      | $9934976.69     | 0.01%             | 2050-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                                | ELEVANCE HEALTH INC 2.25% 05/15/2030                                                                    | CUSIP: 036752AN3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     5433000 | PA      | $5031362.98     | 0.01%             | 2030-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TR V                                                      | WILLIS ENGINE STRUCTURED TR V 3.228% 03/15/2045 144A                                                    | CUSIP: 97064FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2198099 | PA      | $2143197.62     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 4.25% 12/15/2027                                                                           | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     9890000 | PA      | $9830111.11     | 0.01%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 3.375% 02/15/2030                                                                          | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    11183000 | PA      | $10369928.35    | 0.01%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.956%/VAR 05/13/2031                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    11536000 | PA      | $10977300.45    | 0.01%             | 2031-05-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 3.65% 05/11/2027                                                                   | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    21700000 | PA      | $21623590.18    | 0.02%             | 2027-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 4.625% 12/15/2029                                                                          | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    14457000 | PA      | $14106653.25    | 0.02%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                           | LAMB WESTON HOLDINGS INC 4.875% 05/15/2028 144A                                                         | CUSIP: 513272AC8<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |      415000 | PA      | $415065.57      | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP IND                                                          | LINCOLN NATIONAL CORP IND 3.4% 01/15/2031                                                               | CUSIP: 534187BK4<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |    14811000 | PA      | $13935138.04    | 0.01%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2049#QA4396                                                                        | CUSIP: 31339U3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      263154 | PA      | $231416.85      | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 03/01/2040#MA3965                                                                        | CUSIP: 31418DMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      131393 | PA      | $122018.40      | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 3.5% 11/15/2030                                                                        | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    18113000 | PA      | $17550880.43    | 0.02%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 2.45% 06/01/2030                                                                   | CUSIP: 26441CBH7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     5890000 | PA      | $5519895.49     | 0.01%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 3.95% 07/15/2030 144A                                                                          | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    21858000 | PA      | $21479634.96    | 0.02%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                                 | AUTONATION INC DEL 4.75% 06/01/2030                                                                     | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1430000 | PA      | $1450589.10     | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 3.073%/VAR 05/22/2028                                                                 | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     9914000 | PA      | $9813050.89     | 0.01%             | 2028-05-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II                                                             | FIVE CORNERS FND TR II 2.85% 05/15/2030 144A                                                            | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    21030000 | PA      | $19946368.68    | 0.02%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 2.75% 06/01/2031                                                                           | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     7200000 | PA      | $6708690.14     | 0.01%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TELEFLEX INC                                                                       | TELEFLEX INC 4.25% 06/01/2028 144A                                                                      | CUSIP: 879369AG1<br>LEI: UUL85LWXB4NGSWWXIQ25 | Long             | DBT              | CORP              | US        |      845000 | PA      | $832189.80      | 0.00%             | 2028-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                         | DAVITA INC 4.625% 06/01/2030 144A                                                                       | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      655000 | PA      | $641196.86      | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 2.848%/VAR 06/04/2031                                                                 | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     6103000 | PA      | $5763114.04     | 0.01%             | 2031-06-04      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA FINANCE PLC                                                           | VIRGIN MEDIA FINANCE PLC 5% 07/15/2030 144A                                                             | CUSIP: 92769VAJ8<br>LEI: 2138001LVYC87DDHT482 | Long             | DBT              | CORP              | GB        |      101000 | PA      | $84022.00       | 0.00%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                | AMERICAN TOWER CORP 2.1% 06/15/2030                                                                     | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     3550000 | PA      | $3259544.72     | 0.00%             | 2030-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS LLC / AXALTA COATING SYSTEMS DUTCH HOLDING B BV             | AXALTA COAT/DUTCH HLD BV 4.75% 06/15/2027 144A                                                          | CUSIP: 05454NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      825000 | PA      | $823582.07      | 0.00%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                              | TENET HEALTHCARE CORP 4.625% 06/15/2028                                                                 | CUSIP: 88033GDH0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     2785000 | PA      | $2781185.66     | 0.00%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 06/20/2050#MA6710                                                                            | CUSIP: 36179VN30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      185148 | PA      | $170144.44      | 0.00%             | 2050-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                   | FIRSTENERGY CORP 2.25% 09/01/2030                                                                       | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     5756000 | PA      | $5289219.83     | 0.01%             | 2030-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                                | SIRIUS XM RADIO INC 4.125% 07/01/2030 144A                                                              | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $9425803.00     | 0.01%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030                                                       | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    10487000 | PA      | $10393058.82    | 0.01%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 3.8% 09/15/2030                                                          | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10658000 | PA      | $10458175.61    | 0.01%             | 2030-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                                                               | BWX TECHNOLOGIES INC 4.125% 06/30/2028 144A                                                             | CUSIP: 05605HAB6<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |      780000 | PA      | $772516.60      | 0.00%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                         | VOLKSWAGEN INTL FINANCE NV 3.875%/VAR PERP REGS                                                         | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |     1500000 | PA      | $1762931.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 06/01/2050#SD7518                                                                          | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5442391 | PA      | $5009764.76     | 0.01%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2050#CA5122                                                                          | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4785305 | PA      | $4406407.82     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2020-C56                                                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C56 ASB 2.422% 06/15/2053                                    | CUSIP: 95002RAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1882435 | PA      | $1823318.13     | 0.00%             | 2053-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                      | PG and E CORP 5% 07/01/2028                                                                             | CUSIP: 69331CAH1<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |      420000 | PA      | $418889.77      | 0.00%             | 2028-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITED CO                                                       | PERRIGO FINANCE UNLIMITED CO STEP 06/15/2030                                                            | CUSIP: 71429MAC9<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |     6476000 | PA      | $6266379.65     | 0.01%             | 2030-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC/NJ                                                         | STANDARD INDUSTRIES INC/NJ 4.375% 07/15/2030 144A                                                       | CUSIP: 853496AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      435000 | PA      | $419661.86      | 0.00%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 07/01/2050#RA2958                                                                          | CUSIP: 3133KJJB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      404546 | PA      | $340685.19      | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 2.95% 07/15/2030                                                            | CUSIP: 136385BA8<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     8571000 | PA      | $8192161.80     | 0.01%             | 2030-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2050#CA6312                                                                          | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4945333 | PA      | $4549128.31     | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2035#MA4013                                                                        | CUSIP: 31418DN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17799676 | PA      | $17053125.49    | 0.02%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 06/01/2050#RA2677                                                                          | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17849698 | PA      | $15031980.14    | 0.02%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 02/01/2035#CA5291                                                                        | CUSIP: 3140QC2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3073288 | PA      | $3035413.15     | 0.00%             | 2035-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 07/01/2050#RA2976                                                                        | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10919173 | PA      | $9643246.73     | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 05/50#FM3269                                                                               | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      717030 | PA      | $660256.20      | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020                                    | JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020 2.1798% 05/13/2053                                      | CUSIP: 46652JAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3450000 | PA      | $3036138.69     | 0.00%             | 2053-05-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SSE PLC                                                                            | SSE PLC 3.74%/VAR PERP REGS                                                                             | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |     1135000 | PA      | $1527301.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 5.75%/VAR 07/15/2080                                                                       | CUSIP: 29250NBC8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | EP               | CORP              | CA        |     3553000 | PA      | $3616104.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                       | SBA TOWER TR 2.328% 07/15/2052 144A                                                                     | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3269000 | PA      | $3158702.96     | 0.00%             | 2052-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                                                | AVANTOR FUNDING INC 4.625% 07/15/2028 144A                                                              | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |     1515000 | PA      | $1501189.35     | 0.00%             | 2028-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.99% 07/15/2060 144A                                                           | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9859123 | PA      | $8043121.05     | 0.01%             | 2060-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.69% 07/15/2060 144A                                                           | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    27830061 | PA      | $23584342.77    | 0.03%             | 2060-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2020-C7                                                               | BBCMS MTG TR 2020-C7 2.037% 04/15/2053                                                                  | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3222000 | PA      | $2949613.41     | 0.00%             | 2053-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2020-VIV2                                                           | BX COML MTG TR 2020-VIV2 3.66045% 03/09/2044 144A                                                       | CUSIP: 05605NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5286000 | PA      | $5020628.00     | 0.01%             | 2044-03-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 08/01/2050#MA4100                                                                          | CUSIP: 31418DRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2436709 | PA      | $2041394.52     | 0.00%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/01/2048#CA1495                                                                        | CUSIP: 3140Q8UV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      104881 | PA      | $100209.84      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 08/01/2038#ZA2519                                                                        | CUSIP: 31329KYQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       84280 | PA      | $83239.47       | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                          | CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029                                                             | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    11796000 | PA      | $11232091.39    | 0.01%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                                            | UDR INC 2.1% 08/01/2032                                                                                 | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     4480000 | PA      | $3898822.86     | 0.00%             | 2032-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 04/01/2034#SB0378                                                                        | CUSIP: 3132CWM35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3196163 | PA      | $3169757.77     | 0.00%             | 2034-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 08/01/2050#RA3205                                                                          | CUSIP: 3133KJR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1910015 | PA      | $1608504.16     | 0.00%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 1.898%/VAR 07/23/2031                                                       | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     6975000 | PA      | $6333782.74     | 0.01%             | 2031-07-23      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2035#MA4042                                                                          | CUSIP: 31418DP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    33168582 | PA      | $31162453.29    | 0.03%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TRUST                                                  | BENCHMARK 2020-B18 MORTGAGE TRUST CSTR 07/15/2053                                                       | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15528278 | PA      | $806549.61      | 0.00%             | 2053-07-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TRUST                                                  | BENCHMARK 2020-B18 A5 MORTGAGE TRUST 1.925% 07/15/2053                                                  | CUSIP: 08163AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      775000 | PA      | $697802.17      | 0.00%             | 2053-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-GC41                                                    | CITIGROUP COML MTG TR 2019-GC41 CSTR 08/10/2056                                                         | CUSIP: 17328FBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18561698 | PA      | $525505.79      | 0.00%             | 2056-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 1.65% 02/01/2028                                                                           | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     2253000 | PA      | $2160525.98     | 0.00%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 2.25% 02/01/2032                                                                           | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     8095000 | PA      | $7229652.35     | 0.01%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW MTG LN TR 2020-1                                                         | OCEANVIEW MTG LN TR 2020-1 1.73291% 05/28/2050 144A                                                     | CUSIP: 676477AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       24473 | PA      | $23338.86       | 0.00%             | 2050-05-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                                                           | SENSATA TECHNOLOGIES INC 3.75% 02/15/2031 144A                                                          | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |      690000 | PA      | $650501.85      | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRIME SEC SVCS BORROWER LLC / PRIME FIN INC                                        | PRIME SEC SVCS BORROWER LLC / PRIME FIN INC 3.375% 08/31/2027 144A                                      | CUSIP: 74166MAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      635000 | PA      | $624925.60      | 0.00%             | 2027-08-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 4.15% 11/15/2030                                                                           | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1729414.74     | 0.00%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WYNDHAM HOTELS and RESORTS INC                                                     | WYNDHAM HOTELS and RESORTS INC 4.375% 08/15/2028 144A                                                   | CUSIP: 98311AAB1<br>LEI: 549300FE3MQ4RVXXC673 | Long             | DBT              | CORP              | US        |      850000 | PA      | $843993.31      | 0.00%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                          | BALL CORP 2.875% 08/15/2030                                                                             | CUSIP: 058498AW6<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |      965000 | PA      | $897508.00      | 0.00%             | 2030-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | FIDELITY SAI SHORT-TERM BOND FUND                                                                       | CUSIP: 31635T674<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |    63606848 | NS      | $621438900.60   | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 2.357%/VAR 08/18/2031                                                                 | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    15444000 | PA      | $14215205.71    | 0.02%             | 2031-08-18      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 07/01/2038#MA3412                                                                        | CUSIP: 31418CYJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13982 | PA      | $13809.49       | 0.00%             | 2038-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2050#MA4158                                                                          | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1360473 | PA      | $1138908.96     | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC             | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 3.5% 03/15/2029 144A             | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1415000 | PA      | $1364374.41     | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 4.125% 08/17/2027                                                              | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    19335000 | PA      | $19262133.15    | 0.02%             | 2027-08-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 1.7% 02/15/2031                                                                            | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     3114000 | PA      | $2760575.57     | 0.00%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                               | LXP INDUSTRIAL TRUST 2.7% 09/15/2030                                                                    | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |     1445000 | PA      | $1339985.94     | 0.00%             | 2030-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                                              | ON SEMICONDUCTOR CORP 3.875% 09/01/2028 144A                                                            | CUSIP: 682189AQ8<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |      500000 | PA      | $489454.30      | 0.00%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                            | KITE RLTY GROUP TRUST 4.75% 09/15/2030                                                                  | CUSIP: 76131VAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    20325000 | PA      | $20721819.20    | 0.02%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2050#FM4050                                                                          | CUSIP: 3140X7QC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4337597 | PA      | $3986015.85     | 0.00%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                            | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 1.4% 08/27/2027 144A                                            | CUSIP: 29449WAB3<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1661827.09     | 0.00%             | 2027-08-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 09/01/2050#MA4119                                                                          | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2577819 | PA      | $2159611.62     | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINL ISSUANCE TR 2020-2                                                    | ONEMAIN FINL ISSUANCE TR 2020-2 1.75% 09/14/2035 144A                                                   | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    26705591 | PA      | $26338950.20    | 0.03%             | 2035-09-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS and FRAGRANCES INC                                           | INTERNATIONAL FLAVS and FRAG INC 1.832% 10/15/2027 144A                                                 | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     1819000 | PA      | $1756051.23     | 0.00%             | 2027-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS and FRAGRANCES INC                                           | INTERNATIONAL FLAVS and FRAG INC 2.3% 11/01/2030 144A                                                   | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     2599000 | PA      | $2370087.44     | 0.00%             | 2030-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| YUM BRANDS INC                                                                     | YUM BRANDS INC 3.625% 03/15/2031                                                                        | CUSIP: 988498AN1<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     3568000 | PA      | $3387038.89     | 0.00%             | 2031-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROCKET MORTGAGE LLC / ROCKET MORTGAGE CO-ISSUER INC                                | ROCKET MORTGAGE LLC / ROCKET MORTGAGE CO-ISSUER INC 3.625% 03/01/2029 144A                              | CUSIP: 74841CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1055000 | PA      | $1016461.80     | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS                                                                   | SMITHFIELD FOODS 3% 10/15/2030 144A                                                                     | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |     1317000 | PA      | $1227135.33     | 0.00%             | 2030-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2.25% 03/15/2026                                                             | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     3486000 | PA      | $3483427.30     | 0.00%             | 2026-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFECORP                                                                   | PACIFIC LIFECORP 3.35% 09/15/2050 144A                                                                  | CUSIP: 694476AE2<br>LEI: VFN8KLUEIK7XMVX1JM30 | Long             | DBT              | CORP              | US        |     7037000 | PA      | $4912182.28     | 0.01%             | 2050-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                                         | VMED O2 UK FINANCING I PLC 4.25% 01/31/2031 144A                                                        | CUSIP: 92858RAA8<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      575000 | PA      | $506951.80      | 0.00%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2050#SD8090                                                                          | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    54535781 | PA      | $45688277.93    | 0.05%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 01/01/2040#MA3889                                                                        | CUSIP: 31418DKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      191046 | PA      | $177365.50      | 0.00%             | 2040-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOLOGIC INC                                                                        | HOLOGIC INC 3.25% 02/15/2029 144A                                                                       | CUSIP: 436440AP6<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |      945000 | PA      | $940097.34      | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EMPOWER FINANCE 2020 LP                                                            | EMPOWER FINANCE 2020 LP 3.075% 09/17/2051 144A                                                          | CUSIP: 29248HAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3522000 | PA      | $2353545.96     | 0.00%             | 2051-09-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EMPOWER FINANCE 2020 LP                                                            | EMPOWER FINANCE 2020 LP 1.357% 09/17/2027 144A                                                          | CUSIP: 29248HAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1474000 | PA      | $1417591.36     | 0.00%             | 2027-09-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CABLEVISION LIGHTPATH LLC                                                          | CABLEVISION LIGHTPATH LLC 5.625% 09/15/2028 144A                                                        | CUSIP: 12687GAB5<br>LEI: 5493002ZVBLRLGES1R71 | Long             | DBT              | CORP              | US        |      580000 | PA      | $579571.41      | 0.00%             | 2028-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CABLEVISION LIGHTPATH LLC                                                          | CABLEVISION LIGHTPATH LLC 3.875% 09/15/2027 144A                                                        | CUSIP: 12687GAA7<br>LEI: 5493002ZVBLRLGES1R71 | Long             | DBT              | CORP              | US        |      685000 | PA      | $684459.61      | 0.00%             | 2027-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BATH and BODY WORKS INC                                                            | BATH and BODY WORKS INC 6.625% 10/01/2030 144A                                                          | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |      710000 | PA      | $727204.72      | 0.00%             | 2030-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                               | 1011778 BC ULC/NEW RED FIN INC 4% 10/15/2030 144A                                                       | CUSIP: 68245XAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     1325000 | PA      | $1272406.51     | 0.00%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B19 MTG TR                                                          | BENCHMARK 2020-B19 A5 1.85% 09/15/2053                                                                  | CUSIP: 08162WBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7500000 | PA      | $6779143.50     | 0.01%             | 2053-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                                      | METHANEX CORP 5.125% 10/15/2027                                                                         | CUSIP: 59151KAM0<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |      820000 | PA      | $823211.52      | 0.00%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                           | DUQUESNE LIGHT HLDGS INC 2.532% 10/01/2030 144A                                                         | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     7005000 | PA      | $6484141.33     | 0.01%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 11/01/2040#                                                                                | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    44460729 | PA      | $39985094.25    | 0.04%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 09/01/2050#FM4342                                                                        | CUSIP: 3140X7ZG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    27750978 | PA      | $24568928.55    | 0.03%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2049#FM4216                                                                        | CUSIP: 3140X7VJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1502355 | PA      | $1434503.55     | 0.00%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                              | NORFOLK SOUTHERN CORP 3.155% 05/15/2055                                                                 | CUSIP: 655844CH9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1313981.12     | 0.00%             | 2055-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS INC                                                             | ADVANCE AUTO PARTS INC 1.75% 10/01/2027                                                                 | CUSIP: 00751YAF3<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     3120000 | PA      | $2979471.77     | 0.00%             | 2027-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINANCE CO LLC                                                 | BLACKSTONE HOLDINGS FINANCE CO LLC 2.8% 09/30/2050 144A                                                 | CUSIP: 09261BAB6<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     1245000 | PA      | $766898.71      | 0.00%             | 2050-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 2.726% 03/25/2031                                                                      | CUSIP: 05526DBS3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     9590000 | PA      | $8942741.36     | 0.01%             | 2031-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 2.259% 03/25/2028                                                                      | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     7192000 | PA      | $6957015.57     | 0.01%             | 2028-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                      | BAT INTL FINANCE PLC 1.668% 03/25/2026                                                                  | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |     4276000 | PA      | $4269402.99     | 0.00%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 3% 10/15/2030                                                                              | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     9668000 | PA      | $8707067.51     | 0.01%             | 2030-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 1.904%/VAR 09/30/2028 144A                                                                  | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     7317000 | PA      | $7072965.83     | 0.01%             | 2028-09-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2049#SD7507                                                                          | CUSIP: 3132DVKU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9522981 | PA      | $8789788.77     | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 08/01/2050#SD7524                                                                          | CUSIP: 3132DVLD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17464885 | PA      | $16087483.38    | 0.02%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL4 TR                                                                  | CSMC 2020-RPL4 TR 2% 01/25/2060 144A                                                                    | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      186028 | PA      | $170650.61      | 0.00%             | 2060-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                                                           | ACADIA HEALTHCARE CO INC 5% 04/15/2029 144A                                                             | CUSIP: 00404AAP4<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |      700000 | PA      | $685616.68      | 0.00%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2050#CA7229                                                                        | CUSIP: 3140QFA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9115667 | PA      | $8070424.68     | 0.01%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER                             | ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 4.25% 10/15/2027 144A                            | CUSIP: 01883LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1320000 | PA      | $1303579.73     | 0.00%             | 2027-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                       | WP CAREY INC 2.4% 02/01/2031                                                                            | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     3511000 | PA      | $3203784.09     | 0.00%             | 2031-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031                                                        | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    11878000 | PA      | $11209330.48    | 0.01%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 3% 10/15/2050                                                                             | CUSIP: 548661DZ7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     7286000 | PA      | $4731085.41     | 0.01%             | 2050-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2020-2                                                   | RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A                                                | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1632715 | PA      | $1550168.32     | 0.00%             | 2050-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B19 MTG TR                                                          | BENCHMARK 2020-B19 A5 2.351% 09/15/2053                                                                 | CUSIP: 08162WBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1100000 | PA      | $876339.64      | 0.00%             | 2053-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                          | MILLICOM INTL CELLULAR SA 4.5% 04/27/2031 144A                                                          | CUSIP: 600814AR8<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |     6466000 | PA      | $6016900.09     | 0.01%             | 2031-04-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A                                                | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14678994 | PA      | $12752757.69    | 0.01%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020 2.453% 10/10/2042 144A                                               | CUSIP: 92858TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      470000 | PA      | $390709.36      | 0.00%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020-LAB X CSTR 10/10/2042 144A                                           | CUSIP: 92858TAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    58746457 | PA      | $994718.51      | 0.00%             | 2042-10-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 7.69% 01/23/2050                                                                    | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    75606000 | PA      | $68665369.20    | 0.07%             | 2050-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.95% 01/28/2060                                                                    | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    32166000 | PA      | $26480177.01    | 0.03%             | 2060-01-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 5.95% 01/28/2031                                                                    | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    17450000 | PA      | $17083550.00    | 0.02%             | 2031-01-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2020-RPL2                                                 | BRAVO RESIDENTIAL FDG TR 2020-RPL2 2% 05/25/2059 144A                                                   | CUSIP: 10569BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      571459 | PA      | $541460.86      | 0.00%             | 2059-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 3.625% 02/01/2031                                                                             | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    14000000 | PA      | $13598787.44    | 0.01%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 3.25% 02/01/2028                                                                              | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     4359000 | PA      | $4306839.38     | 0.00%             | 2028-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2050#MA4208                                                                          | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10874986 | PA      | $9103907.51     | 0.01%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                              | MOLINA HEALTHCARE INC 3.875% 11/15/2030 144A                                                            | CUSIP: 60855RAK6<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1275298.50     | 0.00%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS LLC                                                         | AXALTA COATING SYSTEMS LLC 3.375% 02/15/2029 144A                                                       | CUSIP: 05453GAC9<br>LEI: 549300G80QONCHILSF69 | Long             | DBT              | CORP              | US        |      435000 | PA      | $419587.25      | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 1.794%/VAR 02/13/2032                                                                    | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     7317000 | PA      | $6478378.00     | 0.01%             | 2032-02-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 4% 11/13/2030                                                                  | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    16400000 | PA      | $15717032.66    | 0.02%             | 2030-11-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC                                                           | ALLISON TRANSMISSION INC 3.75% 01/30/2031 144A                                                          | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |      900000 | PA      | $856131.06      | 0.00%             | 2031-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 07/01/2036#MA2672                                                                          | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      392817 | PA      | $380199.96      | 0.00%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 3% 11/20/2060                                                                | CUSIP: 92343VFV1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     5215000 | PA      | $3111724.43     | 0.00%             | 2060-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2020-C8                                                               | BBCMS MTG TR 2020-C8 1.867% 10/15/2053                                                                  | CUSIP: 05552AAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1320007 | PA      | $1266741.70     | 0.00%             | 2053-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO/THE                                                                    | CHEMOURS CO/THE 5.75% 11/15/2028 144A                                                                   | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |     1015000 | PA      | $1020901.21     | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 12/01/2035#MA4206                                                                          | CUSIP: 31418DU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    38710578 | PA      | $36187798.30    | 0.04%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                  | STORE CAPITAL LLC 2.75% 11/18/2030                                                                      | CUSIP: 862121AC4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     3456000 | PA      | $3178785.98     | 0.00%             | 2030-11-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                   | HILTON DOMESTIC OPERATING CO INC 4% 05/01/2031 144A                                                     | CUSIP: 432833AL5<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     1370000 | PA      | $1315475.64     | 0.00%             | 2031-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG ENERGY INC 3.625% 02/15/2031 144A                                                                   | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     1080000 | PA      | $1019440.62     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 11/20/2050#MA6994                                                                            | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    43329597 | PA      | $36730768.22    | 0.04%             | 2050-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 10/20/2050#MA6930                                                                            | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   138047712 | PA      | $116998017.62   | 0.13%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MOBICO GROUP PLC                                                                   | MOBICO GROUP PLC 4.25%/VAR PERP REGS                                                                    | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | EP               | CORP              | GB        |      670000 | PA      | $658005.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.3% 02/01/2032         | CUSIP: 161175BX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    16509000 | PA      | $14403264.67    | 0.02%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 12/01/2040#MA4204                                                                          | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3595314 | PA      | $3231493.32     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.47% 09/25/2027                                                         | CUSIP: 3137F72B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    19600000 | PA      | $18960579.40    | 0.02%             | 2027-09-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                 | BANCO SANTANDER SA 2.749% 12/03/2030                                                                    | CUSIP: 05971KAG4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    10800000 | PA      | $9924671.02     | 0.01%             | 2030-12-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2050#MA4182                                                                          | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2788024 | PA      | $2333971.96     | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GRAND CITY PROPERTIES SA                                                           | GRAND CITY PROPERTIES SA 1.5%/VAR PERP REGS                                                             | CUSIP: N/A<br>LEI: 5299002QLUYKK2WBMB18       | Long             | EP               | CORP              | LU        |     1500000 | PA      | $1763641.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2050#SD7530                                                                        | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8588230 | PA      | $7584678.61     | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 12/20/2050#MA7051                                                                            | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    59051622 | PA      | $50044584.81    | 0.05%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 4.1% 06/15/2030                                                                        | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     7982000 | PA      | $7878348.46     | 0.01%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2051#MA4237                                                                          | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    34965847 | PA      | $29282306.24    | 0.03%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.125% 01/01/2031                                                             | CUSIP: 674599EF8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    30000000 | PA      | $32247270.00    | 0.03%             | 2031-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                                | SCHWAB CHARLES CORP 4%/VAR PERP                                                                         | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | EP               | CORP              | US        |     1030000 | PA      | $973084.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                | CARRIER GLOBAL CORP 2.7% 02/15/2031                                                                     | CUSIP: 14448CAL8<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     6352000 | PA      | $5951502.59     | 0.01%             | 2031-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENFRAGEN ENERGIA SUR SA                                                            | ENFRAGEN ENERGIA SUR SA 5.375% 12/30/2030 144A                                                          | CUSIP: 29280LAA1<br>LEI: 2549002TO75PYMY3VY07 | Long             | DBT              | CORP              | ES        |      995000 | PA      | $935300.00      | 0.00%             | 2030-12-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2049#SD7509                                                                          | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11199326 | PA      | $10323069.42    | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2050#MA4077                                                                          | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    38722172 | PA      | $32440157.82    | 0.03%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2050#SD8106                                                                          | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    86479421 | PA      | $72395555.67    | 0.08%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                              | TRANSCONTINENTAL GAS LINE LLC 3.25% 05/15/2030                                                          | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      279000 | PA      | $269962.38      | 0.00%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 11/01/2035#SB8073                                                                        | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6260614 | PA      | $5740561.64     | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 01/01/2036#SB8083                                                                        | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15686805 | PA      | $14349429.26    | 0.02%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 12/01/2035#FM4701                                                                        | CUSIP: 3140X8GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      299402 | PA      | $274531.06      | 0.00%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 12/01/2035#MA4205                                                                        | CUSIP: 31418DU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8430802 | PA      | $7730478.12     | 0.01%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 12/01/2035#SB8078                                                                        | CUSIP: 3132D56P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9548552 | PA      | $8755379.49     | 0.01%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2020-VIV4                                                           | BX COMMERCIAL MORTGAGE TRUST 2020-VIV4 2.843% 03/09/2044 144A                                           | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11697000 | PA      | $11001779.45    | 0.01%             | 2044-03-09      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                       | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 12/31/2030 144A                         | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      430000 | PA      | $435762.43      | 0.00%             | 2030-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B21 MTG TR                                                          | BENCHMARK 2020-B21 AAB MTG TR 1.7975% 12/17/2053                                                        | CUSIP: 08163LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9886676 | PA      | $9496914.09     | 0.01%             | 2053-12-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 02/01/2041#                                                                                | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30156 | PA      | $27072.79       | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| Fidelity Summer Street Trust                                                       | FIDELITY SAI HIGH INCOME FUND                                                                           | CUSIP: 31641Q110<br>LEI: P1TJ3M056NR1SYX5LY49 | Long             | EC               | RF                | US        |    69964472 | NS      | $667461058.46   | 0.72%             |  |  |  | No            |                  1 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                         | HILCORP ENERGY I LP/FIN CO 6% 02/01/2031 144A                                                           | CUSIP: 431318AV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      170000 | PA      | $165591.48      | 0.00%             | 2031-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 3.729%/VAR 01/14/2032                                                    | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $9514132.70     | 0.01%             | 2032-01-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CROWDSTRIKE HOLDINGS INC                                                           | CROWDSTRIKE HOLDINGS INC 3% 02/15/2029                                                                  | CUSIP: 22788CAA3<br>LEI: 549300YBY08K9KM4HX32 | Long             | DBT              | CORP              | US        |      655000 | PA      | $621996.84      | 0.00%             | 2029-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                            | BPCE SA 2.277%/VAR 01/20/2032 144A                                                                      | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     7519000 | PA      | $6771266.50     | 0.01%             | 2032-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COML MTG SE 2021                                                   | JP MORGAN CHASE COML MTG SE 2021 1.97387% 01/05/2040 144A                                               | CUSIP: 46592FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12100000 | PA      | $11230406.88    | 0.01%             | 2040-01-05      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                             | LOGICOR FINANCING SARL 0.875% 01/14/2031 REGS                                                           | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |      600000 | PA      | $631178.12      | 0.00%             | 2031-01-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                              | CPI PROPERTY GROUP SA 3.75%/VAR PERP REGS                                                               | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | EP               | CORP              | LU        |      650000 | PA      | $705206.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                              | CPI PROPERTY GROUP SA 1.5% 01/27/2031 REGS                                                              | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | DBT              | CORP              | LU        |      400000 | PA      | $391818.56      | 0.00%             | 2031-01-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                   | HILTON DOMESTIC OPERATING CO INC 3.625% 02/15/2032 144A                                                 | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      660000 | PA      | $614946.45      | 0.00%             | 2032-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                               | COMMERCIAL METALS CO 3.875% 02/15/2031                                                                  | CUSIP: 201723AP8<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |      915000 | PA      | $870027.84      | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                                                 | HOWARD HUGHES CORP 4.375% 02/01/2031 144A                                                               | CUSIP: 44267DAF4<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |     1105000 | PA      | $1050979.09     | 0.00%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MURPHY OIL USA INC                                                                 | MURPHY OIL USA INC 3.75% 02/15/2031 144A                                                                | CUSIP: 626738AF5<br>LEI: N32S6DTR2ZZ5222WHV58 | Long             | DBT              | CORP              | US        |     1130000 | PA      | $1063185.25     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 03/01/2036#                                                                              | CUSIP: 31418DXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      620636 | PA      | $567723.88      | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2048#FM5661                                                                        | CUSIP: 3140X9JF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3832324 | PA      | $3705937.45     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.375%/VAR PERP 144A                                                                       | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EP               | CORP              | CH        |     2239000 | PA      | $2036534.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 2.095%/VAR 02/11/2032 144A                                                                 | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     7800000 | PA      | $7012567.61     | 0.01%             | 2032-02-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| LEVI STRAUSS and CO                                                                | LEVI STRAUSS and CO 3.5% 03/01/2031 144A                                                                | CUSIP: 52736RBJ0<br>LEI: MB0UERO0RDFKU8258G77 | Long             | DBT              | CORP              | US        |      555000 | PA      | $520776.65      | 0.00%             | 2031-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                                                                | WHITBREAD GROUP PLC 2.375% 05/31/2027 REGS                                                              | CUSIP: N/A<br>LEI: 2138006LIAYQKUCYBB20       | Long             | DBT              | CORP              | GB        |     1260000 | PA      | $1653831.14     | 0.00%             | 2027-05-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                | ALEXANDRIA REAL EST EQUITS INC 2% 05/18/2032                                                            | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     8258000 | PA      | $7097433.23     | 0.01%             | 2032-05-18      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING LTD                                                          | ALIBABA GROUP HOLDING LTD 2.125% 02/09/2031                                                             | CUSIP: 01609WAX0<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |     2350000 | PA      | $2157085.21     | 0.00%             | 2031-02-09      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING LTD                                                          | ALIBABA GROUP HOLDING LTD 2.7% 02/09/2041                                                               | CUSIP: 01609WAY8<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |    12255000 | PA      | $9275319.30     | 0.01%             | 2041-02-09      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                              | KINDER MORGAN INC DEL 3.6% 02/15/2051                                                                   | CUSIP: 49456BAT8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    26000000 | PA      | $18665579.40    | 0.02%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 02/01/2041#MA4269                                                                        | CUSIP: 31418DW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5254923 | PA      | $4850629.78     | 0.01%             | 2041-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.5% 03/01/2031                                                                            | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    17757000 | PA      | $15410992.93    | 0.02%             | 2031-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                         | MIZUHO FINL GROUP INC 1.234%/VAR 05/22/2027                                                             | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     5448000 | PA      | $5415663.78     | 0.01%             | 2027-05-22      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 01/20/2051#MA7135                                                                            | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   230406001 | PA      | $195316595.57   | 0.21%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 02/20/2051#MA7192                                                                            | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9824590 | PA      | $8325679.74     | 0.01%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARES XLI CLO LTD / ARES XLI CLO LLC                                                | ARES XLI CLO LTD / ARES XLI CLO LLC AR2 TSFR3M+133.161 04/15/2034 144A                                  | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |    24780000 | PA      | $24808298.76    | 0.03%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HUDBAY MINERALS INC                                                                | HUDBAY MINERALS INC 4.5% 04/01/2026 144A                                                                | CUSIP: 443628AJ1<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |      620000 | PA      | $619597.31      | 0.00%             | 2026-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC / GD FINANCE CO INC                                      | GO DADDY OPERATING CO LLC / GD FINANCE CO INC 3.5% 03/01/2029 144A                                      | CUSIP: 38016LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1530000 | PA      | $1431353.25     | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TTM TECHNOLOGIES INC                                                               | TTM TECHNOLOGIES INC 4% 03/01/2029 144A                                                                 | CUSIP: 87305RAK5<br>LEI: 549300SC4BDOIS008048 | Long             | DBT              | CORP              | US        |      860000 | PA      | $834589.24      | 0.00%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                       | SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030                                                            | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    14626000 | PA      | $14789143.52    | 0.02%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 1.591% 04/03/2028 144A                                                                 | CUSIP: 62954WAD7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     3586000 | PA      | $3420855.66     | 0.00%             | 2028-04-03      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 03/01/2041#MA4287                                                                          | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4110144 | PA      | $3688015.41     | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC          | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 3.25% 09/01/2028 144A         | CUSIP: 03969YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      885000 | PA      | $855493.22      | 0.00%             | 2028-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC          | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 4% 09/01/2029 144A            | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      685000 | PA      | $653788.73      | 0.00%             | 2029-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 2.6% 03/15/2031                                                                        | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     7660000 | PA      | $7088000.68     | 0.01%             | 2031-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LN EXTD NT TR 2021-1                                                   | TOYOTA AUTO LN EXTD NT TR 2021-1 1.07% 02/27/2034 144A                                                  | CUSIP: 89237MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    57735000 | PA      | $57735000.00    | 0.06%             | 2034-02-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#FM6384                                                                          | CUSIP: 3140XACW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42464 | PA      | $35614.99       | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                      | CLEARWAY ENERGY OPER LLC 3.75% 02/15/2031 144A                                                          | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     1355000 | PA      | $1283650.71     | 0.00%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 2.688% 03/11/2031 144A                                                      | CUSIP: 202712BN4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     4532000 | PA      | $4190952.23     | 0.00%             | 2031-03-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2050#BP2186                                                                          | CUSIP: 3140K9NC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9212007 | PA      | $8482606.11     | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2050#FM2439                                                                          | CUSIP: 3140X5V91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6696327 | PA      | $6166116.29     | 0.01%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2050#BK2249                                                                          | CUSIP: 3140HFQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9281129 | PA      | $8543354.40     | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2049#FM2077                                                                          | CUSIP: 3140X5JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19109169 | PA      | $17620002.76    | 0.02%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2050#FM6195                                                                          | CUSIP: 3140X93D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4777823 | PA      | $4403996.64     | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSTANT CONTACT INC                                                               | CONSTANT CONTACT TERM B 1LN 02/10/2028                                                                  | CUSIP: 21031HAC5<br>LEI: 2549000JW50H0AI5B946 | Long             | LON              | CORP              | US        |      492102 | PA      | $424748.00      | 0.00%             | 2028-02-10      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 03/20/2051#MA7254                                                                            | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2907647 | PA      | $2464830.01     | 0.00%             | 2051-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033                                                         | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    25514000 | PA      | $23038557.47    | 0.02%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2.75% 04/15/2031                                                             | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     8767000 | PA      | $8096353.61     | 0.01%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 3.811%/VAR 03/10/2042                                                                      | CUSIP: 06738EBS3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     7473000 | PA      | $6064390.99     | 0.01%             | 2042-03-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                                  | BERKSHIRE HATHAWAY ENERGY COMPANY 3.7% 07/15/2030                                                       | CUSIP: 084659AV3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |      161000 | PA      | $159428.10      | 0.00%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#MA4305                                                                          | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17235664 | PA      | $14412540.00    | 0.02%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                       | CHARLES RIVER LABS INTL INC 3.75% 03/15/2029 144A                                                       | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1058702.59     | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMFAM HOLDINGS INC                                                                 | AMFAM HOLDINGS INC 2.805% 03/11/2031 144A                                                               | CUSIP: 03115AAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5464000 | PA      | $4853890.69     | 0.01%             | 2031-03-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                                                           | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15107770 | PA      | $12354887.68    | 0.01%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 03/01/2036#CA9439                                                                        | CUSIP: 3140QHPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15960134 | PA      | $15295724.99    | 0.02%             | 2036-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 04/01/2051#SD8139                                                                        | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   261220409 | PA      | $207595751.01   | 0.22%             | 2051-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 12/01/2040#MA4202                                                                        | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8927239 | PA      | $7731475.23     | 0.01%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 2.55% 03/21/2031                                                             | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     3016000 | PA      | $2790539.40     | 0.00%             | 2031-03-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 2.1% 03/22/2028                                                              | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     2703000 | PA      | $2611901.71     | 0.00%             | 2028-03-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 3.7% 03/22/2061                                                              | CUSIP: 92343VGC2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     3473000 | PA      | $2402602.12     | 0.00%             | 2061-03-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOMNIGROUP INTERNATIONAL INC                                                       | SOMNIGROUP INTERNATIONAL INC 4% 04/15/2029 144A                                                         | CUSIP: 88023UAH4<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |      590000 | PA      | $573381.53      | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 03/01/2040#FM6134                                                                          | CUSIP: 3140X9Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      295632 | PA      | $286543.65      | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                                  | CBRE SERVICES INC 2.5% 04/01/2031                                                                       | CUSIP: 12505BAE0<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    10225000 | PA      | $9328786.62     | 0.01%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VM CONSOLIDATED INC                                                                | VM CONSOLIDATED INC 5.5% 04/15/2029 144A                                                                | CUSIP: 91835HAA0<br>LEI: 549300GCTGJLEBXJUK89 | Long             | DBT              | CORP              | US        |      575000 | PA      | $564404.48      | 0.00%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2050#SD0265                                                                          | CUSIP: 3132DMJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1373757 | PA      | $1264984.09     | 0.00%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B23 MTG TR                                                          | BENCHMARK 2021-B23 MTG TR 1.766% 02/15/2054                                                             | CUSIP: 08162RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4915821 | PA      | $4684883.79     | 0.01%             | 2054-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR TSFR1M+151.448 03/15/2026 144A                                                     | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1983800 | PA      | $1963961.99     | 0.00%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR 21-BMR E TSFR1M+186.448 6 03/15/2036 144A                                          | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1733200 | PA      | $1700702.50     | 0.00%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR TSFR1M+121.448 03/15/2036 144A                                                     | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      217658 | PA      | $216025.65      | 0.00%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG'06 PTY LTD                                                       | FMG RES AUGUST 2006 PTY LTD 4.375% 04/01/2031 144A                                                      | CUSIP: 30251GBC0<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |      196000 | PA      | $189895.76      | 0.00%             | 2031-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2047#CA0607                                                                        | CUSIP: 3140Q7U96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12703963 | PA      | $12142118.96    | 0.01%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 2.5% 03/24/2028 144A                                                              | CUSIP: 04685A2V2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     6975000 | PA      | $6722191.33     | 0.01%             | 2028-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 2.875% 03/25/2031                                                                           | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     7473000 | PA      | $6791999.71     | 0.01%             | 2031-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSAIL 2021-C20                                                                     | CSAIL 2021-C20 2.4862% 03/15/2054                                                                       | CUSIP: 22945EAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3126752 | PA      | $2937542.56     | 0.00%             | 2054-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                       | ING GROEP NV 1.726%/VAR 04/01/2027                                                                      | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     1250000 | PA      | $1247631.81     | 0.00%             | 2027-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| DYCOM INDUSTRIES INC                                                               | DYCOM INDUSTRIES INC 4.5% 04/15/2029 144A                                                               | CUSIP: 267475AD3<br>LEI: 549300F56EKTHQI3WT60 | Long             | DBT              | CORP              | US        |      420000 | PA      | $413554.13      | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 08/35#MA4095                                                                               | CUSIP: 31418DRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      572162 | PA      | $535410.82      | 0.00%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BWX TECHNOLOGIES INC                                                               | BWX TECHNOLOGIES INC 4.125% 04/15/2029 144A                                                             | CUSIP: 05605HAC4<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |      720000 | PA      | $704836.15      | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AJAXM 2021-C                                                                       | AJAXM 2021-C 6.115% 01/25/2061 144A                                                                     | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1697510 | PA      | $1699118.51     | 0.00%             | 2061-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 02/01/2051#RA4527                                                                        | CUSIP: 3133KLA49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71834 | PA      | $63081.14       | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 19-23 FC SOFR30A+56.448 05/25/2049                                       | CUSIP: 3136B4LD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6568768 | PA      | $6502503.30     | 0.01%             | 2049-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 04/51#MA7311                                                                                 | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3889585 | PA      | $3296009.94     | 0.00%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2048#BM4426                                                                        | CUSIP: 3140J84L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1897004 | PA      | $1816071.41     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2021-1 A                                              | FORD CREDIT AUTO OWNER TRUST 2021-1 A 1.37% 10/17/2033 144A                                             | CUSIP: 345340AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5000000 | PA      | $4983033.50     | 0.01%             | 2033-10-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B24 MTG TR                                                          | BENCHMARK 2021-B24 MTG TR 2.2559% 03/15/2054                                                            | CUSIP: 08163CBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6662000 | PA      | $6399474.56     | 0.01%             | 2054-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV                                 | ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 5.125% 04/30/2031 144A                               | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      740000 | PA      | $657568.07      | 0.00%             | 2031-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 2.662% 04/25/2051 144A                                                     | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15137935 | PA      | $14536916.59    | 0.02%             | 2051-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 3.151% 04/25/2051 144A                                                     | CUSIP: 25755TAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9186235 | PA      | $8594087.54     | 0.01%             | 2051-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV                                 | ORGANON and CO / ORGANON FOREIGN DEBT CO-ISSUER BV 4.125% 04/30/2028 144A                               | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      430000 | PA      | $422116.19      | 0.00%             | 2028-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/51#RA5117                                                                               | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3367942 | PA      | $2834180.86     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SCIH SALT HLDGS INC                                                                | SCIH SALT HLDGS INC 6.625% 05/01/2029 144A                                                              | CUSIP: 78433BAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      620000 | PA      | $618450.00      | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2049#ZA7017                                                                        | CUSIP: 31329QYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       66178 | PA      | $62920.38       | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 05/20/2051#MA7366                                                                            | CUSIP: 36179WFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9403302 | PA      | $7968298.79     | 0.01%             | 2051-05-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC                                                              | HIGHTOWER HOLDING LLC 6.75% 04/15/2029 144A                                                             | CUSIP: 43118DAA8<br>LEI: 254900MKOSB7RTMA9K12 | Long             | DBT              | CORP              | US        |     1385000 | PA      | $1373256.96     | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                                                         | AUSTRALIA COMMONWEALTH OF 1.75% 11/21/2032 REGS                                                         | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |      365000 | PA      | $219558.19      | 0.00%             | 2032-11-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.58%/VAR 04/22/2032                                                              | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1199788.15     | 0.00%             | 2032-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#MA4326                                                                        | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14674781 | PA      | $12804085.82    | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2051#MA4239                                                                          | CUSIP: 31418DV90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8876349 | PA      | $8095857.30     | 0.01%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 1.734%/VAR 07/22/2027                                                       | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    25000000 | PA      | $24775575.25    | 0.03%             | 2027-07-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 4.7%/VAR PERP                                                                             | CUSIP: 02005NBM1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | EP               | CORP              | US        |     2550000 | PA      | $2543099.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HERENS US HOLDCO CORP                                                              | LONZA SPECIALTY INGREDIENTS TERM B 1LN 07/03/2028                                                       | CUSIP: N/A<br>LEI: 549300Y0CIXN5D40L888       | Long             | LON              | CORP              | US        |      688167 | PA      | $612957.44      | 0.00%             | 2028-07-03      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                                                                | JAZZ SECURITIES DAC 4.375% 01/15/2029 144A                                                              | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |      425000 | PA      | $419001.59      | 0.00%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                              | CANADA GOVERNMENT OF 1.5% 06/01/2031                                                                    | CUSIP: 135087M27<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      455000 | PA      | $313187.97      | 0.00%             | 2031-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CIM TRUST                                                                          | CIM TRUST 1.951% 06/25/2057 144A                                                                        | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2700051 | PA      | $2530120.65     | 0.00%             | 2057-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                                  | BLACKSTONE PROP PARTNERS EUR HOLD 1% 05/04/2028 REGS                                                    | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |     2271000 | PA      | $2583707.17     | 0.00%             | 2028-05-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                                         | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A                        | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16435000 | PA      | $16427418.53    | 0.02%             | 2031-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                       | SBA TOWER TR 1.631% 05/15/2051 144A                                                                     | CUSIP: 78403DAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5173000 | PA      | $5084728.45     | 0.01%             | 2051-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MAJORDRIVE HOLDINGS IV LLC                                                         | CLUB CAR TERM 1LN 06/01/2028                                                                            | CUSIP: 56085UAB9<br>LEI: 25490044R1FR5N8FIT62 | Long             | LON              | CORP              | US        |      713319 | PA      | $662409.50      | 0.00%             | 2028-06-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 09/20/2050#MA6864                                                                            | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    74461937 | PA      | $63261461.59    | 0.07%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 05/20/2051#MA7367                                                                          | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    12569025 | PA      | $11094890.63    | 0.01%             | 2051-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.375% 05/15/2051                                                           | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   488726000 | PA      | $320840985.10   | 0.34%             | 2051-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                           | VISTRA OPERATIONS CO LLC 4.375% 05/01/2029 144A                                                         | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      630000 | PA      | $622964.16      | 0.00%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                             | IPALCO ENTERPRISES INC 4.25% 05/01/2030                                                                 | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |     8967000 | PA      | $8870560.09     | 0.01%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 10/01/2050#SD7525                                                                        | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10894866 | PA      | $9645612.82     | 0.01%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 07/01/2050#SD7521                                                                        | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    20977466 | PA      | $18572097.03    | 0.02%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                           | EQT CORP 3.625% 05/15/2031 144A                                                                         | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     5400000 | PA      | $5166238.81     | 0.01%             | 2031-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                     | SERVICE CORP INTERNATIONAL INC 4% 05/15/2031                                                            | CUSIP: 817565CG7<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |      665000 | PA      | $635578.39      | 0.00%             | 2031-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 3.091%/VAR 05/14/2032 144A                                                                 | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     5293000 | PA      | $4953017.11     | 0.01%             | 2032-05-14      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                                                    | BANK 2021-BNK33 VAR 05/15/2064                                                                          | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   100565222 | PA      | $3613429.10     | 0.00%             | 2064-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 10/36#MA2773                                                                               | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      849913 | PA      | $826441.34      | 0.00%             | 2036-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                   | CCO HLDGS LLC/CAP CORP 4.5% 05/01/2032                                                                  | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2540000 | PA      | $2324492.43     | 0.00%             | 2032-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER   | PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER 4.875% 05/15/2029 144A | CUSIP: 70052LAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      945000 | PA      | $928228.02      | 0.00%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC                                           | ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC 4.125% 06/15/2028 144A                                         | CUSIP: 04916WAA2<br>LEI: 549300ITBBGKJ651R879 | Long             | DBT              | CORP              | GB        |     4755000 | PA      | $4642908.01     | 0.00%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 06/01/2041#MA4364                                                                          | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      168328 | PA      | $150738.16      | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                                 | VORNADO REALTY LP 3.4% 06/01/2031                                                                       | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |    12870000 | PA      | $11766064.55    | 0.01%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                                 | VORNADO REALTY LP 2.15% 06/01/2026                                                                      | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |     4402000 | PA      | $4367601.94     | 0.00%             | 2026-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                                                       | KREDITANSTALT FUR WIEDER(UNGTD 0.375% 05/20/2036 REGS                                                   | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |      454000 | PA      | $420032.48      | 0.00%             | 2036-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 06/36#SB8106                                                                             | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      662914 | PA      | $605361.43      | 0.00%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 04/01/2036#MA4302                                                                        | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4723041 | PA      | $4312999.68     | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 05/36#MA4328                                                                             | CUSIP: 31418DY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      333690 | PA      | $304719.90      | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B19 MTG TR                                                          | BENCHMARK 2020-B19 XA CSTR 09/15/2053                                                                   | CUSIP: 08162WBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9464261 | PA      | $417463.84      | 0.00%             | 2053-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                          | BLOCK INC 2.75% 06/01/2026                                                                              | CUSIP: 852234AN3<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      465000 | PA      | $463059.65      | 0.00%             | 2026-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                          | BLOCK INC 3.5% 06/01/2031                                                                               | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      620000 | PA      | $582175.41      | 0.00%             | 2031-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC          | HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC 5% 06/01/2029 144A            | CUSIP: 43284MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      435000 | PA      | $424543.94      | 0.00%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                       | DNB BANK ASA 1.535%/VAR 05/25/2027 144A                                                                 | CUSIP: 23329PAG5<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |     3681000 | PA      | $3659678.91     | 0.00%             | 2027-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 12/01/2061         | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    18290000 | PA      | $12231432.93    | 0.01%             | 2061-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING                                                               | STORE MASTER FUNDING 2.12% 06/20/2051 144A                                                              | CUSIP: 86190BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10743333 | PA      | $10177255.06    | 0.01%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CIMIC FINANCE LTD                                                                  | CIMIC FINANCE LTD 1.5% 05/28/2029 REGS                                                                  | CUSIP: N/A<br>LEI: 213800SWJBM5VMCQJW54       | Long             | DBT              | CORP              | AU        |     1075000 | PA      | $1207030.84     | 0.00%             | 2029-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 3.75% 04/15/2027                                                                       | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    10840000 | PA      | $10822849.06    | 0.01%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 3.875% 04/15/2030                                                                      | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    22430000 | PA      | $22257567.36    | 0.02%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                | INTESA SANPAOLO SPA 4.198%/VAR 06/01/2032 144A                                                          | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    17320000 | PA      | $16737738.15    | 0.02%             | 2032-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.069%/VAR 06/01/2029                                                             | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     7286000 | PA      | $6988546.35     | 0.01%             | 2029-06-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 06/20/2051#MA7417                                                                            | CUSIP: 36179WG28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      447548 | PA      | $379249.51      | 0.00%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C54                                                   | WELLS FARGO COML MTG TR 2019-C54 VAR 12/15/2052                                                         | CUSIP: 95001YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    57119336 | PA      | $1527799.43     | 0.00%             | 2052-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| SLAM 2021-1 LTD / SLAM 2021-1 LLC                                                  | SLAM 2021-1 LTD / SLAM 2021-1 LLC 2.434% 06/15/2046 144A                                                | CUSIP: 78449AAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3580214 | PA      | $3433915.74     | 0.00%             | 2046-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 3.035%/VAR 05/28/2032                                                    | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     4028000 | PA      | $3733749.85     | 0.00%             | 2032-05-28      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP / BIP-V CHINOOK HOLDCO LLC                                           | CQP HOLDCO LP / BIP-V CHINOOK HOLDCO LLC 5.5% 06/15/2031 144A                                           | CUSIP: 12657NAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      535000 | PA      | $533541.79      | 0.00%             | 2031-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRITAX EUROBOX PLC                                                                 | TRITAX EUROBOX PLC 0.95% 06/02/2026 REGS                                                                | CUSIP: N/A<br>LEI: 213800HK59N7H979QU33       | Long             | DBT              | CORP              | GB        |     1300000 | PA      | $1528473.38     | 0.00%             | 2026-06-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                      | UNICREDIT SPA 1.982%/VAR 06/03/2027 144A                                                                | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     6165000 | PA      | $6131550.25     | 0.01%             | 2027-06-03      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 03/01/2051#SD8133                                                                        | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14469236 | PA      | $11498917.34    | 0.01%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 04/01/2036#SB8097                                                                        | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4838006 | PA      | $4417983.63     | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 05/01/2051#SD7540                                                                        | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10751953 | PA      | $9488847.32     | 0.01%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 05/01/2051#RA5077                                                                        | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1545461 | PA      | $1363905.10     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 05/01/2036#SB8512                                                                          | CUSIP: 3132D6N55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      787207 | PA      | $735904.79      | 0.00%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 02/01/2036#SB8510                                                                          | CUSIP: 3132D6N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      825265 | PA      | $769418.89      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 05/01/2036#RC1950                                                                        | CUSIP: 3133L8EX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    48908062 | PA      | $44799549.88    | 0.05%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 06/20/2051#MA7418                                                                          | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    13731673 | PA      | $12121180.04    | 0.01%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2036#BT0154                                                                          | CUSIP: 3140LNE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      722193 | PA      | $675127.32      | 0.00%             | 2036-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 06/01/2051#FM7507                                                                        | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    23645188 | PA      | $20867424.36    | 0.02%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 1.792%/VAR 06/09/2027 144A                                                      | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     2160000 | PA      | $2146632.36     | 0.00%             | 2027-06-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2048#ZM6138                                                                        | CUSIP: 3131Y0ZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      371826 | PA      | $372895.92      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 07/01/2050#FM3611                                                                        | CUSIP: 3140X7AM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3170531 | PA      | $2800048.54     | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAPS 2021-1 TR                                                                     | MAPS 2021-1 TR 2.521% 06/15/2046 144A                                                                   | CUSIP: 55292RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7562469 | PA      | $7310552.17     | 0.01%             | 2046-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 08/01/2050#SD7523                                                                        | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    36651076 | PA      | $32448502.57    | 0.03%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 10/01/2050#SD0450                                                                        | CUSIP: 3132DMQB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11384801 | PA      | $10036676.85    | 0.01%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 2.55% 06/15/2031                                                                   | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     4359000 | PA      | $4011386.66     | 0.00%             | 2031-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 05/51#MA7368                                                                                 | CUSIP: 36179WFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    22234398 | PA      | $20406247.58    | 0.02%             | 2051-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 1.642%/VAR 06/14/2027                                                                 | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     1207000 | PA      | $1198865.64     | 0.00%             | 2027-06-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#FM7352                                                                        | CUSIP: 3140XBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16734523 | PA      | $14742455.51    | 0.02%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ASSURANT INC                                                                       | ASSURANT INC 2.65% 01/15/2032                                                                           | CUSIP: 04621XAN8<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |     7753000 | PA      | $6957647.56     | 0.01%             | 2032-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2050#SD8108                                                                          | CUSIP: 3132DWAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1193497 | PA      | $1088553.56     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                                      | LGI HOMES INC 4% 07/15/2029 144A                                                                        | CUSIP: 50187TAF3<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |       95000 | PA      | $88258.06       | 0.00%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 3.5% 01/15/2027                                                                    | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      840000 | PA      | $830156.80      | 0.00%             | 2027-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BCP TR 2021-330N                                                                   | BCP TR 2021-330N TSFR1M+91.348 5 06/15/2038 144A                                                        | CUSIP: 05553BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4207067 | PA      | $3794943.98     | 0.00%             | 2038-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GTC AURORA LUXEMBOURG SA                                                           | GTC AURORA LUXEMBOURG SA 2.25% 06/23/2026 REGS                                                          | CUSIP: N/A<br>LEI: 549300UAWIR6P1PVC062       | Long             | DBT              | CORP              | LU        |     1540000 | PA      | $1808873.39     | 0.00%             | 2026-06-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                    | PERMIAN RESOURCES OPERATING LLC 5.875% 07/01/2029 144A                                                  | CUSIP: 19416MAB5<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      445000 | PA      | $445556.25      | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L         | BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L 2.443% 07/15/2046 144A       | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21460178 | PA      | $20588115.54    | 0.02%             | 2046-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                       | SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031                                                            | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |     9688000 | PA      | $8890700.56     | 0.01%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2050#MA4211                                                                          | CUSIP: 31418DVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16125684 | PA      | $14707762.34    | 0.02%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 3.625% 06/17/2031                                                              | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4660932.45     | 0.00%             | 2031-06-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                           | DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A                                                         | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    11501000 | PA      | $10429079.66    | 0.01%             | 2032-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 07/01/2050#FM3742                                                                        | CUSIP: 3140X7EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6393356 | PA      | $5660265.78     | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/01/2048#ZM8154                                                                          | CUSIP: 3131Y3BX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      254489 | PA      | $250360.62      | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/01/2048#ZM8169                                                                          | CUSIP: 3131Y3CE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1293570 | PA      | $1272586.91     | 0.00%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2048#ZN1277                                                                          | CUSIP: 3131Y7M20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      246018 | PA      | $242026.85      | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032                                                            | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    11627000 | PA      | $10224279.42    | 0.01%             | 2032-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.45% 07/15/2028                                                                           | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    15813000 | PA      | $14904201.59    | 0.02%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ELASTIC NV                                                                         | ELASTIC NV 4.125% 07/15/2029 144A                                                                       | CUSIP: 28415LAA1<br>LEI: 2549003I48WHHH937I59 | Long             | DBT              | CORP              | NL        |     1510000 | PA      | $1426614.78     | 0.00%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031                                                              | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     1482000 | PA      | $1335886.64     | 0.00%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 3.375% 07/15/2051                                                              | CUSIP: 02666TAD9<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     2291000 | PA      | $1546594.40     | 0.00%             | 2051-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 07/20/2051#MA7471                                                                            | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3381777 | PA      | $2865696.74     | 0.00%             | 2051-07-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2021-1                                            | ONEMAIN FINANCIAL ISSUANCE TRUST 2021-1 1.55% 06/16/2036 144A                                           | CUSIP: 68269MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8770000 | PA      | $8569808.96     | 0.01%             | 2036-06-16      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                                        | MSC 2021-L6 XA 1.35631% 06/15/2054                                                                      | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    25773831 | PA      | $949902.29      | 0.00%             | 2054-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                         | MIZUHO FINL GROUP INC 1.554%/VAR 07/09/2027                                                             | CUSIP: 60687YBS7<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     2200000 | PA      | $2181886.76     | 0.00%             | 2027-07-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                                        | SUNOCO LP / SUNOCO FIN CORP 4.5% 05/15/2029                                                             | CUSIP: 86765LAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      340000 | PA      | $334997.58      | 0.00%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 05/01/2041#RB5111                                                                          | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2096137 | PA      | $1878063.21     | 0.00%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2051#SD7532                                                                          | CUSIP: 3132DVLM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    64199771 | PA      | $54265947.50    | 0.06%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#MA4399                                                                        | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2378549 | PA      | $2075339.23     | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MHP COML MTG TR 2021-STOR                                                          | MERIT 2021-STOR A TSFR1M+81.448 07/15/2038 144A                                                         | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11210236 | PA      | $11201811.51    | 0.01%             | 2038-07-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/51#SD7541                                                                               | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    52072142 | PA      | $43982318.30    | 0.05%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/51#QC1514                                                                               | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2281794 | PA      | $1920881.26     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/51#BT1461                                                                               | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1036668 | PA      | $872697.53      | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 07/51#QC4163                                                                               | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1280341 | PA      | $1077828.74     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                 | MITSUBISHI UFJ FIN GRP INC 1.538%/VAR 07/20/2027                                                        | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     3276000 | PA      | $3245811.33     | 0.00%             | 2027-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP INC                                                         | PERFORMANCE FOOD GROUP INC 4.25% 08/01/2029 144A                                                        | CUSIP: 71376LAE0<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |      845000 | PA      | $829055.44      | 0.00%             | 2029-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2021-E                                                              | AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A                                                             | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10824673 | PA      | $9774490.12     | 0.01%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 07/20/2051#MA7472                                                                          | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    94046635 | PA      | $83016554.18    | 0.09%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2048#CA2797                                                                        | CUSIP: 3140QADB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9515034 | PA      | $9589982.34     | 0.01%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    29132000 | PA      | $26275714.61    | 0.03%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032                                                       | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    50000000 | PA      | $45109585.50    | 0.05%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 2.239%/VAR 07/21/2032                                                                    | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     4900000 | PA      | $4393811.92     | 0.00%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2048#CA2432                                                                        | CUSIP: 3140Q9V26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5378017 | PA      | $5403571.98     | 0.01%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2050#FM3897                                                                          | CUSIP: 3140X7KK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      831091 | PA      | $699896.68      | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2021-1 CLASS A PASS THROUGH TRUST                                  | BRITISH AIRWAYS 2021-1 CLASS A PASS THROUGH TRUST 2.9% 09/15/2036 144A                                  | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1137288 | PA      | $1056578.20     | 0.00%             | 2036-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                           | BUILDERS FIRSTSOURCE INC 4.25% 02/01/2032 144A                                                          | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     1415000 | PA      | $1349513.09     | 0.00%             | 2032-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2049#RA1171                                                                        | CUSIP: 3133KGJQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8936183 | PA      | $8978646.26     | 0.01%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                                 | AUTONATION INC DEL 1.95% 08/01/2028                                                                     | CUSIP: 05329WAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7691000 | PA      | $7324252.28     | 0.01%             | 2028-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                                 | AUTONATION INC DEL 2.4% 08/01/2031                                                                      | CUSIP: 05329WAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    23196000 | PA      | $20844350.78    | 0.02%             | 2031-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                       | NOVELIS CORP 3.875% 08/15/2031 144A                                                                     | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |      470000 | PA      | $429532.39      | 0.00%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 2.359%/VAR 07/29/2032                                                              | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     8448000 | PA      | $7444235.50     | 0.01%             | 2032-07-29      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 07/51#MA7473                                                                                 | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7467567 | PA      | $6857771.32     | 0.01%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN LLC/JFIN                                                             | JEFFERIES FIN LLC/JFIN 5% 08/15/2028 144A                                                               | CUSIP: 47232MAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      270000 | PA      | $256720.43      | 0.00%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2050#CA7616                                                                          | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4830067 | PA      | $4063074.02     | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.625% 08/01/2031                                                                          | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    15841000 | PA      | $13724235.29    | 0.01%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 1.35% 02/03/2027                                                                             | CUSIP: 444859BQ4<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     2069000 | PA      | $2017907.12     | 0.00%             | 2027-02-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 06/20/2051#MA7419                                                                            | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5890952 | PA      | $5407140.46     | 0.01%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AMER INC                                                      | UNITED RENTALS NORTH AMER INC 3.75% 01/15/2032                                                          | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      805000 | PA      | $759697.82      | 0.00%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2% 01/15/2029                                                                | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     7631000 | PA      | $7204135.21     | 0.01%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 1.494%/VAR 08/10/2027 144A                                                                 | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    11792000 | PA      | $11659987.38    | 0.01%             | 2027-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                          | INVITATION HOMES OPERATING PARTNERSHIP LP 2% 08/15/2031                                                 | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     2893000 | PA      | $2549693.50     | 0.00%             | 2031-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTURY CMNTYS INC                                                                 | CENTURY COMMUNITIES INC 3.875% 08/15/2029 144A                                                          | CUSIP: 156504AM4<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |      450000 | PA      | $429015.20      | 0.00%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 08/20/2051#MA7533                                                                            | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   109026105 | PA      | $92388034.25    | 0.10%             | 2051-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 07/01/2051#RA5574                                                                        | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14776914 | PA      | $13004025.54    | 0.01%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THE BERKELEY GROUP PLC                                                             | THE BERKELEY GROUP PLC 2.5% 08/11/2031 REGS                                                             | CUSIP: N/A<br>LEI: 2138001V85JLYR7AUB61       | Long             | DBT              | CORP              | GB        |     1820000 | PA      | $2148917.90     | 0.00%             | 2031-08-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO/THE                                                                    | CHEMOURS CO/THE 4.625% 11/15/2029 144A                                                                  | CUSIP: 163851AH1<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |      775000 | PA      | $734087.98      | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REXFORD INDUSTRIAL REALTY LP                                                       | REXFORD INDUSTRIAL REALTY LP 2.15% 09/01/2031                                                           | CUSIP: 76169XAB0<br>LEI: 549300028US163ELJN70 | Long             | DBT              | CORP              | US        |     2886000 | PA      | $2561785.46     | 0.00%             | 2031-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 3.875% 09/15/2028                                                                  | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      650000 | PA      | $628884.23      | 0.00%             | 2028-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2051#CB1109                                                                          | CUSIP: 3140QLGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      138804 | PA      | $116415.84      | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 2.75% 09/01/2031                                                                   | CUSIP: 875484AL1<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |    16949000 | PA      | $15502056.92    | 0.02%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 2.7% 08/10/2026                                                                | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     5665000 | PA      | $5626093.52     | 0.01%             | 2026-08-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/01/2050#FM2653                                                                        | CUSIP: 3140X55P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18976982 | PA      | $18096195.50    | 0.02%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 02/01/2051#SD7535                                                                        | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    63491481 | PA      | $56092222.20    | 0.06%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                              | CUSIP: 31418D4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5823993 | PA      | $5510001.45     | 0.01%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                               | WR GRACE HOLDING LLC 5.625% 08/15/2029 144A                                                             | CUSIP: 92943GAA9<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |      320000 | PA      | $306539.68      | 0.00%             | 2029-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUNNOVA ENERGY CORP                                                                | SUNNOVA ENERGY CORP 5.875% 09/01/2026 144A                                                              | CUSIP: 86745GAF0<br>LEI: 549300TH3GCD8YQUDR46 | Long             | DBT              | CORP              | US        |      760000 | PA      | $1900.00        | 0.00%             | 2026-09-01      | Fixed         | 0.06%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2050#CA7323                                                                          | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8532741 | PA      | $7220443.61     | 0.01%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 2.5% 09/01/2031                                                             | CUSIP: 92277GAW7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    25590000 | PA      | $23284937.25    | 0.02%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                       | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 09/01/2031 144A                         | CUSIP: 87470LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      270000 | PA      | $272870.37      | 0.00%             | 2031-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 09/01/2051#MA4414                                                                        | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      798002 | PA      | $695527.35      | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2051#FM8375                                                                        | CUSIP: 3140XCJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16804070 | PA      | $15858195.48    | 0.02%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C60                                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C60 2.342% 08/15/2054                                        | CUSIP: 95003DBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4544103.00     | 0.00%             | 2054-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 03/01/2051#QC0031                                                                        | CUSIP: 3133AJA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      187111 | PA      | $150395.30      | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 06/01/2051#QC3131                                                                        | CUSIP: 3133AMPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      459951 | PA      | $369698.19      | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 06/01/2051#CB0788                                                                        | CUSIP: 3140QK2W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1772370 | PA      | $1424591.02     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 11/01/2050#QB6612                                                                        | CUSIP: 3133ADKZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      719628 | PA      | $577746.25      | 0.00%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 12/01/2050#QB7301                                                                        | CUSIP: 3133AEDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      481460 | PA      | $386535.18      | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 12/01/2050#BQ9522                                                                        | CUSIP: 3140KVSL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      115630 | PA      | $92941.10       | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BLOX 2021-BLOX                                                                     | BLOX 2021-BLOX A TSFR1M+86.448 09/15/2026 144A                                                          | CUSIP: 055522AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21008136 | PA      | $20878400.26    | 0.02%             | 2026-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 2.45% 01/15/2031                                                                               | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    51451000 | PA      | $47710218.00    | 0.05%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2050#CA6275                                                                          | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6007556 | PA      | $5059215.55     | 0.01%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 09/20/2051#MA7588                                                                            | CUSIP: 36179WND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    48248348 | PA      | $40885346.32    | 0.04%             | 2051-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                                  | QBE INS GROUP LTD 2.5%/VAR 09/13/2038 REGS                                                              | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |     1405000 | PA      | $1803547.68     | 0.00%             | 2038-09-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#CB1638                                                                        | CUSIP: 3140QLZC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20206592 | PA      | $19117186.06    | 0.02%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 3.65% 09/15/2059                                                                           | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     2396000 | PA      | $1612718.42     | 0.00%             | 2059-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL CORP                                                       | SOUTHERN CO GAS CAP 3.15% 09/30/2051                                                                    | CUSIP: 8426EPAE8<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     3046000 | PA      | $2021304.40     | 0.00%             | 2051-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SLG OFFICE TR 2021-OVA                                                             | SLG OFFICE TR 2021-OVA X CSTR 07/15/2041 144A                                                           | CUSIP: 78449RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   213942750 | PA      | $2373416.69     | 0.00%             | 2041-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 2.159%/VAR 09/15/2029 144A                                                                  | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     3350000 | PA      | $3186639.29     | 0.00%             | 2029-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                          | STELLANTIS FINANCE US INC 2.691% 09/15/2031 144A                                                        | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    11641000 | PA      | $10174592.08    | 0.01%             | 2031-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT                        | HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT 0.625% 09/16/2028 REGS                      | CUSIP: N/A<br>LEI: 969500I3QVK40XEORU25       | Long             | DBT              | CORP              | FR        |      700000 | PA      | $779476.69      | 0.00%             | 2028-09-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 2.55% 12/01/2033                                                                           | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    18825000 | PA      | $16326408.58    | 0.02%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 3.55% 09/15/2055                                                                           | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    11426000 | PA      | $7735637.49     | 0.01%             | 2055-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 3.8% 12/01/2057                                                                            | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    10190000 | PA      | $7148852.18     | 0.01%             | 2057-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                          | BALL CORP 3.125% 09/15/2031                                                                             | CUSIP: 058498AX4<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |      955000 | PA      | $886575.30      | 0.00%             | 2031-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 2.65% 01/15/2032                                                                     | CUSIP: 15135UAW9<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |      768000 | PA      | $698058.22      | 0.00%             | 2032-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 3.75% 02/15/2052                                                                     | CUSIP: 15135UAX7<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     2379000 | PA      | $1723652.11     | 0.00%             | 2052-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2051#CB1421                                                                        | CUSIP: 3140QLSK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16744207 | PA      | $15851935.10    | 0.02%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1                                    | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2021-1 1.17% 06/12/2034 144A                                   | CUSIP: 36263HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5000000 | PA      | $4928685.50     | 0.01%             | 2034-06-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2050#MA4184                                                                          | CUSIP: 31418DUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1751723 | PA      | $1597694.98     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 06/01/2050#SD8080                                                                          | CUSIP: 3132DV6R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   131959906 | PA      | $110634129.79   | 0.12%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 1.875%/VAR 09/15/2081                                                                  | CUSIP: N/A<br>LEI: 549300FC3G3YU2FBZD92       | Long             | DBT              | CORP              | US        |     2400000 | PA      | $2773894.92     | 0.00%             | 2081-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 1.7% 09/15/2028                                                                           | CUSIP: 548661ED5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1633676.49     | 0.00%             | 2028-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY OP LLC                                                                | KIMCO REALTY OP LLC 2.25% 12/01/2031                                                                    | CUSIP: 49446RAY5<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |    15265000 | PA      | $13749856.55    | 0.01%             | 2031-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                  | PIEDMONT OPERATING PARTNERSHIP LP 2.75% 04/01/2032                                                      | CUSIP: 720198AF7<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |     3748000 | PA      | $3265263.15     | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CO LLC                                                     | NISSAN MOTOR ACCEPTANCE CO LLC 2.45% 09/15/2028 144A                                                    | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |       70000 | PA      | $65489.91       | 0.00%             | 2028-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2050#FM7147                                                                        | CUSIP: 3140XA5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26882364 | PA      | $25626261.29    | 0.03%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CNX MIDSTREAM PARTNERS LP                                                          | CNX MIDSTREAM PARTNERS LP 4.75% 04/15/2030 144A                                                         | CUSIP: 12654AAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      750000 | PA      | $731448.68      | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                                                                      | PRA GROUP INC 5% 10/01/2029 144A                                                                        | CUSIP: 69354NAD8<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |      450000 | PA      | $415375.88      | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2051#MA4438                                                                        | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    37164906 | PA      | $32392396.54    | 0.03%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JDE PEETS BV                                                                       | JDE PEETS BV 1.375% 01/15/2027 144A                                                                     | CUSIP: 47216QAB9<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |     3516000 | PA      | $3434565.99     | 0.00%             | 2027-01-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JDE PEETS BV                                                                       | JDE PEETS BV 2.25% 09/24/2031 144A                                                                      | CUSIP: 47216QAC7<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |     2660000 | PA      | $2353801.18     | 0.00%             | 2031-09-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                               | SABRA HEALTH CARE LP 3.2% 12/01/2031                                                                    | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |    26025000 | PA      | $24068104.78    | 0.03%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#BQ6624                                                                          | CUSIP: 3140KSLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8253927 | PA      | $6940661.47     | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOMNIGROUP INTERNATIONAL INC                                                       | SOMNIGROUP INTERNATIONAL INC 3.875% 10/15/2031 144A                                                     | CUSIP: 88023UAJ0<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |      880000 | PA      | $826057.14      | 0.00%             | 2031-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#CB1799                                                                          | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20357252 | PA      | $17181866.87    | 0.02%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO 2017-1 LTD / TCI-SYMPHONY CLO 2017-1 LLC                          | TCI-SYMPHONY CLO 2017-1 LTD / TCI-SYMPHONY CLO 2017-1 LLC AR TSFR3M+119.161 07/15/2030 144A             | CUSIP: 87232BAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      189388 | PA      | $189476.52      | 0.00%             | 2030-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                                        | MATCH GROUP HLD II LLC 3.625% 10/01/2031 144A                                                           | CUSIP: 57667JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      465000 | PA      | $421937.00      | 0.00%             | 2031-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2035#                                                                                | CUSIP: 3140XC4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      777978 | PA      | $766891.91      | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#RA6076                                                                          | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    20741767 | PA      | $17428622.44    | 0.02%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                       | DNB BANK ASA 1.605%/VAR 03/30/2028 144A                                                                 | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |     3208000 | PA      | $3130113.13     | 0.00%             | 2028-03-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BETHP 2021                                                                         | BETHP 2021 A TSFR3M+139.161 01/15/2035 144A                                                             | CUSIP: 087598AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9332000 | PA      | $9347957.72     | 0.01%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LSB INDUSTRIES INC                                                                 | LSB INDUSTRIES INC 6.25% 10/15/2028 144A                                                                | CUSIP: 502160AN4<br>LEI: 5493001H215A0HG0MI71 | Long             | DBT              | CORP              | US        |      460000 | PA      | $462407.64      | 0.00%             | 2028-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                                                | MEDLINE BORROWER LP 3.875% 04/01/2029 144A                                                              | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |      730000 | PA      | $717963.32      | 0.00%             | 2029-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                                                    | BANK 20-BNK25 XB CSTR 01/15/2063                                                                        | CUSIP: 06539WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    30600000 | PA      | $510383.52      | 0.00%             | 2063-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                       | SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028                                                            | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |     4282000 | PA      | $4089939.03     | 0.00%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TOPBUILD CORP                                                                      | TOPBUILD CORP 4.125% 02/15/2032 144A                                                                    | CUSIP: 89055FAC7<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |     1170000 | PA      | $1111970.57     | 0.00%             | 2032-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHEQUITY INC                                                                   | HEALTHEQUITY INC 4.5% 10/01/2029 144A                                                                   | CUSIP: 42226AAA5<br>LEI: 529900LRJU1RAFQHM467 | Long             | DBT              | CORP              | US        |      850000 | PA      | $827914.88      | 0.00%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 2.646% 10/04/2031 144A                                                            | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     3414000 | PA      | $3040568.66     | 0.00%             | 2031-10-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 1.73% 10/02/2026 144A                                                             | CUSIP: 04685A3D1<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     4975000 | PA      | $4906775.09     | 0.01%             | 2026-10-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| Phillips Edison Grocery Center Operating Partnership I LP                          | Phillips Edison Grocery Center Operating Partnership I LP 2.625% 11/15/2031                             | CUSIP: 71845JAA6<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |     5917000 | PA      | $5374892.09     | 0.01%             | 2031-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.187% 11/15/2036 144A                                                                     | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     6678000 | PA      | $5760938.64     | 0.01%             | 2036-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.137% 11/15/2035 144A                                                                     | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     6850000 | PA      | $5989327.85     | 0.01%             | 2035-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| 180 MEDICAL INC                                                                    | 180 MEDICAL INC 3.875% 10/15/2029 144A                                                                  | CUSIP: 682357AA6<br>LEI: 254900ZB648OPWVFVX59 | Long             | DBT              | CORP              | US        |     3005000 | PA      | $2943232.83     | 0.00%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2041#ZL1693                                                                        | CUSIP: 3131XG3A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      449435 | PA      | $457119.90      | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2041#AI9851                                                                        | CUSIP: 3138AP5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99560 | PA      | $101249.20      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2047#FM3371                                                                        | CUSIP: 3140X6W98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      220893 | PA      | $224632.74      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#MA4466                                                                        | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    42600861 | PA      | $37130296.86    | 0.04%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2051#                                                                              | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2367524 | PA      | $2063499.43     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 10/20/2051#MA7648                                                                            | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11342026 | PA      | $9611161.44     | 0.01%             | 2051-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 01/01/2051#MA4236                                                                        | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    23259895 | PA      | $18521328.99    | 0.02%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                 | MITSUBISHI UFJ FIN GRP INC 1.64%/VAR 10/13/2027                                                         | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     4211000 | PA      | $4153037.82     | 0.00%             | 2027-10-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| THOR INDUSTRIES INC                                                                | THOR INDUSTRIES INC 4% 10/15/2029 144A                                                                  | CUSIP: 885160AA9<br>LEI: 254900XZO1228PDSG060 | Long             | DBT              | CORP              | US        |      660000 | PA      | $633534.20      | 0.00%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2032#FM1681                                                                        | CUSIP: 3140X42P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12643012 | PA      | $12293135.33    | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                                                               | HEIMSTADEN BOSTAD AB EUSA5+NA PERP REGS                                                                 | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | EP               | CORP              | SE        |      195000 | PA      | $229681.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 09/20/2051#MA7590                                                                            | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100229 | PA      | $91950.55       | 0.00%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2021-C11                                                              | BBCMS MTG TR 2021-C11 ASB 2.108% 09/15/2054                                                             | CUSIP: 05493MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1908160.00     | 0.00%             | 2054-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORP                                                                  | VERTIV GROUP CORP 4.125% 11/15/2028 144A                                                                | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |      635000 | PA      | $632435.41      | 0.00%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/51#MA4468                                                                             | CUSIP: 31418D6E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2878813 | PA      | $2723606.49     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 2.379% 06/15/2028                                                                      | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     6588000 | PA      | $6348872.53     | 0.01%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 10/01/2041#RB5132                                                                        | CUSIP: 3133KYVZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4153480 | PA      | $3815275.98     | 0.00%             | 2041-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2021-XL2                                                                        | BX TRUST 21-XL2 A TSFR1M+80.298 10/15/2036 144A                                                         | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5510848 | PA      | $5509126.29     | 0.01%             | 2038-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 2.045% 11/20/2051 144A                                                                | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |     9370095 | PA      | $9228178.35     | 0.01%             | 2051-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 02/01/2036#MA4260                                                                        | CUSIP: 31418DWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      479732 | PA      | $438832.23      | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 02/01/2036#FM5367                                                                        | CUSIP: 3140X86D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      470544 | PA      | $430428.28      | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 08/01/2036#SB8114                                                                        | CUSIP: 3132D6AP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      403609 | PA      | $368127.41      | 0.00%             | 2036-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 01/01/2036#MA4228                                                                        | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    24193455 | PA      | $22130846.52    | 0.02%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 03/01/2036#SB8092                                                                        | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      370364 | PA      | $338788.31      | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 2.703% 04/15/2032                                                                 | CUSIP: 595112BS1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     2039000 | PA      | $1864129.06     | 0.00%             | 2032-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 3.366% 11/01/2041                                                                 | CUSIP: 595112BT9<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     2223000 | PA      | $1762262.24     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 3.477% 11/01/2051                                                                 | CUSIP: 595112BU6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     2229000 | PA      | $1634685.14     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 21-1A A23 2.791% 11/20/2051 144A                                                      | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |    28468390 | PA      | $25878449.75    | 0.03%             | 2051-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC B TSFR1M+101.328 21 10/15/2036 144A                               | CUSIP: 05609PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9701000 | PA      | $9676778.54     | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+121.308 21 10/15/2036 144A                                 | CUSIP: 05609PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10186000 | PA      | $10154209.49    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+141.278 21 10/15/2036 144A                                 | CUSIP: 05609PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3579000 | PA      | $3567829.58     | 0.00%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+206.198 21 10/15/2036 144A                                 | CUSIP: 05609PAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11390000 | PA      | $11361560.31    | 0.01%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A                                  | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    33219512 | PA      | $33157225.42    | 0.04%             | 2036-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2051#FM8864                                                                        | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1578101 | PA      | $1391724.07     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                                                | AVANTOR FUNDING INC 3.875% 11/01/2029 144A                                                              | CUSIP: 05352TAB5<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |      445000 | PA      | $424819.04      | 0.00%             | 2029-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                                           | LAMB WESTON HOLDINGS INC 4.375% 01/31/2032 144A                                                         | CUSIP: 513272AE4<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     1145000 | PA      | $1093039.21     | 0.00%             | 2032-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 2.493% 11/20/2051 144A                                                                | CUSIP: 233046AQ4<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |    16575282 | PA      | $15793277.25    | 0.02%             | 2051-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.85% 10/29/2041                              | CUSIP: 00774MAZ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     4396000 | PA      | $3659838.45     | 0.00%             | 2041-10-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.4% 10/29/2033                               | CUSIP: 00774MAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     2691000 | PA      | $2456192.95     | 0.00%             | 2033-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.3% 01/30/2032                               | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    15939000 | PA      | $14895003.79    | 0.02%             | 2032-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3% 10/29/2028                                 | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    31806000 | PA      | $30941486.52    | 0.03%             | 2028-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 2.45% 10/29/2026                              | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    14122000 | PA      | $13985330.39    | 0.01%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                              | CANADA GOVERNMENT OF 1.5% 12/01/2031                                                                    | CUSIP: 135087N26<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      580000 | PA      | $395885.79      | 0.00%             | 2031-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX 2021-BXMF                                                                       | BX 2021-BXMF TSFR1M+75.041 10/15/2026 144A                                                              | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3913524 | PA      | $3912301.08     | 0.00%             | 2026-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROBLOX CORP                                                                        | ROBLOX CORP 3.875% 05/01/2030 144A                                                                      | CUSIP: 771049AA1<br>LEI: 529900ANZDBDFU91SO19 | Long             | DBT              | CORP              | US        |     1070000 | PA      | $1021760.87     | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2051#SD8179                                                                          | CUSIP: 3132DWCQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6632147 | PA      | $6032405.75     | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FUNDING ASIA PLC                                                        | PRUDENTIAL FUNDING ASIA PLC T5Y+NA 11/03/2033 REGS                                                      | CUSIP: N/A<br>LEI: 2549005TNASWKLR0XC37       | Long             | DBT              | CORP              | GB        |     3700000 | PA      | $3574297.27     | 0.00%             | 2033-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 1.878%/VAR 11/02/2027                                                              | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     5931000 | PA      | $5838298.59     | 0.01%             | 2027-11-02      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                        | VIATRIS INC 2.7% 06/22/2030                                                                             | CUSIP: 92556VAD8<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |     4524000 | PA      | $4177310.45     | 0.00%             | 2030-06-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 4% 05/01/2033#ZS8702                                                                          | CUSIP: 3132A9U39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      338803 | PA      | $340500.20      | 0.00%             | 2033-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 4% 12/01/2033#ZT1557                                                                          | CUSIP: 3132ADWS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      626548 | PA      | $629729.84      | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                            | JANE STREET GRP/JSG FIN 4.5% 11/15/2029 144A                                                            | CUSIP: 47077WAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      155000 | PA      | $151243.30      | 0.00%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6302                                                                          | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11109119 | PA      | $9320739.81     | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                        | ASBURY AUTOMOTIVE GROUP INC 4.625% 11/15/2029 144A                                                      | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      175000 | PA      | $172274.03      | 0.00%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                        | ASBURY AUTOMOTIVE GROUP INC 5% 02/15/2032 144A                                                          | CUSIP: 043436AX2<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      785000 | PA      | $763424.88      | 0.00%             | 2032-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 02/01/2051#CA9256                                                                        | CUSIP: 3140QHJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26909947 | PA      | $21520285.29    | 0.02%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2.9% 12/01/2033                                                              | CUSIP: 22003BAP1<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    17416000 | PA      | $15108764.37    | 0.02%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L7 A3                                                                     | MSC 2021-L7 A3 2.336% 10/15/2054                                                                        | CUSIP: 61772TBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4762135.00     | 0.01%             | 2054-10-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AASET 2021-1 TR                                                                    | AASET 2021-1 TR 2.95% 11/16/2041 144A                                                                   | CUSIP: 00038PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4964475 | PA      | $4832858.34     | 0.01%             | 2041-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                                                    | BX TR 2021-ACNT TSFR1M+96.448 11/15/2026 144A                                                           | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1157980 | PA      | $1157617.65     | 0.00%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021-1                                                   | TOWD POINT MORTGAGE TRUST 2021-1 VAR 11/25/2061 144A                                                    | CUSIP: 89179YAR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    19680284 | PA      | $18688562.68    | 0.02%             | 2061-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                                                      | FORD MOTOR CO 3.25% 02/12/2032                                                                          | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     6850000 | PA      | $6165706.85     | 0.01%             | 2032-02-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KOBE US MIDCO 2 INC                                                                | KOBE US MIDCO 2 INC PIK VAR 11/01/2026 144A                                                             | CUSIP: 499894AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      589519 | PA      | $509933.94      | 0.00%             | 2026-11-01      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2051#SD8183                                                                        | CUSIP: 3132DWCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5211402 | PA      | $4542183.16     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 11/20/2051#MA7704                                                                            | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3848714 | PA      | $3261376.21     | 0.00%             | 2051-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTL INC                                                         | GRAPHIC PACKAGING INTL INC 3.75% 02/01/2030 144A                                                        | CUSIP: 38869AAD9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |      395000 | PA      | $373819.11      | 0.00%             | 2030-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                              | OPEN TEXT CORPORATION 3.875% 12/01/2029 144A                                                            | CUSIP: 683715AD8<br>LEI: 549300UQROQS42RKHM85 | Long             | DBT              | CORP              | CA        |      335000 | PA      | $301515.61      | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                  | STORE CAPITAL LLC 2.7% 12/01/2031                                                                       | CUSIP: 862121AD2<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |     4208000 | PA      | $3764491.99     | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 2.85% 12/15/2032                                                                     | CUSIP: 756109BL7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |      300000 | PA      | $273337.84      | 0.00%             | 2032-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 2.311%/VAR 11/16/2027                                                    | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     2513000 | PA      | $2482475.87     | 0.00%             | 2027-11-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2051#FM9210                                                                          | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    21011359 | PA      | $19229503.38    | 0.02%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 4.046% 08/15/2041 144A                                                                       | CUSIP: 91529YAS5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     2634000 | PA      | $2185327.60     | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP D TSFR1M+169.268 82 11/15/2038 144A                                                   | CUSIP: 78472UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3607019 | PA      | $3608363.20     | 0.00%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A                                                      | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    45505581 | PA      | $45491360.84    | 0.05%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP TSFR1M+144.348 9 11/15/2038 144A                                                      | CUSIP: 78472UAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5225983 | PA      | $5224349.71     | 0.01%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP B TSFR1M+119.428 98 11/15/2038 144A                                                   | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21261276 | PA      | $21254632.29    | 0.02%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 12/01/2035#FM5278                                                                          | CUSIP: 3140X82L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      467963 | PA      | $436002.93      | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 12/01/2036#SB8131                                                                        | CUSIP: 3132D6A83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      265196 | PA      | $241841.03      | 0.00%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2051#FM6540                                                                        | CUSIP: 3140XAHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18149213 | PA      | $16141875.18    | 0.02%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                     | VIRGINIA ELECTRIC AND POWER CO 2.3% 11/15/2031                                                          | CUSIP: 927804GE8<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2073768.30     | 0.00%             | 2031-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9633                                                                          | CUSIP: 3140XDV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17842829 | PA      | $16329678.42    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                                                       | TAPESTRY INC 3.05% 03/15/2032                                                                           | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    45138000 | PA      | $41944808.79    | 0.04%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                       | US FOODS INC 4.625% 06/01/2030 144A                                                                     | CUSIP: 90290MAE1<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |      130000 | PA      | $128707.92      | 0.00%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#FM9501                                                                        | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    22907849 | PA      | $20159436.37    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2051#RA6434                                                                        | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15435527 | PA      | $13525736.74    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 06/01/2036#MA4359                                                                        | CUSIP: 31418DZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10066905 | PA      | $9192923.06     | 0.01%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 21-GS5                                                 | LEGACY MORTGAGE ASSET TRUST 21-GS5 VAR 07/25/2067 144A                                                  | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1733614 | PA      | $1741422.00     | 0.00%             | 2067-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 2.279%/VAR 11/24/2027                                                                      | CUSIP: 06738EBU8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    31514000 | PA      | $31091080.86    | 0.03%             | 2027-11-24      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                                  | VENTURE GLOBAL CALCASIEU PASS LLC 3.875% 11/01/2033 144A                                                | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      235000 | PA      | $209154.35      | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#CB2289                                                                        | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    23641725 | PA      | $20716607.66    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AASET 2021-2 TR                                                                    | AASET 2021-2 TR 2.798% 01/15/2047 144A                                                                  | CUSIP: 00258BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14823747 | PA      | $14223844.32    | 0.02%             | 2047-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/51#CB1802                                                                               | CUSIP: 3140QMAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    29503810 | PA      | $24791077.65    | 0.03%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL9 TR                                                                  | CSMC 2021-RPL9 TR VAR 02/25/2061 144A                                                                   | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2580024 | PA      | $2585778.89     | 0.00%             | 2061-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FIN CORP                                                             | CDW LLC / CDW FIN CORP 2.67% 12/01/2026                                                                 | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5350000 | PA      | $5293981.54     | 0.01%             | 2026-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9539                                                                          | CUSIP: 3140XDS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17920021 | PA      | $15068802.65    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9568                                                                          | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    28488166 | PA      | $24044496.79    | 0.03%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ZURICH FINANCE (IRELAND) DAC                                                       | ZURICH FINANCE (IRELAND) DAC 3.5%/VAR 05/02/2052 REGS                                                   | CUSIP: N/A<br>LEI: 549300E0FVHYR37EGX65       | Long             | DBT              | CORP              | IE        |     1650000 | PA      | $1510286.55     | 0.00%             | 2052-05-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.031% 09/25/2028                                                        | CUSIP: 3137H4BY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3140000 | PA      | $3013688.48     | 0.00%             | 2028-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| 3650R 2021-PF1 COMMERCIAL MORTGAGE TRUST                                           | 3650R 2021-PF1 COMMERCIAL MORTGAGE TRUST 1.122% 11/15/2054                                              | CUSIP: 88581EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2064127 | PA      | $2041066.08     | 0.00%             | 2054-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AON CORP / AON GLOBAL HOLDINGS PLC                                                 | AON CORP / AON GLOBAL HOLDINGS PLC 2.6% 12/02/2031                                                      | CUSIP: 03740LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2057000 | PA      | $1874048.05     | 0.00%             | 2031-12-02      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DOLLAR TREE INC                                                                    | DOLLAR TREE INC 2.65% 12/01/2031                                                                        | CUSIP: 256746AJ7<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |     7473000 | PA      | $6829159.50     | 0.01%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SYSTEMS INC                                                  | AMERICAN TRANSMISSION SYS INC 2.65% 01/15/2032 144A                                                     | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5846000 | PA      | $5349729.44     | 0.01%             | 2032-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#BU1269                                                                          | CUSIP: 3140M2MT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3526772 | PA      | $2976655.40     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QC9113                                                                          | CUSIP: 3133AUDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1483020 | PA      | $1251694.33     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                                | EMERA US FINANCE LP 2.639% 06/15/2031                                                                   | CUSIP: 29103DAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7893000 | PA      | $7242203.13     | 0.01%             | 2031-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.154% 10/25/2031                                                        | CUSIP: 3137H4R36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1371618.15     | 0.00%             | 2031-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2346                                                                          | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6085845 | PA      | $5136556.68     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2348                                                                          | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10961834 | PA      | $9217718.82     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2350                                                                          | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12240121 | PA      | $10284969.95    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2052#                                                                              | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      842858 | PA      | $796626.83      | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                                                                      | COHERENT CORP 5% 12/15/2029 144A                                                                        | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |     1685000 | PA      | $1685908.22     | 0.00%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#RA6510                                                                          | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    30388188 | PA      | $25553184.15    | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#CB2320                                                                        | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12339094 | PA      | $10858687.63    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6241                                                                          | CUSIP: 3133KM5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    21416156 | PA      | $17995288.87    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2049#FM3160                                                                        | CUSIP: 3140X6QN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3562742 | PA      | $3569651.52     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                               | WEC ENERGY GROUP INC 2.2% 12/15/2028                                                                    | CUSIP: 92939UAG1<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     3114000 | PA      | $2974442.57     | 0.00%             | 2028-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM7 TR                                                                  | GCAT 2021-NQM7 TR 1.888% 08/25/2066 144A                                                                | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      676252 | PA      | $638320.75      | 0.00%             | 2066-08-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QD0109                                                                          | CUSIP: 3133AWDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1521165 | PA      | $1279135.76     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#QD0399                                                                          | CUSIP: 3133AWNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1266608 | PA      | $1065080.23     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6239                                                                          | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5447896 | PA      | $4581092.21     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6308                                                                          | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2051210 | PA      | $1724845.74     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#BU2527                                                                          | CUSIP: 3140M3YZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8909485 | PA      | $7491914.43     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2052#MA4548                                                                        | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      974092 | PA      | $849004.72      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 12/20/2051#MA7767                                                                          | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    58966815 | PA      | $52051003.76    | 0.06%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-M2S A3 VAR 10/25/2031                                                 | CUSIP: 3136BJZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2023230 | PA      | $1826069.07     | 0.00%             | 2031-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                           | COOPERATIEVE RABOBANK UA 1.98%/VAR 12/15/2027 144A                                                      | CUSIP: 74977RDL5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     3614000 | PA      | $3559211.87     | 0.00%             | 2027-12-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 12/20/2051#MA7766                                                                            | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1662500 | PA      | $1408792.21     | 0.00%             | 2051-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#SD8190                                                                          | CUSIP: 3132DWC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1376026 | PA      | $1252022.74     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#FM9894                                                                        | CUSIP: 3140XD7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38152 | PA      | $33466.93       | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 03/01/2051#BQ7764                                                                        | CUSIP: 3140KTTW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      904749 | PA      | $719017.12      | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 12/01/2050#CA8005                                                                        | CUSIP: 3140QF3P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      150663 | PA      | $119969.87      | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 11/01/2050#CA7588                                                                        | CUSIP: 3140QFNE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43062 | PA      | $34356.78       | 0.00%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 08/01/2050#FM3828                                                                        | CUSIP: 3140X7HE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65522 | PA      | $52337.30       | 0.00%             | 2050-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 08/01/2051#FM9420                                                                        | CUSIP: 3140XDPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      325451 | PA      | $258640.42      | 0.00%             | 2051-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 05/01/2051#MA4343                                                                        | CUSIP: 31418DZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29325 | PA      | $23304.92       | 0.00%             | 2051-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MTG TR 2021-8                                                            | ANGEL OAK MTG TR 2021-8 1.82% 12/01/2025 144A                                                           | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1434485 | PA      | $1302573.58     | 0.00%             | 2066-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 10/01/2035#SB8068                                                                        | CUSIP: 3132D56D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      131981 | PA      | $121017.51      | 0.00%             | 2035-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61                                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61 2.525% 11/15/2054                                        | CUSIP: 95003QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5380000 | PA      | $5162511.89     | 0.01%             | 2054-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61                                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61 2.658% 11/15/2054                                        | CUSIP: 95003QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4572691.00     | 0.00%             | 2054-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2050#SD8115                                                                          | CUSIP: 3132DWAQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9747335 | PA      | $8890258.04     | 0.01%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#MA4513                                                                          | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1235632 | PA      | $1120419.04     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#FM9919                                                                          | CUSIP: 3140XEAV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    24995187 | PA      | $22852052.48    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2051#FM9049                                                                          | CUSIP: 3140XDBT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    41182902 | PA      | $37780498.59    | 0.04%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2051#RA5998                                                                          | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    20009248 | PA      | $18324881.30    | 0.02%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#CB2166                                                                          | CUSIP: 3140QMMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11550391 | PA      | $10563648.28    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                            | SANTANDER HLDGS USA INC 2.49%/VAR 01/06/2028                                                            | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     5300000 | PA      | $5223602.46     | 0.01%             | 2028-01-06      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#FS0208                                                                        | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      435582 | PA      | $384139.14      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2052#FS0121                                                                          | CUSIP: 3140XFD32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      198414 | PA      | $166348.59      | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#QD4275                                                                          | CUSIP: 3133B1XC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5008527 | PA      | $4557173.82     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2052#                                                                              | CUSIP: 31418EBU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35438 | PA      | $33447.50       | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 3.5% 02/12/2034                                                            | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1035000 | PA      | $906142.50      | 0.00%             | 2034-02-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#MA4512                                                                        | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5912710 | PA      | $5153432.80     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#CB2622                                                                        | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      641392 | PA      | $565642.66      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 2.717% 01/07/2029 144A                                                            | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4747588.05     | 0.01%             | 2029-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                     | VIRGINIA ELECTRIC AND POWER CO 2.4% 03/30/2032                                                          | CUSIP: 927804GG3<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1552445.12     | 0.00%             | 2032-03-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                     | AIR LEASE CORP 2.2% 01/15/2027                                                                          | CUSIP: 00914AAR3<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     3428000 | PA      | $3376018.19     | 0.00%             | 2027-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.875%/VAR PERP 144A                                                                       | CUSIP: 902613AJ7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EP               | CORP              | CH        |     4770000 | PA      | $4750657.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 3.1% 01/12/2032                                                                | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     7510000 | PA      | $6945300.49     | 0.01%             | 2032-01-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 2.35% 02/26/2027                                                               | CUSIP: 37045XDR4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     1414000 | PA      | $1391748.59     | 0.00%             | 2027-02-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NYMT LN TR 2022-CP1                                                                | NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A                                                             | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10292812 | PA      | $9789686.38     | 0.01%             | 2061-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2051#MA4495                                                                        | CUSIP: 31418D7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19512123 | PA      | $18447962.98    | 0.02%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/01/2052#RA6623                                                                        | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10418991 | PA      | $9168952.58     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2050#FM5305                                                                          | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      185542 | PA      | $156832.55      | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2052#SD8193                                                                          | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10522377 | PA      | $8769265.18     | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                                                       | VONTIER CORP 2.4% 04/01/2028                                                                            | CUSIP: 928881AD3<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |     7691000 | PA      | $7426488.97     | 0.01%             | 2028-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC                 | FERTITTA ENTERTAINMENT LLC / FERTITTA ENTERTAINMENT FINANCE CO INC 6.75% 01/15/2030 144A                | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1060000 | PA      | $999706.99      | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                                                       | VONTIER CORP 2.95% 04/01/2031                                                                           | CUSIP: 928881AF8<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |     8630000 | PA      | $8017241.87     | 0.01%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 2.591%/VAR 01/20/2028 144A                                                                  | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     2740000 | PA      | $2705959.20     | 0.00%             | 2028-01-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2051#MA4415                                                                          | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      781540 | PA      | $711110.05      | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 05/01/2051#CB0531                                                                          | CUSIP: 3140QKSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87082 | PA      | $79560.65       | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2051#RA5267                                                                          | CUSIP: 3133KLZ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2706373 | PA      | $2472632.26     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 01/01/2051#SD8120                                                                        | CUSIP: 3132DWAV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    23006756 | PA      | $18319760.16    | 0.02%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                               | COMMERCIAL METALS CO 4.375% 03/15/2032                                                                  | CUSIP: 201723AR4<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |      220000 | PA      | $210738.59      | 0.00%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.963%/VAR 01/25/2033                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     9341000 | PA      | $8663664.01     | 0.01%             | 2033-01-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 01/20/2052#MA7827                                                                          | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    19473975 | PA      | $17190006.55    | 0.02%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                                                            | SBA COMMUNICATIONS CORP 3.125% 02/01/2029                                                               | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |     2395000 | PA      | $2302724.48     | 0.00%             | 2029-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 3.102%/VAR 02/24/2033                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    40000000 | PA      | $37114216.80    | 0.04%             | 2033-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2050#SD7528                                                                          | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      241321 | PA      | $203980.73      | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 2.475%/VAR 01/21/2028                                                                    | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4933457.40     | 0.01%             | 2028-01-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| RYAN SPECIALTY LLC                                                                 | RYAN SPECIALTY LLC 4.375% 02/01/2030 144A                                                               | CUSIP: 78351MAA0<br>LEI: 549300K52N7QBO3PYY45 | Long             | DBT              | CORP              | US        |      650000 | PA      | $632274.18      | 0.00%             | 2030-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ERO COPPER CORP                                                                    | ERO COPPER CORP 6.5% 02/15/2030 144A                                                                    | CUSIP: 296006AA7<br>LEI: 549300KL8A21SEIO8I47 | Long             | DBT              | CORP              | CA        |     1040000 | PA      | $1045200.00     | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2022-RPL1                                                 | BRAVO RESIDENTIAL FDG TR 2022-RPL1 2.75% 09/25/2061 144A                                                | CUSIP: 10569XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    13441996 | PA      | $12561334.52    | 0.01%             | 2061-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 18-1A 4.008% 12/05/2051 144A                                           | CUSIP: 72703PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9355500 | PA      | $8952678.37     | 0.01%             | 2051-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2051#SD7548                                                                        | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    16128605 | PA      | $14233866.85    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 02/01/2042#RB5145                                                                          | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2284207 | PA      | $2033387.21     | 0.00%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2050#BQ0552                                                                          | CUSIP: 3140KKTJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37364 | PA      | $31582.23       | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2051#RA6388                                                                        | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      818047 | PA      | $721434.45      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                                      | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1511338 | PA      | $1510865.34     | 0.00%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 22-LP2 B TSFR1M+126.27 02/15/2039 144A                                     | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7546700 | PA      | $7544341.49     | 0.01%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 22-LP2 TSFR1M+196.27 02/15/2039 144A                                       | CUSIP: 05610HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5089000 | PA      | $5087409.61     | 0.01%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 2021 SR1M+156.27 02/15/2039 144A                                           | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5089000 | PA      | $5087409.55     | 0.01%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#SD0785                                                                          | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      455434 | PA      | $384393.73      | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RR 7 LTD                                                                           | RR 7 LTD A1AB TSFR3M+134 01/15/2037 144A                                                                | CUSIP: 74980EAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15740000 | PA      | $15763846.10    | 0.02%             | 2037-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.972%/VAR 02/04/2033                                                       | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    38682000 | PA      | $35757586.26    | 0.04%             | 2033-02-04      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.25% 02/15/2052                                                            | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    70500000 | PA      | $44599511.90    | 0.05%             | 2052-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 12/01/2051#SD0786                                                                          | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      319842 | PA      | $269952.40      | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/52#RA6824                                                                               | CUSIP: 3133KNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    43074893 | PA      | $36194411.22    | 0.04%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2052#RA6823                                                                          | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    33760768 | PA      | $28346958.63    | 0.03%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 01/01/2052#FS0286                                                                          | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    31231609 | PA      | $26242890.52    | 0.03%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#CB2837                                                                          | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      502752 | PA      | $424173.83      | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#CB2838                                                                          | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1126249 | PA      | $949869.49      | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DRYDEN 98 CLO LTD                                                                  | DRYDEN 98 CLO LTD A TSFR3M+130 04/20/2035 144A                                                          | CUSIP: 26248AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9710000 | PA      | $9710000.00     | 0.01%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2052#SD7549                                                                          | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3103428 | PA      | $2620316.15     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/01/2052#RA6622                                                                        | CUSIP: 3133KNLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      234114 | PA      | $205879.63      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 02/20/2052#MA7881                                                                          | CUSIP: 36179WXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       99449 | PA      | $87785.21       | 0.00%             | 2052-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#FS0599                                                                          | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90296 | PA      | $76324.18       | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 03/01/2052#SD8200                                                                        | CUSIP: 3132DWDD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    50037674 | PA      | $43549569.34    | 0.05%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2021                                                    | BINOM SECURITIZATION TRUST 2022 A1 VAR 02/25/2061 144A                                                  | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10937278 | PA      | $10414367.50    | 0.01%             | 2061-02-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/51#QD3788                                                                               | CUSIP: 3133B1F55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1054355 | PA      | $959340.17      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#MA4564                                                                          | CUSIP: 31418ECA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30143 | PA      | $27332.76       | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2052#SD8199                                                                          | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    35654108 | PA      | $29713848.27    | 0.03%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2051#BR5017                                                                          | CUSIP: 3140L3SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      734955 | PA      | $670331.15      | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#RA6604                                                                          | CUSIP: 3133KNKR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5094940 | PA      | $4635799.53     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#MA4549                                                                          | CUSIP: 31418EBT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19753895 | PA      | $17912003.85    | 0.02%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#CB2890                                                                          | CUSIP: 3140QNF80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37744 | PA      | $34343.06       | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2050#BP8807                                                                          | CUSIP: 3140KGYD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       76189 | PA      | $68966.17       | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD7340                                                                          | CUSIP: 3133B5EM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1721996 | PA      | $1564662.37     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#FS0002                                                                          | CUSIP: 3140XFAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9453835 | PA      | $8619610.70     | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#CB2662                                                                          | CUSIP: 3140QM5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      343830 | PA      | $312844.80      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#QD5561                                                                          | CUSIP: 3133B3FA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      652679 | PA      | $593861.95      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2049#BO1438                                                                          | CUSIP: 3140JVS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45397 | PA      | $41604.16       | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD7331                                                                          | CUSIP: 3133B5EC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      683186 | PA      | $623754.43      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#SD0803                                                                          | CUSIP: 3132DM3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      187513 | PA      | $170615.00      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#SD0861                                                                          | CUSIP: 3132DM5W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5945716 | PA      | $5409906.35     | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2051#FM8276                                                                          | CUSIP: 3140XCFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      817619 | PA      | $747003.41      | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2051#QD1230                                                                          | CUSIP: 3133AXLK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      328603 | PA      | $298990.10      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD6579                                                                          | CUSIP: 3133B4JY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      727650 | PA      | $659802.40      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD7367                                                                          | CUSIP: 3133B5FG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      868784 | PA      | $789405.85      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2051#QC9161                                                                          | CUSIP: 3133AUFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      264561 | PA      | $240388.76      | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD6323                                                                          | CUSIP: 3133B4AY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      746363 | PA      | $679103.39      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 12/01/2041#RB5139                                                                        | CUSIP: 3133KYV89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37218 | PA      | $34143.23       | 0.00%             | 2041-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2052#QD7445                                                                          | CUSIP: 3133B5HW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       34601 | PA      | $31634.24       | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2051#QC2481                                                                          | CUSIP: 3133ALXJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      627827 | PA      | $572034.22      | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD7457                                                                          | CUSIP: 3133B5JA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      657662 | PA      | $596340.80      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2051#RA5263                                                                          | CUSIP: 3133KLZ42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      864629 | PA      | $790493.77      | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2051#FM8088                                                                          | CUSIP: 3140XB7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1251083 | PA      | $1138339.61     | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#FS0519                                                                          | CUSIP: 3140XFSH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2122763 | PA      | $1931466.31     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2052#SD0892                                                                          | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      874506 | PA      | $738097.93      | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#FS0631                                                                          | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    25634629 | PA      | $23436667.00    | 0.03%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 3.07%/VAR 02/24/2028                                                                      | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    13000000 | PA      | $12874438.98    | 0.01%             | 2028-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.947%/VAR 02/24/2028                                                             | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     6239000 | PA      | $6175986.47     | 0.01%             | 2028-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 02/20/2052#MA7880                                                                            | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5489200 | PA      | $4651513.49     | 0.00%             | 2052-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#                                                                              | CUSIP: 3133KNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9022418 | PA      | $8552906.22     | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3037                                                                          | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4219412 | PA      | $3542795.38     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2051#QD1240                                                                          | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3675833 | PA      | $3344577.96     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 09/01/2051#QC7496                                                                          | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3802183 | PA      | $3466671.13     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2022-B33 MORTGAGE TRUST                                                  | BENCHMARK 2022-B33 MORTGAGE TRUST 3.4582% 03/15/2055                                                    | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5700000 | PA      | $5401752.63     | 0.01%             | 2055-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 3.273%/VAR 03/01/2030                                                              | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    12200000 | PA      | $11899116.28    | 0.01%             | 2030-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BELLRING BRANDS INC                                                                | BELLRING BRANDS INC 7% 03/15/2030 144A                                                                  | CUSIP: 07831CAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      790000 | PA      | $805853.72      | 0.00%             | 2030-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2052#RA6988                                                                          | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    19185022 | PA      | $17444136.70    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                            | ALABAMA POWER CO 3.05% 03/15/2032                                                                       | CUSIP: 010392FX1<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    18116000 | PA      | $17006908.23    | 0.02%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#RA6986                                                                        | CUSIP: 3133KNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3641317 | PA      | $3458655.88     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#RA6987                                                                        | CUSIP: 3133KNXQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9861468 | PA      | $9365550.53     | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 05/01/2041#SC0167                                                                        | CUSIP: 3132D9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    19819273 | PA      | $18274301.56    | 0.02%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 3.784% 03/14/2032 144A                                                      | CUSIP: 202712BS3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    16472000 | PA      | $15906678.32    | 0.02%             | 2032-03-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/01/2052#CB3174                                                                        | CUSIP: 3140QNQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17022004 | PA      | $16093650.73    | 0.02%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 03/20/2052#                                                                                  | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    23512777 | PA      | $19931927.00    | 0.02%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK39                                                                    | BANK 2022-BNK39 2.82% 02/15/2055                                                                        | CUSIP: 06539VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3843728.40     | 0.00%             | 2055-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 11/01/2041#MA4473                                                                        | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    30765798 | PA      | $26399107.13    | 0.03%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.25% 04/01/2053        | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    12482000 | PA      | $10067598.88    | 0.01%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.5% 04/01/2063         | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2304000 | PA      | $1838637.67     | 0.00%             | 2063-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2051#                                                                              | CUSIP: 3132DWCL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10340365 | PA      | $9782880.84     | 0.01%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                              | CUSIP: 3140XCWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3815096 | PA      | $3611796.10     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2051#                                                                              | CUSIP: 3140QMCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41714 | PA      | $39465.16       | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2052#                                                                              | CUSIP: 3140XFZF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4655087 | PA      | $4414298.71     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2051#                                                                              | CUSIP: 31418D5A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      464529 | PA      | $439485.00      | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2051#                                                                              | CUSIP: 3132DWB93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4496866 | PA      | $4257235.44     | 0.00%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2050#FM7569                                                                        | CUSIP: 3140XBMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1076013 | PA      | $1020354.87     | 0.00%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                      | BAT INTL FINANCE PLC 4.448% 03/16/2028                                                                  | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |     4764000 | PA      | $4809047.67     | 0.01%             | 2028-03-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 4.224% 03/15/2032                                                                      | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    27701000 | PA      | $27074400.33    | 0.03%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL PLC                                                         | ANGLO AMERICAN CAPITAL PLC 3.875% 03/16/2029 144A                                                       | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     6227000 | PA      | $6180733.39     | 0.01%             | 2029-03-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.7% 02/16/2032                                                                     | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    13774000 | PA      | $13813944.60    | 0.01%             | 2032-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                              | CANADA GOVERNMENT OF 2% 06/01/2032                                                                      | CUSIP: 135087N59<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      575000 | PA      | $401061.84      | 0.00%             | 2032-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                              | CUSIP: 3140XCWJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15648409 | PA      | $14814530.32    | 0.02%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                              | CUSIP: 3140XCYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15943262 | PA      | $15103635.18    | 0.02%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2051#                                                                              | CUSIP: 3140XEC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7624379 | PA      | $7213322.98     | 0.01%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2051#                                                                              | CUSIP: 3133B1GE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8447023 | PA      | $7983696.16     | 0.01%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2052#                                                                              | CUSIP: 3133B3Q42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5795091 | PA      | $5477225.04     | 0.01%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                                | BROWN and BROWN INC 4.2% 03/17/2032                                                                     | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     3550000 | PA      | $3422395.36     | 0.00%             | 2032-03-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 3.526%/VAR 03/24/2028                                                            | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    25667000 | PA      | $25534343.45    | 0.03%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 08/20/2051#MA7535                                                                            | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8862219 | PA      | $8130229.03     | 0.01%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 03/20/2052#                                                                                | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2024645 | PA      | $1787346.67     | 0.00%             | 2052-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                         | VOLKSWAGEN INTL FINANCE NV 3.748%/VAR PERP REGS                                                         | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |      500000 | PA      | $593392.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#FS1074                                                                          | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7122923 | PA      | $6558934.29     | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 11/01/2031#ZS8629                                                                        | CUSIP: 3132A9SS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2382437 | PA      | $2317320.19     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 3.75% 04/01/2032                                                                          | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    19417000 | PA      | $18809908.27    | 0.02%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 4.95% 05/28/2027                                                               | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    20213000 | PA      | $20353685.11    | 0.02%             | 2027-05-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                                | NOVOLEX TERM 1LN 04/13/2029                                                                             | CUSIP: 18972FAC6<br>LEI: 254900QKSDYFR3K5YD98 | Long             | LON              | CORP              | US        |     1207576 | PA      | $1196732.43     | 0.00%             | 2029-04-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                          | INVITATION HOMES OPERATING PARTNERSHIP LP 4.15% 04/15/2032                                              | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    13560000 | PA      | $13197895.93    | 0.01%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                           | COOPERATIEVE RABOBANK UA 3.649%/VAR 04/06/2028 144A                                                     | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     6943000 | PA      | $6922328.12     | 0.01%             | 2028-04-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                                             | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                                        | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9702335 | PA      | $9702334.62     | 0.01%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+184.8 04/15/2024 144A                                                          | CUSIP: 05609WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8004500 | PA      | $8007001.47     | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+219.7 04/15/2024 144A                                                          | CUSIP: 05609WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2241400 | PA      | $2244195.04     | 0.00%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+274.6 04/15/2024 144A                                                          | CUSIP: 05609WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1512000 | PA      | $1514835.00     | 0.00%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/52#SD7552                                                                             | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24470 | PA      | $21580.03       | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032                                                              | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     8742000 | PA      | $8297800.01     | 0.01%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 4.3% 04/15/2052                                                                | CUSIP: 02666TAF4<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     5604000 | PA      | $4446700.87     | 0.00%             | 2052-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 4.3% 04/06/2029                                                                | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     6975000 | PA      | $7005492.89     | 0.01%             | 2029-04-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                         | HESS MIDSTREAM PARTNERS LP 5.5% 10/15/2030 144A                                                         | CUSIP: 428102AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1235000 | PA      | $1244314.37     | 0.00%             | 2030-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                         | HILCORP ENERGY I LP/FIN CO 6% 04/15/2030 144A                                                           | CUSIP: 431318AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      555000 | PA      | $546642.42      | 0.00%             | 2030-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                       | SUN CMNTYS OPER LTD PRTNRSHP 4.2% 04/15/2032                                                            | CUSIP: 866677AH0<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |     9341000 | PA      | $9157972.35     | 0.01%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2052#CB3331                                                                        | CUSIP: 3140QNVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    69735551 | PA      | $66368132.35    | 0.07%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG'06 PTY LTD                                                       | FMG RES AUGUST 2006 PTY LTD 6.125% 04/15/2032 144A                                                      | CUSIP: 30251GBE6<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |      160000 | PA      | $167595.51      | 0.00%             | 2032-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                     | BLACKSTONE PRIVATE CREDIT FUND 4.875% 04/14/2026 REGS                                                   | CUSIP: N/A<br>LEI: 549300ORP3TTCNXSYO43       | Long             | DBT              | CORP              | US        |     1155000 | PA      | $1556053.31     | 0.00%             | 2026-04-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2052#QE0420                                                                          | CUSIP: 3133B9PD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2355061 | PA      | $2159756.86     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2052#QE0424                                                                          | CUSIP: 3133B9PH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2051660 | PA      | $1877670.63     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2052#QE0451                                                                        | CUSIP: 3133B9QC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1308751 | PA      | $1243918.04     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2052#QE0452                                                                          | CUSIP: 3133B9QD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1526703 | PA      | $1395323.32     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2052#BV8738                                                                          | CUSIP: 3140MNV86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2489274 | PA      | $2275060.72     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 10/01/2041#RB5131                                                                          | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1011406 | PA      | $902165.14      | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 10/01/2041#                                                                                | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33568 | PA      | $29941.92       | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 07/01/2041#                                                                                | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15621867 | PA      | $13978459.09    | 0.01%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 03/01/2041#RB5104                                                                        | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2549095 | PA      | $2202780.44     | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 04/01/2041#RB5107                                                                        | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6063687 | PA      | $5232445.78     | 0.01%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 12/01/2040#RB5089                                                                        | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1453806 | PA      | $1259050.49     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 02/01/2041#RB5099                                                                        | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9181324 | PA      | $7939581.46     | 0.01%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 11/01/2040#MA4175                                                                        | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2396075 | PA      | $2076638.82     | 0.00%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 01/01/2041#MA4231                                                                        | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4056742 | PA      | $3510887.51     | 0.00%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 02/01/2041#MA4266                                                                        | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2491105 | PA      | $2154352.10     | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 03/01/2041#MA4286                                                                        | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2547428 | PA      | $2201663.47     | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2052#FS1443                                                                        | CUSIP: 3140XGS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      110998 | PA      | $105222.14      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 02/01/2051#MA4254                                                                        | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18779329 | PA      | $14924212.65    | 0.02%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#FM6863                                                                          | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      504420 | PA      | $426211.61      | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#                                                                                | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      249996 | PA      | $229732.81      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#                                                                                | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1039785 | PA      | $877596.63      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.21%/VAR 04/20/2028                                                                     | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     6115000 | PA      | $6126714.51     | 0.01%             | 2028-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.586%/VAR 04/26/2033                                                             | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    50039000 | PA      | $50563704.95    | 0.05%             | 2033-04-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 04/20/2052#MA7988                                                                            | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   145902892 | PA      | $133874599.16   | 0.14%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 04/20/2052#                                                                                | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7794089 | PA      | $6880582.54     | 0.01%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.75% 02/15/2028                                                                     | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    14680000 | PA      | $14825931.97    | 0.02%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.95% 02/15/2030                                                                     | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    21594000 | PA      | $21950708.48    | 0.02%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 5.125% 05/15/2032                                                                    | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    14187000 | PA      | $14390333.05    | 0.02%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2052#RA7311                                                                        | CUSIP: 3133KPDQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15324656 | PA      | $14551130.24    | 0.02%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2052#RA7312                                                                        | CUSIP: 3133KPDR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12340809 | PA      | $11729465.12    | 0.01%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT K141 A2 2.25% 02/25/2032                                                 | CUSIP: 3137H6ZM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    55000000 | PA      | $50257163.00    | 0.05%             | 2032-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.571%/VAR 04/27/2033                                                       | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     8718000 | PA      | $8753470.58     | 0.01%             | 2033-04-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.376%/VAR 04/27/2028                                                       | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3650000 | PA      | $3666699.48     | 0.00%             | 2028-04-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2052#CB3509                                                                          | CUSIP: 3140QN3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    49648751 | PA      | $48765803.04    | 0.05%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2050#                                                                              | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      955473 | PA      | $845018.27      | 0.00%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2050#RA3913                                                                        | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8140449 | PA      | $7199397.73     | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                              | MINERAL RESOURCES LTD 8% 11/01/2027 144A                                                                | CUSIP: 603051AC7<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |     2075000 | PA      | $2120578.00     | 0.00%             | 2027-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2052#SD0958                                                                        | CUSIP: 3132DNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13788725 | PA      | $13122889.31    | 0.01%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 2.355% 03/15/2032                                                            | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    11895000 | PA      | $10622129.37    | 0.01%             | 2032-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9538                                                                          | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      720143 | PA      | $607812.87      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+129.524 05/15/2039 144A                                       | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    43080997 | PA      | $41627013.35    | 0.04%             | 2039-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A                                       | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22757000 | PA      | $21394593.03    | 0.02%             | 2039-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022-BMR2 C TSFR1M+209.31 05/15/2039 144A                                 | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8790000 | PA      | $8003538.48     | 0.01%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+254.191 05/15/2039 144A                                       | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8790000 | PA      | $7436560.63     | 0.01%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3101                                                                          | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1099978 | PA      | $927712.73      | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3105                                                                          | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      754601 | PA      | $636659.95      | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2047#RA7212                                                                        | CUSIP: 3133KPAM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5552973 | PA      | $5279622.71     | 0.01%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2047#RA7313                                                                        | CUSIP: 3133KPDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3803161 | PA      | $3613570.45     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES INC/OH                                                       | HUNTINGTON BANCSHARES INC/OH 2.487%/VAR 08/15/2036                                                      | CUSIP: 446150AX2<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |     4490000 | PA      | $3966337.45     | 0.00%             | 2036-08-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.875% 05/15/2052                                                           | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   409400000 | PA      | $297486669.83   | 0.32%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 4.927%/VAR 05/10/2028                                                              | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     6900000 | PA      | $6968069.67     | 0.01%             | 2028-05-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY STEP 08/01/2027                                                                        | CUSIP: 842587DD6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     1724000 | PA      | $1752432.47     | 0.00%             | 2027-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2047#RA7377                                                                        | CUSIP: 3133KPFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5764273 | PA      | $5476919.08     | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2052#RA7380                                                                        | CUSIP: 3133KPFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      432311 | PA      | $409678.89      | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 06/01/2052#SD8219                                                                        | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      151677 | PA      | $132009.78      | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2052#BU6885                                                                        | CUSIP: 3140M8UK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       91643 | PA      | $80275.58       | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 06/01/2052#MA4623                                                                        | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      991735 | PA      | $864072.26      | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2051#RA5746                                                                        | CUSIP: 3133KML37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1740982 | PA      | $1658545.32     | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2051#RA6010                                                                        | CUSIP: 3133KMVB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1263607 | PA      | $1202984.46     | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                      | INTERCONTINENTAL EXCHANGE INC 4.35% 06/15/2029                                                          | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     3724000 | PA      | $3769789.56     | 0.00%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 09/01/2035#MA4122                                                                        | CUSIP: 31418DSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88118 | PA      | $80907.99       | 0.00%             | 2035-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                     | VIRGINIA ELECTRIC AND POWER CO 3.75% 05/15/2027                                                         | CUSIP: 927804GH1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1997646.64     | 0.00%             | 2027-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                    | NXP B V/NXP FDG LLC/NXP USA INC 2.65% 02/15/2032                                                        | CUSIP: 62954HAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    16241000 | PA      | $14671581.66    | 0.02%             | 2032-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 05/20/2052#MA8043                                                                            | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   187516515 | PA      | $172057578.10   | 0.18%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                    | NXP B V/NXP FDG LLC/NXP USA INC 3.4% 05/01/2030                                                         | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     5200000 | PA      | $5039486.50     | 0.01%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                      | VOLKSWAGEN GROUP AMER FIN LLC 4.35% 06/08/2027 144A                                                     | CUSIP: 928668BS0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     3394000 | PA      | $3403382.92     | 0.00%             | 2027-06-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                                            | DARLING INGREDIENTS INC 6% 06/15/2030 144A                                                              | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |      815000 | PA      | $825399.40      | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                                                | KINETIK HOLDINGS LP 5.875% 06/15/2030 144A                                                              | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |      445000 | PA      | $450010.70      | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                              | TENET HEALTHCARE CORP 6.125% 06/15/2030                                                                 | CUSIP: 88033GDQ0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      970000 | PA      | $989354.41      | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                              | TRUIST FINANCIAL CORP 4.123%/VAR 06/06/2028                                                             | CUSIP: 89788MAG7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2004451.66     | 0.00%             | 2028-06-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 5.17% 06/08/2027                                                                  | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    10297000 | PA      | $10422222.33    | 0.01%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 5.67% 06/08/2032                                                                  | CUSIP: 46817MAS6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    14050000 | PA      | $14368020.91    | 0.02%             | 2032-06-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 4.75% 06/09/2027                                                                          | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     3759000 | PA      | $3788390.23     | 0.00%             | 2027-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC                | COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC 7% 06/15/2027 144A                  | CUSIP: 19240CAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1140000 | PA      | $1119065.95     | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 5% 06/15/2052                                                                              | CUSIP: 65473PAM7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     2180000 | PA      | $1933292.87     | 0.00%             | 2052-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 2.987% 11/01/2063                                                                          | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     6248000 | PA      | $3481647.08     | 0.00%             | 2063-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 2.937% 11/01/2056                                                                          | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     1612000 | PA      | $940072.54      | 0.00%             | 2056-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 12/01/2035#QN4696                                                                          | CUSIP: 3133GBGD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1527017 | PA      | $1427501.08     | 0.00%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 3.85% 06/15/2034                                                                   | CUSIP: 26441CBR5<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     1450000 | PA      | $1735755.47     | 0.00%             | 2034-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0414                                                                        | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      184556 | PA      | $161894.41      | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 4.677% 06/15/2027 144A                                                          | CUSIP: 83368RBM3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     4831000 | PA      | $4883011.51     | 0.01%             | 2027-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AASET 2022-1 LTD                                                                   | AASET 2022-1 LTD 6% 05/16/2047 144A                                                                     | CUSIP: 00255EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4625801 | PA      | $4752478.17     | 0.01%             | 2047-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 04/01/2037#QO0016                                                                          | CUSIP: 3133WJAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1996306 | PA      | $1938256.40     | 0.00%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 03/01/2047#RA6996                                                                        | CUSIP: 3133KNXZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      245047 | PA      | $216565.79      | 0.00%             | 2047-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2052#MA4654                                                                        | CUSIP: 31418EE48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8950403 | PA      | $8453871.22     | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2052#CB3599                                                                        | CUSIP: 3140QN7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140101 | PA      | $132547.91      | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                       | ENTEGRIS INC 5.95% 06/15/2030 144A                                                                      | CUSIP: 29365BAB9<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |      990000 | PA      | $1009537.65     | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    19040000 | NC      | $-71563.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1% 12/01/2036#FS1679                                                                          | CUSIP: 3140XG2M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    67136298 | PA      | $58827221.40    | 0.06%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2052#CB3508                                                                          | CUSIP: 3140QN3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    30094479 | PA      | $29606304.32    | 0.03%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0404                                                                        | CUSIP: 3140QKNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    66954914 | PA      | $59089258.09    | 0.06%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#BQ6935                                                                        | CUSIP: 3140KSV53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11800858 | PA      | $10340774.03    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2051#QD2943                                                                        | CUSIP: 3133B0HU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18494510 | PA      | $16206241.20    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 8.875%/VAR PERP REGS                                                                       | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |      500000 | PA      | $709908.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 2.4% 03/15/2029                                                                        | CUSIP: 87264ACS2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     1208000 | PA      | $1154019.55     | 0.00%             | 2029-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 2.7% 03/15/2032                                                                        | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    13401000 | PA      | $12208564.28    | 0.01%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2052#FS1598                                                                          | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      250331 | PA      | $208623.89      | 0.00%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#CB2164                                                                          | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    22729174 | PA      | $20830051.44    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MFA 2022-RPL1 TR                                                                   | MFA 2022-RPL1 TR 3.3% 08/25/2061 144A                                                                   | CUSIP: 55285TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    36814190 | PA      | $35308813.40    | 0.04%             | 2061-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#CB2886                                                                          | CUSIP: 3140QNF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12473654 | PA      | $11404139.17    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                                                 | AVIS BUDGET RENTCAR FDG AE LLC 3.83% 08/21/2028 144A                                                    | CUSIP: 05377REZ3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |    53202000 | PA      | $53102193.05    | 0.06%             | 2028-08-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                 | MITSUBISHI UFJ FIN GRP INC 5.017%/VAR 07/20/2028                                                        | CUSIP: 606822CL6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     4690000 | PA      | $4759860.46     | 0.01%             | 2028-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2022                                                                | TOWD PT MTG TR 2022 3.75% 07/25/2062 144A                                                               | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    35378309 | PA      | $34481645.56    | 0.04%             | 2062-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 4.897%/VAR 07/25/2033                                                            | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   106510000 | PA      | $108618120.48   | 0.12%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.912%/VAR 07/25/2033                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   115454000 | PA      | $118376787.28   | 0.13%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.889%/VAR 07/20/2033                                                                    | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    49499000 | PA      | $50488795.37    | 0.05%             | 2033-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0454                                                                        | CUSIP: 3140QKQG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    45387154 | PA      | $39799909.38    | 0.04%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     6830000 | NC      | $-25671.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.948%/VAR 07/22/2028                                                       | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5062768.30     | 0.01%             | 2028-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.015%/VAR 07/22/2033                                                       | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    35614000 | PA      | $36660469.31    | 0.04%             | 2033-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 07/20/2052#MA8149                                                                          | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    53165343 | PA      | $50429299.89    | 0.05%             | 2052-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                        | IMPERIAL BRANDS FINANCE PLC 6.125% 07/27/2027 144A                                                      | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     1197000 | PA      | $1229761.61     | 0.00%             | 2027-07-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 08/01/2052#CB4306                                                                          | CUSIP: 3140QPYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    27950073 | PA      | $28567551.32    | 0.03%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 5.247%/VAR 07/26/2030                                                              | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    19853000 | PA      | $20514810.08    | 0.02%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                  | GENERAL MOTORS CO 5.6% 10/15/2032                                                                       | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     3114000 | PA      | $3281036.30     | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2045#FM3047                                                                          | CUSIP: 3140X6L58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    47405606 | PA      | $47191958.65    | 0.05%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES INC/OH                                                       | HUNTINGTON BANCSHARES INC/OH 4.443%/VAR 08/04/2028                                                      | CUSIP: 446150BB9<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |     3628000 | PA      | $3651770.04     | 0.00%             | 2028-08-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.746%/VAR 08/09/2033                                                                      | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     2074000 | PA      | $2194855.38     | 0.00%             | 2033-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.501%/VAR 08/09/2028                                                                      | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     3000000 | PA      | $3058666.26     | 0.00%             | 2028-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2052#CB4074                                                                          | CUSIP: 3140QPQ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12652218 | PA      | $11563439.21    | 0.01%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2052#CB4355                                                                          | CUSIP: 3140QPZV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9135601 | PA      | $8346587.45     | 0.01%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2052#CB4323                                                                          | CUSIP: 3140QPYV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5663459 | PA      | $5176093.67     | 0.01%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2052#CB4075                                                                          | CUSIP: 3140QPQ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14814655 | PA      | $13539788.70    | 0.01%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                               | WESTPAC BANKING CORP 5.405%/VAR 08/10/2033                                                              | CUSIP: 961214FG3<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    12205000 | PA      | $12724012.25    | 0.01%             | 2033-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.75% 08/15/2032                                                                              | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   114019500 | PA      | $107931036.57   | 0.12%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     2780000 | NC      | $-10448.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 4.65% 08/15/2032                                                                       | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    22370000 | PA      | $22643796.50    | 0.02%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.3% 08/15/2052                                                                        | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     5092000 | PA      | $4757612.79     | 0.01%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 4.976%/VAR 08/11/2033                                                          | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     6227000 | PA      | $6382438.75     | 0.01%             | 2033-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 5.21%/VAR 08/11/2028                                                                  | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     8310000 | PA      | $8440763.92     | 0.01%             | 2028-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                                | PRUDENTIAL FINL INC T5Y+NA 09/01/2052                                                                   | CUSIP: 744320BK7<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    31987000 | PA      | $33052582.93    | 0.04%             | 2052-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 5% 08/15/2052                                                                      | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    17535000 | PA      | $15539524.19    | 0.02%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 4.3% 03/15/2028                                                                    | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     2316000 | PA      | $2334474.80     | 0.00%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 4.5% 08/15/2032                                                                    | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    12535000 | PA      | $12640524.77    | 0.01%             | 2032-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.95% 09/01/2032                                                                                | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    13900000 | PA      | $14151411.52    | 0.02%             | 2032-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                                        | ASURION TERM B10 1LN 08/19/2028                                                                         | CUSIP: 04649VBB5<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     1025013 | PA      | $1023732.09     | 0.00%             | 2028-08-19      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    17700000 | NC      | $-66527.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AGREE LP                                                                           | AGREE LP 4.8% 10/01/2032                                                                                | CUSIP: 008513AD5<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |     6806000 | PA      | $6931644.48     | 0.01%             | 2032-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 09/01/2050#CA6947                                                                        | CUSIP: 3140QEWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11105732 | PA      | $9832299.62     | 0.01%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 4.482%/VAR 08/23/2028                                                     | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3138000 | PA      | $3159392.72     | 0.00%             | 2028-08-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 08/20/2052#MA8199                                                                          | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    31428978 | PA      | $29791908.48    | 0.03%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2022-3 LLC                                                   | ENTERPRISE FLEET FING 2022-3 LLC 4.29% 07/20/2029 144A                                                  | CUSIP: 29374FAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7280000 | PA      | $7283963.23     | 0.01%             | 2029-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EASTERN GAS TRANSMISSION and STORAGE INC                                           | EASTERN GAS TRANSMISSION and STORAGE INC 3% 11/15/2029                                                  | CUSIP: 276480AH3<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |     6572000 | PA      | $6358907.96     | 0.01%             | 2029-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EASTERN GAS TRANSMISSION and STORAGE INC                                           | EASTERN GAS TRANSMISSION and STORAGE INC 3.9% 11/15/2049                                                | CUSIP: 276480AB6<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |     4359000 | PA      | $3268258.41     | 0.00%             | 2049-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY451600 12/16/72 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    16080000 | NC      | $-60438.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 5.625% 04/15/2053                                                                         | CUSIP: 548661EM5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     4017000 | PA      | $3956521.17     | 0.00%             | 2053-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2052#SD1049                                                                        | CUSIP: 3132DNEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      171131 | PA      | $162172.03      | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.717%/VAR 09/14/2033                                                             | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    64023000 | PA      | $67836709.26    | 0.07%             | 2033-09-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2052#SD1572                                                                          | CUSIP: 3132DNW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6735007 | PA      | $6862751.05     | 0.01%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 08/01/2052#BW7825                                                                          | CUSIP: 3140N0VT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2556843 | PA      | $2606937.23     | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2052#QE9929                                                                          | CUSIP: 3133BLA64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2274842 | PA      | $2303914.10     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                       | HUDSON PACIFIC PROPERTIES LP 5.95% 02/15/2028                                                           | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    17949000 | PA      | $17244526.88    | 0.02%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 5.65% 01/15/2053                                                                       | CUSIP: 87264ACW3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     2491000 | PA      | $2438455.82     | 0.00%             | 2053-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2052#BV8024                                                                          | CUSIP: 3140MM4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2515787 | PA      | $2449033.12     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTACT FINANCIAL CORP                                                              | INTACT FINL CORP 5.459% 09/22/2032 144A                                                                 | CUSIP: 45823TAL0<br>LEI: 5493009LXGE7Y4U9OY43 | Long             | DBT              | CORP              | CA        |     7368000 | PA      | $7747584.55     | 0.01%             | 2032-09-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 01/01/2037#FS2747                                                                        | CUSIP: 3140XJBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15544816 | PA      | $14195256.86    | 0.02%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2052#QE2376                                                                          | CUSIP: 3133BBT90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      535635 | PA      | $548472.74      | 0.00%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2052#QE4073                                                                          | CUSIP: 3133BDQ24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1534512 | PA      | $1571290.29     | 0.00%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 06/01/2052#BU8753                                                                          | CUSIP: 3140MAWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1295328 | PA      | $1325563.73     | 0.00%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 05/01/2052#CB3647                                                                          | CUSIP: 3140QPBR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3499482 | PA      | $3583355.29     | 0.00%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GROUP INC                                                           | CLOUD SOFTWARE GROUP INC 6.5% 03/31/2029 144A                                                           | CUSIP: 88632QAE3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      890000 | PA      | $872802.53      | 0.00%             | 2029-03-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2% 08/20/2052#MA8196                                                                            | CUSIP: 36179XC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17304 | PA      | $14742.93       | 0.00%             | 2052-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                           | EQT CORP 5.7% 04/01/2028                                                                                | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2186000 | PA      | $2260166.87     | 0.00%             | 2028-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2% 09/20/2052#MA8263                                                                            | CUSIP: 36179XFC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      111290 | PA      | $94341.50       | 0.00%             | 2052-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 09/20/2052#MA8266                                                                          | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    63433174 | PA      | $60129073.17    | 0.06%             | 2052-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 3.125% 11/23/2031                                                                 | CUSIP: 46817MAL1<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |     3030000 | PA      | $2760028.52     | 0.00%             | 2031-11-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 08/01/2052#CB4404                                                                          | CUSIP: 3140QP3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21547 | PA      | $21841.39       | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                               | ENEL FINANCE INTL NV 7.5% 10/14/2032 144A                                                               | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     1105000 | PA      | $1279165.90     | 0.00%             | 2032-10-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 04/52#QE1005                                                                             | CUSIP: 3133BADJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1347426 | PA      | $1172712.58     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2051#CA8955                                                                        | CUSIP: 3140QG5R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      172279 | PA      | $151286.70      | 0.00%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 6.342%/VAR 10/18/2033                                                                    | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    39945000 | PA      | $43962754.38    | 0.05%             | 2033-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 7.75% 10/19/2032                                                                       | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     5978000 | PA      | $7048186.88     | 0.01%             | 2032-10-19      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 10/20/2052#MA8346                                                                            | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    65910133 | PA      | $63915593.30    | 0.07%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2047#FS1789                                                                        | CUSIP: 3140XG7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13400010 | PA      | $12973130.04    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2051#CA8645                                                                          | CUSIP: 3140QGTB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36290 | PA      | $35496.76       | 0.00%             | 2051-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#FM6147                                                                          | CUSIP: 3140X9ZM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      226188 | PA      | $212295.70      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4% 11/15/2052                                                               | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   177678000 | PA      | $159632578.13   | 0.17%             | 2052-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 11/15/2032                                                                             | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    44733000 | PA      | $45851325.00    | 0.05%             | 2032-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                               | NEPTUNE BIDCO US INC 9.29% 04/15/2029 144A                                                              | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |      855000 | PA      | $857137.50      | 0.00%             | 2029-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 8.201%/VAR 11/16/2034 REGS                                                            | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |     1000000 | PA      | $1491225.24     | 0.00%             | 2034-11-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 7.1% 11/15/2027                                                                           | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    17330000 | PA      | $18165721.40    | 0.02%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 7.953%/VAR 11/15/2033                                                          | CUSIP: 539439AW9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     6196000 | PA      | $7271362.08     | 0.01%             | 2033-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 04/01/2052#SD7554                                                                        | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8670678 | PA      | $7646654.71     | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#CB2550                                                                        | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      806955 | PA      | $711652.47      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 6.27%/VAR 11/17/2033                                                                      | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    17166000 | PA      | $18836972.94    | 0.02%             | 2033-11-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK44                                                                    | BANK 2022-BNK44 5.746245% 11/15/2055                                                                    | CUSIP: 06540KAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5700000 | PA      | $6151968.96     | 0.01%             | 2055-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                    | PHILIP MORRIS INTL INC 5.75% 11/17/2032                                                                 | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     5790000 | PA      | $6245161.45     | 0.01%             | 2032-11-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2052#SD0927                                                                        | CUSIP: 3132DNA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7673461 | PA      | $7326901.54     | 0.01%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 10/01/2052#FS3047                                                                          | CUSIP: 3140XJL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7158949 | PA      | $7290259.49     | 0.01%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#CB2420                                                                          | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6081253 | PA      | $5567436.16     | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9632                                                                          | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14011228 | PA      | $12840528.10    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2051#FM9973                                                                          | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8337452 | PA      | $7651242.73     | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 10/20/2052#MA8345                                                                          | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    10008016 | PA      | $9486719.15     | 0.01%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD CR AUTO OWNER TR 2022D                                                        | FORD CR AUTO OWNER TR 2022D 5.27% 05/17/2027                                                            | CUSIP: 345295AD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      105474 | PA      | $105692.22      | 0.00%             | 2027-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#SD1924                                                                          | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18515957 | PA      | $18855580.76    | 0.02%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2052#CB5128                                                                          | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13012832 | PA      | $13292181.33    | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2052#SD1862                                                                          | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7855126 | PA      | $8023753.67     | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9489                                                                          | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      588396 | PA      | $494961.41      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 7.416%/VAR 06/06/2033 REGS                                                            | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |      850000 | PA      | $1206995.10     | 0.00%             | 2033-06-06      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2052#SD1863                                                                          | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    27020955 | PA      | $27516578.38    | 0.03%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 06/01/2051#BQ7411                                                                          | CUSIP: 3140KTGV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      430593 | PA      | $357103.46      | 0.00%             | 2051-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#RA8292                                                                          | CUSIP: 3133KQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2894386 | PA      | $2945666.80     | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#RA8291                                                                          | CUSIP: 3133KQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3174344 | PA      | $3232568.57     | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2052#FS3248                                                                          | CUSIP: 3140XJTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12698808 | PA      | $12939668.59    | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.75% 02/15/2033                                                                     | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     7491000 | PA      | $7961415.02     | 0.01%             | 2033-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 12/01/2052#CB5273                                                                          | CUSIP: 3140QQ2F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8751122 | PA      | $8911637.15     | 0.01%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2052#FS3295                                                                          | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8125602 | PA      | $8269564.48     | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 8.3% 03/15/2028                                                          | CUSIP: 105340AR4<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    16730000 | PA      | $17655152.27    | 0.02%             | 2028-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2052#SD1733                                                                          | CUSIP: 3132DN4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17279691 | PA      | $17607438.34    | 0.02%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 10/01/2052#CB4893                                                                          | CUSIP: 3140QQNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20518763 | PA      | $20907946.81    | 0.02%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2052#QE0768                                                                        | CUSIP: 3133B9Z98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      238670 | PA      | $225429.21      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#CB3155                                                                          | CUSIP: 3140QNQH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      505931 | PA      | $421638.87      | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#CB2401                                                                        | CUSIP: 3140QMU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      384858 | PA      | $334955.68      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#FM9902                                                                          | CUSIP: 3140XEAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      485132 | PA      | $440504.14      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2052#BV4654                                                                        | CUSIP: 3140MJE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2463938 | PA      | $2329558.88     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 11/01/2052#QF3417                                                                          | CUSIP: 3133BQYN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1198468 | PA      | $1238229.55     | 0.00%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 05/01/2052#BV8477                                                                          | CUSIP: 3140MNM37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      560414 | PA      | $509560.68      | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 3.35% 03/15/2032                                                                            | CUSIP: 30161NBE0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    20066000 | PA      | $18962731.99    | 0.02%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 4.1% 03/15/2052                                                                             | CUSIP: 30161NBH3<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      379000 | PA      | $297446.13      | 0.00%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 2.75% 03/15/2027                                                                            | CUSIP: 30161NBB6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      269000 | PA      | $265830.06      | 0.00%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | Fidelity SAI International Credit Fund                                                                  | CUSIP: 31635T336<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   192727652 | NS      | $2106513233.75  | 2.26%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 6.446%/VAR 01/10/2029 144A                                                      | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     6850000 | PA      | $7125755.45     | 0.01%             | 2029-01-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 6.691%/VAR 01/10/2034 144A                                                      | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      550000 | PA      | $603969.60      | 0.00%             | 2034-01-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                                          | DUKE ENERGY CAROLINAS LLC 4.95% 01/15/2033                                                              | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8292832.16     | 0.01%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 6% 01/09/2028                                                                  | CUSIP: 37045XEB8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1962800.89     | 0.00%             | 2028-01-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 6.4% 01/09/2033                                                                | CUSIP: 37045XED4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5441877.05     | 0.01%             | 2033-01-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                                                           | EUROPEAN INVESTMENT BANK 2.875% 01/12/2033 REGS                                                         | CUSIP: N/A<br>LEI: 5493006YXS1U5GIHE750       | Long             | DBT              | CORP              | LU        |      370000 | PA      | $444720.45      | 0.00%             | 2033-01-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 6.72%/VAR 01/18/2029                                                     | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    11000000 | PA      | $11504478.26    | 0.01%             | 2029-01-18      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                                  | VENTURE GLOBAL CALCASIEU PASS LLC 6.25% 01/15/2030 144A                                                 | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      160000 | PA      | $165220.16      | 0.00%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KBC GROUPE SA/NV                                                                   | KBC GROUPE SA/NV 5.796%/VAR 01/19/2029 144A                                                             | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     6314000 | PA      | $6520181.90     | 0.01%             | 2029-01-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2052#SD1772                                                                          | CUSIP: 3132DN6H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      923913 | PA      | $908925.55      | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2052#FS1647                                                                          | CUSIP: 3140XGZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      878455 | PA      | $863107.17      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCEDES-AUTO RECEIVABLES TR 2023-1                                                | MERCEDES-BENZ AUTO RECEIVABLES TR 2023-1 4.31% 04/16/2029                                               | CUSIP: 58770AAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4500000 | PA      | $4516417.80     | 0.00%             | 2029-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                                                  | CLEAN HARBORS INC 6.375% 02/01/2031 144A                                                                | CUSIP: 184496AQ0<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |      680000 | PA      | $698172.32      | 0.00%             | 2031-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 01/01/2037#FS0216                                                                          | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11064122 | PA      | $10343069.99    | 0.01%             | 2037-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                              | ELECTRICITE DE FRANCE 5.5% 01/25/2035 REGS                                                              | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |     1500000 | PA      | $2026320.95     | 0.00%             | 2035-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                     | PNC FINANCIAL SERVICES GRP INC 5.068%/VAR 01/24/2034                                                    | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    15132000 | PA      | $15637237.20    | 0.02%             | 2034-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 01/31/2030                                                                               | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    71800000 | PA      | $71906578.48    | 0.08%             | 2030-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#SD2175                                                                          | CUSIP: 3132DPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3184808 | PA      | $3241233.86     | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 01/01/2053#SD2186                                                                          | CUSIP: 3132DPNB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10876429 | PA      | $11064030.60    | 0.01%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2052#QE4088                                                                          | CUSIP: 3133BDRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8065259 | PA      | $8218234.72     | 0.01%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2052#RA7409                                                                          | CUSIP: 3133KPGS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6375937 | PA      | $6502848.50     | 0.01%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                              | TRUIST FINANCIAL CORP 5.122%/VAR 01/26/2034                                                             | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     4235000 | PA      | $4343860.59     | 0.00%             | 2034-01-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TAOT 2023-A                                                                        | TAOT 2023-A 4.42% 08/15/2028                                                                            | CUSIP: 891940AD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4000000 | PA      | $4023575.20     | 0.00%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLAD 2023-1A                                                                      | DLLAD 2023-1A 4.79% 01/20/2028 144A                                                                     | CUSIP: 233258AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5129470 | PA      | $5149030.02     | 0.01%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B27 MTG TR                                                          | BENCHMARK 2021-B27 C MTG TR CSTR 7/15/2054                                                              | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    34370245 | PA      | $1561319.95     | 0.00%             | 2054-07-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#FM9505                                                                        | CUSIP: 3140XDR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15578407 | PA      | $13650938.82    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#FM9517                                                                        | CUSIP: 3140XDSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20586112 | PA      | $18039056.05    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3.625% 02/15/2053                                                           | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   244816000 | PA      | $205511555.03   | 0.22%             | 2053-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 02/15/2033                                                                               | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   260524000 | PA      | $256951971.07   | 0.28%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 5% 03/01/2033                                                                                   | CUSIP: 55336VBV1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7115267.88     | 0.01%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2052#RA6799                                                                        | CUSIP: 3133KNRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5630588 | PA      | $5349898.28     | 0.01%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2052#CB2679                                                                        | CUSIP: 3140QM6R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3297688 | PA      | $3133295.71     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2052#CB2906                                                                        | CUSIP: 3140QNGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6678866 | PA      | $6333395.30     | 0.01%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                              | CANADA GOVERNMENT OF 2.75% 06/01/2033                                                                   | CUSIP: 135087Q23<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      690000 | PA      | $499631.38      | 0.00%             | 2033-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2052#BU1308                                                                        | CUSIP: 3140M2N24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1721466 | PA      | $1635111.17     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2052#BU1307                                                                        | CUSIP: 3140M2NZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2640458 | PA      | $2503877.48     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2052#BU1413                                                                        | CUSIP: 3140M2SB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2063299 | PA      | $1956572.58     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/01/2052#BV6767                                                                        | CUSIP: 3140MLQV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1348857 | PA      | $1282036.60     | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2052#QD9464                                                                        | CUSIP: 3133B7QR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1520273 | PA      | $1439260.26     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2052#QE6560                                                                        | CUSIP: 3133BGJD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1179849 | PA      | $1118082.48     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2052#QE9881                                                                        | CUSIP: 3133BK6S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1548405 | PA      | $1467344.25     | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2052#QF1727                                                                        | CUSIP: 3133BN4L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      658432 | PA      | $623756.47      | 0.00%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RAND PARENT LLC                                                                    | RAND PARENT LLC 8.5% 02/15/2030 144A                                                                    | CUSIP: 753272AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      960000 | PA      | $1001396.16     | 0.00%             | 2030-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC             | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 6.5% 02/15/2028 144A             | CUSIP: 01309QAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      880000 | PA      | $895593.60      | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                              | AMERICAN AIRLINES INC 7.25% 02/15/2028 144A                                                             | CUSIP: 023771T32<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |      195000 | PA      | $198738.03      | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP                               | WYNN RESORTS FIN LLC / CAP CORP 7.125% 02/15/2031 144A                                                  | CUSIP: 983133AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      505000 | PA      | $545369.70      | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2023-REV1                                             | FORD CREDIT AUTO OWNER TRUST 2023-REV1 4.85% 08/15/2035 144A                                            | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2600000 | PA      | $2653954.94     | 0.00%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                    | PHILIP MORRIS INTL INC 5.125% 02/15/2030                                                                | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     6162000 | PA      | $6402240.67     | 0.01%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.125% 02/21/2030                                                                       | CUSIP: 126650DT4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    14148000 | PA      | $14592577.98    | 0.02%             | 2030-02-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 02/01/2036#SB8088                                                                        | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      586229 | PA      | $536249.80      | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.75% 03/02/2063                                                                              | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     1373000 | PA      | $1360918.19     | 0.00%             | 2063-03-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.65% 03/02/2053                                                                              | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      753000 | PA      | $751658.46      | 0.00%             | 2053-03-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.25% 03/02/2033                                                                              | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     1595000 | PA      | $1670084.13     | 0.00%             | 2033-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.15% 03/02/2028                                                                              | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     1959000 | PA      | $2006175.13     | 0.00%             | 2028-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 02/28/2030                                                                                 | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   215900000 | PA      | $220167397.36   | 0.24%             | 2030-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 5.3% 03/15/2033                                                                             | CUSIP: 30161NBK6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $9431034.03     | 0.01%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 5.6% 03/15/2053                                                                             | CUSIP: 30161NBL4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     6800000 | PA      | $6599887.76     | 0.01%             | 2053-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP NEW                                                            | PILGRIMS PRIDE CORP NEW 4.25% 04/15/2031                                                                | CUSIP: 72147KAJ7<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |      475000 | PA      | $465563.75      | 0.00%             | 2031-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP NEW                                                            | PILGRIMS PRIDE CORP NEW 3.5% 03/01/2032                                                                 | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $983567.34      | 0.00%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE PLC                                                        | YORKSHIRE WATER FINANCE PLC 5.5% 04/28/2035 REGS                                                        | CUSIP: N/A<br>LEI: 213800O8BDOGHJMTCP32       | Long             | DBT              | CORP              | GB        |      759000 | PA      | $1001457.89     | 0.00%             | 2035-04-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                             | CONSOLIDATED EDISON CO OF NY 5.2% 03/01/2033                                                            | CUSIP: 209111GE7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     8097000 | PA      | $8483768.99     | 0.01%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2028#FS3865                                                                          | CUSIP: 3140XKJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2594982 | PA      | $2555278.99     | 0.00%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AON CORP / AON GLOBAL HOLDINGS PLC                                                 | AON CORP / AON GLOBAL HOLDINGS PLC 5.35% 02/28/2033                                                     | CUSIP: 03740LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6000000 | PA      | $6278535.54     | 0.01%             | 2033-02-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 5.847%/VAR 03/02/2027                                                                 | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     6200000 | PA      | $6200000.00     | 0.01%             | 2027-03-02      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 5.4% 03/15/2033                                                                       | CUSIP: 125523CS7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8418577.52     | 0.01%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 02/01/2053#CB5600                                                                        | CUSIP: 3140QRGJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6216525 | PA      | $6407987.19     | 0.01%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| S and P GLOBAL INC                                                                 | S and P GLOBAL INC 3.9% 03/01/2062                                                                      | CUSIP: 78409VBM5<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     2414000 | PA      | $1820245.10     | 0.00%             | 2062-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                               | EDISON INTERNATIONAL 8.125%/VAR 06/15/2053                                                              | CUSIP: 281020AX5<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      160000 | PA      | $166317.60      | 0.00%             | 2053-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 6.254%/VAR 03/09/2034                                                                 | CUSIP: 404280DV8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      200000 | PA      | $218650.74      | 0.00%             | 2034-03-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 02/01/2036#QN5328                                                                          | CUSIP: 3133GB4M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      512615 | PA      | $479207.92      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 03/01/2036#QN5744                                                                          | CUSIP: 3133GCLZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      458435 | PA      | $428415.69      | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 03/01/2036#RC1891                                                                          | CUSIP: 3133L8C45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13878 | PA      | $12952.17       | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 02/01/2036#BR1356                                                                          | CUSIP: 3140KYQJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      587750 | PA      | $549446.40      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#BR3300                                                                          | CUSIP: 3140L1U29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      433619 | PA      | $405495.16      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 03/01/2036#CA9438                                                                          | CUSIP: 3140QHPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      553434 | PA      | $515810.34      | 0.00%             | 2036-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#FM6186                                                                          | CUSIP: 3140X92U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      437392 | PA      | $408887.16      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#FM6089                                                                          | CUSIP: 3140X9XT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      631558 | PA      | $590399.30      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#FM6342                                                                          | CUSIP: 3140XABL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      570144 | PA      | $531205.47      | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 05/01/2036#FM6899                                                                          | CUSIP: 3140XAUZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      648553 | PA      | $606691.64      | 0.00%             | 2036-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.787%/VAR 03/10/2032 REGS                                                            | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |     1270000 | PA      | $1609622.47     | 0.00%             | 2032-03-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 5.7% 03/08/2033                                                                            | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     8000000 | PA      | $8502647.84     | 0.01%             | 2033-03-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS INC                                                             | ADVANCE AUTO PARTS INC 5.95% 03/09/2028                                                                 | CUSIP: 00751YAJ5<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     5301000 | PA      | $5449708.95     | 0.01%             | 2028-03-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 03/01/2053#SD7559                                                                        | CUSIP: 3132DVMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    53630198 | PA      | $55600378.32    | 0.06%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#FM9777                                                                          | CUSIP: 3140XD2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4410437 | PA      | $4036412.37     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.75%/VAR 03/17/2032 REGS                                                                  | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |     3450000 | PA      | $4368632.61     | 0.00%             | 2032-03-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 06/01/2035#QN2404                                                                          | CUSIP: 3133G8U58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5261004 | PA      | $4942803.42     | 0.01%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2035#BP5605                                                                          | CUSIP: 3140KDGP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14806299 | PA      | $13910772.43    | 0.01%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2035#BP5691                                                                          | CUSIP: 3140KDKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17138350 | PA      | $16101774.94    | 0.02%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2035#BP5763                                                                          | CUSIP: 3140KDMM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    35316552 | PA      | $33180508.44    | 0.04%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 06/01/2035#FM3591                                                                          | CUSIP: 3140X67D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    24120430 | PA      | $22661558.76    | 0.02%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 05/01/2035#BP5830                                                                          | CUSIP: 3140KDPQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13524156 | PA      | $12706177.07    | 0.01%             | 2035-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 08/01/2035#SB8066                                                                        | CUSIP: 3132D56B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4980834 | PA      | $4573315.56     | 0.00%             | 2035-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#BQ5806                                                                        | CUSIP: 3140KRNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9154054 | PA      | $8393651.21     | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#BQ6318                                                                        | CUSIP: 3140KSAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9561739 | PA      | $8767471.29     | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#CA7953                                                                        | CUSIP: 3140QFZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4893677 | PA      | $4487172.18     | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER TR I                                                                | AMERICAN TOWER TR I 5.49% 03/15/2053 144A                                                               | CUSIP: 03027WAM4<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-CBDO         | CORP              | US        |     5029000 | PA      | $5126820.08     | 0.01%             | 2053-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 02/01/2041#RB5100                                                                          | CUSIP: 3133KYUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3940594 | PA      | $3537686.88     | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 5.25% 03/30/2028                                                                           | CUSIP: 65473PAN5<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4511526.89     | 0.00%             | 2028-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.625% 03/31/2030                                                                             | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    77300000 | PA      | $77752930.07    | 0.08%             | 2030-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENNSYLVANIA ELECTRIC CO                                               | FIRSTENERGY PENNSYLVANIA ELECTRIC CO 5.2% 04/01/2028 144A                                               | CUSIP: 591894CE8<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |     6490000 | PA      | $6637102.15     | 0.01%             | 2028-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK5 2023-5YR1                                                                    | BANK5 2023-5YR1 5.779% 04/15/2056                                                                       | CUSIP: 06644EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7633718 | PA      | $7789626.27     | 0.01%             | 2056-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                         | AVIATION CAPITAL GROUP LLC 6.25% 04/15/2028 144A                                                        | CUSIP: 05369AAN1<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6754766.98     | 0.01%             | 2028-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 6.15% 04/01/2033                                                                | CUSIP: 958667AE7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4708356.05     | 0.01%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                                        | BX 2021-LBA TSFR1M+91.45 02/15/2036 144A                                                                | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12055000 | PA      | $12047568.09    | 0.01%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 5.85% 04/06/2030                                                               | CUSIP: 37045XEG7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    10453000 | PA      | $11046890.12    | 0.01%             | 2030-04-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GROUP INC                                                           | CLOUD SOFTWARE GROUP INC 9% 09/30/2029 144A                                                             | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     1070000 | PA      | $1047796.56     | 0.00%             | 2029-09-30      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 6.8% 05/12/2028                                                                | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     6000000 | PA      | $6276308.28     | 0.01%             | 2028-05-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VALARIS LTD                                                                        | VALARIS LTD 8.375% 04/30/2030 144A                                                                      | CUSIP: 91889FAC5<br>LEI: 5299008BQ9IREYWBTS30 | Long             | DBT              | CORP              | BM        |      325000 | PA      | $340831.73      | 0.00%             | 2030-04-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ZF NORTH AMER CAP INC                                                              | ZF NORTH AMER CAP INC 6.875% 04/14/2028 144A                                                            | CUSIP: 98877DAD7<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |      375000 | PA      | $387603.38      | 0.00%             | 2028-04-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2053#SD7561                                                                          | CUSIP: 3132DVMJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4059668 | PA      | $3987471.15     | 0.00%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9464                                                                          | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      168516 | PA      | $154857.09      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TR 2023-B                                              | WORLD OMNI AUTO RECEIVABLES TR 2023-B 4.66% 05/15/2028                                                  | CUSIP: 98164QAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4991203 | PA      | $5003397.80     | 0.01%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2048#FS3717                                                                        | CUSIP: 3140XKDX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2214718 | PA      | $2252156.98     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHURCHILL DOWNS INC                                                                | CHURCHILL DOWNS INC 6.75% 05/01/2031 144A                                                               | CUSIP: 171484AJ7<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |      810000 | PA      | $834385.86      | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.389%/VAR 04/24/2034                                                            | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8336838.00     | 0.01%             | 2034-04-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2023-A                                                       | ARI FLEET LEASE TRUST 2023-A A3 5.33% 02/17/2032 144A                                                   | CUSIP: 00218GAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4663819 | PA      | $4689821.83     | 0.01%             | 2032-02-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4.5% 04/20/2053#MA8799                                                                          | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    84336463 | PA      | $83908969.42    | 0.09%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.288%/VAR 04/25/2034                                                       | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    17000000 | PA      | $17643353.95    | 0.02%             | 2034-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                          | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 6.75% 05/15/2028 144A                                         | CUSIP: 18060TAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      460000 | PA      | $470514.68      | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 04/30/2030                                                                               | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   143600000 | PA      | $143723406.97   | 0.15%             | 2030-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     1370000 | NC      | $229342.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 09/01/2041#FM8850                                                                        | CUSIP: 3140XCZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7489872 | PA      | $6885781.62     | 0.01%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#FM9558                                                                        | CUSIP: 3140XDTQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8781451 | PA      | $8059064.49     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 01/01/2042#RB5142                                                                        | CUSIP: 3133KYWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8566000 | PA      | $7859419.55     | 0.01%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#MA4475                                                                        | CUSIP: 31418D6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5578293 | PA      | $5123850.86     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 04/01/2042#BV7699                                                                        | CUSIP: 3140MMRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3902214 | PA      | $3583554.67     | 0.00%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#CB2113                                                                        | CUSIP: 3140QMK37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3541754 | PA      | $3261693.41     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#FM9585                                                                        | CUSIP: 3140XDUK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3793102 | PA      | $3493953.35     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#FS1573                                                                        | CUSIP: 3140XGXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11955796 | PA      | $11007886.36    | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 02/01/2042#FS1810                                                                        | CUSIP: 3140XHAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8850479 | PA      | $8156790.24     | 0.01%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      250000 | NC      | $41850.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#BT9396                                                                        | CUSIP: 3140LYNN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1731794 | PA      | $1594377.81     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 06/01/2041#BR1090                                                                        | CUSIP: 3140KYF82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1939579 | PA      | $1785003.76     | 0.00%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 11/01/2041#QK1203                                                                        | CUSIP: 3133D4KQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2434933 | PA      | $2240683.57     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 04/01/2042#SC0270                                                                        | CUSIP: 3132D9JP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1619809 | PA      | $1486912.23     | 0.00%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 6.375% 05/04/2028 144A                                                      | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    28614000 | PA      | $29822786.41    | 0.03%             | 2028-05-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                   | GEORGIA POWER CO 4.65% 05/16/2028                                                                       | CUSIP: 373334KS9<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     5500000 | PA      | $5589415.81     | 0.01%             | 2028-05-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.9% 04/05/2032                                                                | CUSIP: 21871XAH2<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    24473000 | PA      | $23241316.74    | 0.02%             | 2032-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.829%/VAR 05/09/2027                                                                      | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     4720000 | PA      | $4735202.65     | 0.01%             | 2027-05-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 6.224%/VAR 05/09/2034                                                                      | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     5000000 | PA      | $5409765.25     | 0.01%             | 2034-05-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    29580000 | NC      | $111179.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.375% 05/15/2033                                                                             | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   221200000 | PA      | $216058827.57   | 0.23%             | 2033-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3.625% 05/15/2053                                                           | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2100000 | PA      | $1761785.15     | 0.00%             | 2053-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EMRLD BORROWER LP / EMERALD CO-ISSUER INC                                          | EMRLD BORROWER LP / EMERALD CO-ISSUER INC 6.625% 12/15/2030 144A                                        | CUSIP: 29103CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1086744.75     | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY451600 12/16/72 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    32850000 | NC      | $123470.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.85% 04/05/2029                                                               | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      600000 | PA      | $593135.23      | 0.00%             | 2029-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                                          | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    13097902 | PA      | $12214090.78    | 0.01%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                          | BALL CORP 6% 06/15/2029                                                                                 | CUSIP: 058498AZ9<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |      395000 | PA      | $407237.50      | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS INC                                                           | NORTHERN OIL AND GAS INC 8.75% 06/15/2031 144A                                                          | CUSIP: 665530AB7<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |      605000 | PA      | $631253.16      | 0.00%             | 2031-06-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 11/01/2041#RB5135                                                                          | CUSIP: 3133KYV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6420421 | PA      | $5724658.43     | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                                            | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    56630684 | PA      | $51845549.61    | 0.06%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                                     | FORD CR FLOORPLN MAST OWN TR A 4.92% 05/15/2028 144A                                                    | CUSIP: 34528QHV9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |    39470000 | PA      | $39548821.59    | 0.04%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2050#BQ3004                                                                          | CUSIP: 3140KNKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4408244 | PA      | $3690326.10     | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2050#BQ5112                                                                          | CUSIP: 3140KQVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2807620 | PA      | $2350376.50     | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 07/01/2041#CB2014                                                                        | CUSIP: 3140QMGY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3484292 | PA      | $3209196.10     | 0.00%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 03/01/2040#FM2646                                                                        | CUSIP: 3140X55G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1656073 | PA      | $1535751.75     | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 04/01/2041#MA4312                                                                        | CUSIP: 31418DYJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4999467 | PA      | $4611448.55     | 0.00%             | 2041-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2020                                                                | TOWD PT MTG TR 2020 2.71% 01/25/2060 144A                                                               | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      491382 | PA      | $478132.86      | 0.00%             | 2060-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     1080000 | NC      | $180795.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2052#FS3497                                                                        | CUSIP: 3140XJ3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23893 | PA      | $22567.18       | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2023-V2 MORTGAGE TRUST                                                   | BENCHMARK 2023-V2 MORTGAGE TRUST 6.5374% 05/15/2055                                                     | CUSIP: 08163TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $521162.30      | 0.00%             | 2055-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.856%/VAR 05/23/2033 REGS                                                            | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |     1600000 | PA      | $2041428.22     | 0.00%             | 2033-05-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 02/01/2051#SD8127                                                                        | CUSIP: 3132DWA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    23415131 | PA      | $18608353.44    | 0.02%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      120000 | NC      | $20088.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2% 05/20/2053#                                                                                  | CUSIP: 36179X2D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1101121 | PA      | $933685.61      | 0.00%             | 2053-05-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| XPO INC                                                                            | XPO INC 6.25% 06/01/2028 144A                                                                           | CUSIP: 98379KAA0<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |      630000 | PA      | $640128.51      | 0.00%             | 2028-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                             | VENTURE GLOBAL LNG INC 8.125% 06/01/2028 144A                                                           | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      505000 | PA      | $518172.93      | 0.00%             | 2028-06-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                                          | IQVIA INC 6.5% 05/15/2030 144A                                                                          | CUSIP: 46266TAD0<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |     1005000 | PA      | $1033354.07     | 0.00%             | 2030-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 05/31/2030                                                                              | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   210000000 | PA      | $212190234.90   | 0.23%             | 2030-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 01/01/2041#SC0119                                                                        | CUSIP: 3132D9DY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      751638 | PA      | $693768.84      | 0.00%             | 2041-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 07/01/2040#CA6462                                                                        | CUSIP: 3140QEFC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      452373 | PA      | $418714.08      | 0.00%             | 2040-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 4.5% 07/25/2048                                                                              | CUSIP: 3136BM7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    12932376 | PA      | $13019766.87    | 0.01%             | 2048-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 4% 12/25/2048                                                            | CUSIP: 3136BNE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     3952651 | PA      | $3931571.00     | 0.00%             | 2048-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 6.174%/VAR 05/25/2034                                                                     | CUSIP: 17327CAR4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    14215000 | PA      | $15174985.01    | 0.02%             | 2034-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-1                                            | ONEMAIN FINANCIAL ISSUANCE TRUST 2023-1 5.5% 06/14/2038 144A                                            | CUSIP: 68269JAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2120000 | PA      | $2196303.04     | 0.00%             | 2038-06-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1                                    | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-1 5.12% 04/11/2035 144A                                   | CUSIP: 38012RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6600000 | PA      | $6790920.18     | 0.01%             | 2035-04-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 07/01/2041#SC0162                                                                          | CUSIP: 3132D9FB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    31457869 | PA      | $28193872.83    | 0.03%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 07/01/2041#CB1069                                                                          | CUSIP: 3140QLFK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8645933 | PA      | $7737772.72     | 0.01%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 11/01/2041#CB2110                                                                          | CUSIP: 3140QMKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10380426 | PA      | $9257715.69     | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 12/01/2040#FM5042                                                                          | CUSIP: 3140X8S81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2617339 | PA      | $2360038.87     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 11/01/2041#FS0106                                                                          | CUSIP: 3140XFDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12998476 | PA      | $11594520.14    | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                                          | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2720008 | PA      | $2527709.94     | 0.00%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                                          | CUSIP: 3137H5UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3838060 | PA      | $3493578.59     | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                                          | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3586910 | PA      | $3331113.73     | 0.00%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 10/25/2047                                                          | CUSIP: 3137H62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2915203 | PA      | $2712031.59     | 0.00%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048                                                  | CUSIP: 3136BLMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     4751057 | PA      | $4523726.61     | 0.00%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048                                                   | CUSIP: 3136BLRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6715713 | PA      | $6395887.69     | 0.01%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.35%/VAR 06/01/2034                                                              | CUSIP: 46647PDR4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    20000000 | PA      | $20930505.40    | 0.02%             | 2034-06-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BOSCH (ROBERT) GMBH                                                                | BOSCH (ROBERT) GMBH 4.375% 06/02/2043 REGS                                                              | CUSIP: N/A<br>LEI: 529900F0LT5OP4SV6122       | Long             | DBT              | CORP              | DE        |      500000 | PA      | $593603.75      | 0.00%             | 2043-06-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.65% 04/05/2027                                                               | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     1888000 | PA      | $1878091.40     | 0.00%             | 2027-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 4.35% 04/05/2042                                                               | CUSIP: 21871XAK5<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     2247000 | PA      | $1913931.84     | 0.00%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2044                                                          | CUSIP: 3137F8N25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3091814 | PA      | $2842272.51     | 0.00%             | 2044-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSNET SERVICES HOLDINGS PTY LTD                                                   | AUSNET SERVICES HOLDINGS PTY LTD 6.134% 05/31/2033                                                      | CUSIP: N/A<br>LEI: TTMIG9TE1S0X3ZPDHD61       | Long             | DBT              | CORP              | AU        |     1430000 | PA      | $1056941.16     | 0.00%             | 2033-05-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.875% 06/01/2053                                                                       | CUSIP: 126650DZ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4902665.90     | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.3% 06/01/2033                                                                         | CUSIP: 126650DY3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    14500000 | PA      | $15032875.87    | 0.02%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.25% 01/30/2031                                                                        | CUSIP: 126650DX5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     5087000 | PA      | $5301824.67     | 0.01%             | 2031-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 5.4% 02/15/2034                                                                            | CUSIP: 00206RMT6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5240741.00     | 0.01%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 5.75% 06/06/2028                              | CUSIP: 00774MBC8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    16700000 | PA      | $17294764.49    | 0.02%             | 2028-06-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2023-2 LLC                                                   | ENTERPRISE FLEET FING 2023-2 LLC 5.5% 04/22/2030 144A                                                   | CUSIP: 29375NAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6050000 | PA      | $6144393.92     | 0.01%             | 2030-04-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2053#FS4631                                                                        | CUSIP: 3140XLED6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17658351 | PA      | $18213245.36    | 0.02%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 05/01/2053#SD2891                                                                        | CUSIP: 3132DQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    16442285 | PA      | $16958965.80    | 0.02%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 5.4% 06/30/2033                                                                            | CUSIP: 65473PAP0<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5243335.10     | 0.01%             | 2033-06-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2053#CB6527                                                                        | CUSIP: 3140QSHD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16763792 | PA      | $17306292.24    | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 06/01/2053#CB6538                                                                          | CUSIP: 3140QSHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17084890 | PA      | $17841251.52    | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 06/01/2053#CB6539                                                                          | CUSIP: 3140QSHR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11470602 | PA      | $11964076.29    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-1                                         | VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-1 5.02% 06/20/2028                                             | CUSIP: 92867WAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2799130 | PA      | $2816755.75     | 0.00%             | 2028-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 06/01/2053#RA9276                                                                          | CUSIP: 3133KRJV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10014767 | PA      | $10458128.89    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 06/01/2053#RA9277                                                                          | CUSIP: 3133KRJW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7077597 | PA      | $7382080.93     | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 06/01/2053#RA9278                                                                          | CUSIP: 3133KRJX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9822910 | PA      | $10242430.23    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 6.312%/VAR 06/08/2029                                                              | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    12000000 | PA      | $12560434.80    | 0.01%             | 2029-06-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1430000 | NC      | $239386.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2051#FS4654                                                                          | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7923494 | PA      | $6638041.78     | 0.01%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| REINSURANCE GROUP OF AMERICA INC                                                   | REINSURANCE GRP OF AMERICA INC 6% 09/15/2033                                                            | CUSIP: 759351AR0<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |      500000 | PA      | $534591.51      | 0.00%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#CB1281                                                                        | CUSIP: 3140QLM78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    34341159 | PA      | $30124429.08    | 0.03%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#CB1331                                                                        | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    27490586 | PA      | $24115033.66    | 0.03%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#CB1280                                                                        | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26550663 | PA      | $23290523.24    | 0.02%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                     | PNC FINANCIAL SERVICES GRP INC 5.582%/VAR 06/12/2029                                                    | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     7240000 | PA      | $7504326.75     | 0.01%             | 2029-06-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 01/20/2052#785831                                                                          | CUSIP: 3622ABLL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    12157083 | PA      | $10697070.97    | 0.01%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 5.808%/VAR 09/13/2029                                                                 | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    30000000 | PA      | $31256603.70    | 0.03%             | 2029-09-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 06/25/2049                                                          | CUSIP: 3136BKND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    13842097 | PA      | $12610391.20    | 0.01%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 09/25/2048                                                          | CUSIP: 3136BKUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     9146354 | PA      | $8388031.39     | 0.01%             | 2048-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 02/25/2048                                                            | CUSIP: 3136BLFC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    13416605 | PA      | $12329861.28    | 0.01%             | 2048-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 11/25/2047                                                          | CUSIP: 3136BLRR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    13118363 | PA      | $12226205.75    | 0.01%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2023-HB1                                                          | OCWEN LN INVT TR 2023-HB1 A 3% 06/25/2036 144A                                                          | CUSIP: 67578KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      209398 | PA      | $209117.58      | 0.00%             | 2036-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 2.5% 02/25/2052                                                                              | CUSIP: 3136BMM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    11634225 | PA      | $11236029.98    | 0.01%             | 2052-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5% 04/25/2048                                                            | CUSIP: 3137H8BP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     4934040 | PA      | $5004982.01     | 0.01%             | 2048-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.5% 10/25/2044                                                          | CUSIP: 3137H9AA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     8724475 | PA      | $8765771.51     | 0.01%             | 2044-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF1 LLC                                                                 | PRPM 2023-RCF1 A1 LLC 4% 06/25/2053 144A                                                                | CUSIP: 69381AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4313422 | PA      | $4288320.92     | 0.00%             | 2053-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                                                      | ANGLIAN WATER SVCS FINANC PLC 5.875% 06/20/2031 REGS                                                    | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |      990000 | PA      | $1390664.30     | 0.00%             | 2031-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048                                                   | CUSIP: 3136BG6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5492577 | PA      | $4805310.34     | 0.01%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048                                                   | CUSIP: 3136BG6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5837036 | PA      | $5106667.74     | 0.01%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048                                                  | CUSIP: 3136BKJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     4824677 | PA      | $4409569.87     | 0.00%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050                                                 | CUSIP: 3136BKWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     7589679 | PA      | $6904499.46     | 0.01%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049                                                 | CUSIP: 3136BLYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5509580 | PA      | $5023907.96     | 0.01%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047                            | CUSIP: 3137H3SE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     4328374 | PA      | $3934680.13     | 0.00%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050                                                  | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    27426927 | PA      | $24668246.76    | 0.03%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047                                                  | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     5399740 | PA      | $5019570.40     | 0.01%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048                                                   | CUSIP: 3137H5BQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    36888754 | PA      | $33798719.84    | 0.04%             | 2048-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050                                                  | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     6393384 | PA      | $5745319.87     | 0.01%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 07/25/2050                                                            | CUSIP: 3137FUAS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     5904402 | PA      | $5063904.10     | 0.01%             | 2050-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 07/01/2053#RA9382                                                                          | CUSIP: 3133KRM76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9502814 | PA      | $9923511.35     | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 07/01/2053#RA9383                                                                          | CUSIP: 3133KRM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7670832 | PA      | $8000837.55     | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 5.34% 06/15/2028 144A                                                  | CUSIP: 361886CR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12800000 | PA      | $12855001.60    | 0.01%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 5.73% 06/15/2028 144A                                                  | CUSIP: 361886CT9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5700000 | PA      | $5724402.27     | 0.01%             | 2028-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                                         | NASDAQ INC 6.1% 06/28/2063                                                                              | CUSIP: 63111XAL5<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |     6000000 | PA      | $6231419.16     | 0.01%             | 2063-06-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                                         | NASDAQ INC 5.95% 08/15/2053                                                                             | CUSIP: 63111XAK7<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |     1132000 | PA      | $1173335.86     | 0.00%             | 2053-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 02/01/2036#FM6507                                                                        | CUSIP: 3140XAGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      647161 | PA      | $591987.80      | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                              | CANADA GOVERNMENT OF 3.25% 12/01/2033                                                                   | CUSIP: 135087Q72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     5700000 | PA      | $4257710.49     | 0.00%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                                               | VERIZON MASTER TRUST 5.16% 06/20/2029                                                                   | CUSIP: 92348KBS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10390000 | PA      | $10429451.87    | 0.01%             | 2029-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 09/01/2051#RA5901                                                                          | CUSIP: 3133KMRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2571804 | PA      | $2347273.91     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2051#RA6347                                                                          | CUSIP: 3133KNBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2872841 | PA      | $2619335.72     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 04/25/2045                                                            | CUSIP: 3137FVE99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    11504183 | PA      | $10831366.26    | 0.01%             | 2045-04-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 10/01/2041#BQ6615                                                                          | CUSIP: 3140KSK55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1639989 | PA      | $1463555.60     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 12/01/2041#BU7091                                                                          | CUSIP: 3140M82Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3869751 | PA      | $3447885.41     | 0.00%             | 2041-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 10/01/2041#FM9396                                                                          | CUSIP: 3140XDNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7719252 | PA      | $6880922.30     | 0.01%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 09/01/2041#FM8862                                                                          | CUSIP: 3140XCZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2459467 | PA      | $2194530.96     | 0.00%             | 2041-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ADMIRAL GROUP PLC                                                                  | ADMIRAL GROUP PLC 8.5% 01/06/2034 REGS                                                                  | CUSIP: N/A<br>LEI: 213800FGVM7Z9EJB2685       | Long             | DBT              | CORP              | GB        |      800000 | PA      | $1252659.74     | 0.00%             | 2034-01-06      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 02/01/2033#SB0621                                                                          | CUSIP: 3132CWVN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      563333 | PA      | $555306.38      | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2031#FS1234                                                                          | CUSIP: 3140XGLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1885136 | PA      | $1860752.83     | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 09/01/2035#FS0112                                                                          | CUSIP: 3140XFDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4866401 | PA      | $4785104.31     | 0.01%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 11/01/2034#FS1799                                                                          | CUSIP: 3140XG7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1117374 | PA      | $1100929.71     | 0.00%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 07/01/2034#FM8940                                                                          | CUSIP: 3140XC5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2215433 | PA      | $2184554.64     | 0.00%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK5 2023-5YR2                                                                    | BANK5 2023-5YR2 6.656% 07/15/2056                                                                       | CUSIP: 06211CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8522000 | PA      | $8960029.95     | 0.01%             | 2056-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      240000 | NC      | $40176.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2023-PRM3                                                    | CITIGROUP COML MTG TR 2023-PRM3 A VAR 07/10/2028 144A                                                   | CUSIP: 17331LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15287000 | PA      | $15924218.72    | 0.02%             | 2028-07-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 03/01/2051#RA4749                                                                        | CUSIP: 3133KLH26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3953788 | PA      | $3472011.57     | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2051#FM5651                                                                        | CUSIP: 3140X9H57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2337694 | PA      | $2052841.21     | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 06/01/2053#RA9161                                                                        | CUSIP: 3133KRFA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3687181 | PA      | $3806503.79     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 05/01/2053#RA9058                                                                        | CUSIP: 3133KRB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7403021 | PA      | $7651846.70     | 0.01%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 7.146%/VAR 07/13/2027                                                    | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    11860000 | PA      | $11994098.89    | 0.01%             | 2027-07-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 07/01/2053#CB6673                                                                        | CUSIP: 3140QSMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    21964182 | PA      | $22674973.51    | 0.02%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3                                  | GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3 5.45% 06/16/2028                                      | CUSIP: 36267KAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      986092 | PA      | $993100.14      | 0.00%             | 2028-06-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2023-B                                              | HYUNDAI AUTO RECEIVABLES TRUST 2023-B 5.48% 04/17/2028                                                  | CUSIP: 44933XAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      911958 | PA      | $917700.38      | 0.00%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 02/25/2048                                                            | CUSIP: 3137H65B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     6909530 | PA      | $6600168.51     | 0.01%             | 2048-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 09/01/2052#SD1579                                                                        | CUSIP: 3132DNXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    21656074 | PA      | $22356895.21    | 0.02%             | 2052-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 12/20/2051#785791                                                                          | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9995238 | PA      | $8794853.76     | 0.01%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                        | METLIFE INC 5.375% 07/15/2033                                                                           | CUSIP: 59156RCE6<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    16000000 | PA      | $16866897.92    | 0.02%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SEADRILL FINANCE LTD                                                               | SEADRILL FINANCE LTD 8.375% 08/01/2030 144A                                                             | CUSIP: 81172QAA2<br>LEI: 213800WMN3OHFUDHD642 | Long             | DBT              | CORP              | BM        |      815000 | PA      | $856446.16      | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC 2023-A                                                  | MMAF EQUIPMENT FINANCE LLC 2023-A 5.54% 12/13/2029 144A                                                 | CUSIP: 55317WAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4592191 | PA      | $4651119.97     | 0.00%             | 2029-12-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.25% 04/25/2052                                                         | CUSIP: 3137H6RT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    15659393 | PA      | $15126642.77    | 0.02%             | 2052-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.299%/VAR 07/24/2029                                                             | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    11000000 | PA      | $11322201.33    | 0.01%             | 2029-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 7.625%/VAR PERP                                                                  | CUSIP: 95002YAA1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |      640000 | PA      | $682977.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.557%/VAR 07/25/2034                                                            | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    18660000 | PA      | $19635395.71    | 0.02%             | 2034-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.574%/VAR 07/25/2029                                                            | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    25500000 | PA      | $26381081.87    | 0.03%             | 2029-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY562346 11/18/64 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     5642242 | NC      | $-2408.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.449%/VAR 07/20/2029                                                                    | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    16012000 | PA      | $16511145.60    | 0.02%             | 2029-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.424%/VAR 07/21/2034                                                                    | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    23551000 | PA      | $24597338.67    | 0.03%             | 2034-07-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2023-V3 MTG TR                                                           | BENCHMARK 2023-V3 AS 7.0967% 07/15/2056                                                                 | CUSIP: 08163VAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7450000 | PA      | $7879847.12     | 0.01%             | 2056-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRAND INDUSTRIAL SERVICES INC                                                      | BRAND INDUSTRIAL SERVICES INC 10.375% 08/01/2030 144A                                                   | CUSIP: 104931AA8<br>LEI: 549300B658W2BPDQMW42 | Long             | DBT              | CORP              | US        |      520000 | PA      | $485612.61      | 0.00%             | 2030-08-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 8/53 #RA9560                                                                             | CUSIP: 3133KRTR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8225307 | PA      | $8501771.16     | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 8/53 #RA9561                                                                             | CUSIP: 3133KRTS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8065106 | PA      | $8326104.57     | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FINANCE DAC                                                  | SMBC AVIATION CAPITAL FINANCE DAC 5.7% 07/25/2033 144A                                                  | CUSIP: 78448TAK8<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |     6000000 | PA      | $6341645.64     | 0.01%             | 2033-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 3% 05/25/2048                                                                                | CUSIP: 3136BMAC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5650528 | PA      | $5380002.37     | 0.01%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 01/25/2049                                                            | CUSIP: 3137H5ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2926631 | PA      | $2780472.98     | 0.00%             | 2049-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DLLAA 2023-1A                                                                      | DLLAA 2023-1A 5.64% 02/22/2028 144A                                                                     | CUSIP: 23292HAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4061416 | PA      | $4103535.19     | 0.00%             | 2028-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2053#CB6636                                                                        | CUSIP: 3140QSLS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11939725 | PA      | $12326111.69    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 08/25/2046                                                            | CUSIP: 3136BL5X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6349754 | PA      | $6126400.71     | 0.01%             | 2046-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 06/25/2049                                                            | CUSIP: 3136BMER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5240949 | PA      | $4964203.05     | 0.01%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 06/25/2051                                                            | CUSIP: 3137H6K95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     9307245 | PA      | $8587582.47     | 0.01%             | 2051-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                          | ROGERS COMMUNICATIONS INC 3.8% 03/15/2032                                                               | CUSIP: 775109CH2<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     7438000 | PA      | $7119545.75     | 0.01%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                          | ROGERS COMMUNICATIONS INC 4.55% 03/15/2052                                                              | CUSIP: 775109CK5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     9856000 | PA      | $8047944.79     | 0.01%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                          | ROGERS COMMUNICATIONS INC 3.2% 03/15/2027                                                               | CUSIP: 775109CG4<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     2876000 | PA      | $2854941.53     | 0.00%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 02/01/2035#FM6733                                                                        | CUSIP: 3140XAPT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1544753 | PA      | $1503073.36     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 04/01/2036#FM9743                                                                        | CUSIP: 3140XDZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2781680 | PA      | $2705660.44     | 0.00%             | 2036-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 5.985%/VAR 08/07/2027                                                          | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     4700000 | PA      | $4739880.44     | 0.01%             | 2027-08-07      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 6.421% 08/02/2033                                                                      | CUSIP: 054989AB4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8898093.04     | 0.01%             | 2033-08-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                      | BAT INTL FINANCE PLC 5.931% 02/02/2029                                                                  | CUSIP: 05530QAQ3<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |     6000000 | PA      | $6320610.12     | 0.01%             | 2029-02-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                                              | NORFOLK SOUTHERN CORP 5.35% 08/01/2054                                                                  | CUSIP: 655844CS5<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3285649.91     | 0.00%             | 2054-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CR AUTO OWNER TR 2023-REV2                                                    | FORD CR AUTO OWNER TR 2023-REV2 5.28% 02/15/2036 144A                                                   | CUSIP: 34535CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10800000 | PA      | $11185419.60    | 0.01%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2023-BNK46                                                                    | BANK 2023-BNK46 A4 5.745% 08/15/2056                                                                    | CUSIP: 06541DBH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10050000 | PA      | $10819801.86    | 0.01%             | 2056-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN AND HAMILTON INC                                                        | BOOZ ALLEN AND HAMILTON INC 5.95% 08/04/2033                                                            | CUSIP: 09951LAC7<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $10258526.40    | 0.01%             | 2033-08-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRINET GROUP INC                                                                   | TRINET GROUP INC 7.125% 08/15/2031 144A                                                                 | CUSIP: 896288AC1<br>LEI: 5299003FJVBETSFKE990 | Long             | DBT              | CORP              | US        |      635000 | PA      | $616047.00      | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 08/01/2053#CB6911                                                                        | CUSIP: 3140QSVD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8124225 | PA      | $8404907.85     | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2053#CB6642                                                                        | CUSIP: 3140QSLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2385917 | PA      | $2468347.35     | 0.00%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 04/25/2050                                                            | CUSIP: 3137H6K38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     5073420 | PA      | $4752140.53     | 0.01%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 08/15/2033                                                                             | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   104833500 | PA      | $105595180.37   | 0.11%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.125% 08/15/2053                                                           | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   424900000 | PA      | $389795955.97   | 0.42%             | 2053-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 08/01/2051#SD2230                                                                          | CUSIP: 3132DPPP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3722444 | PA      | $3116213.96     | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 5.927% 08/15/2030 144A                                              | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8337000 | PA      | $8905850.77     | 0.01%             | 2030-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.497% 08/15/2043 144A                                              | CUSIP: 19828TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10495000 | PA      | $11339914.14    | 0.01%             | 2043-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES HOLDING CO LLC                                                  | COLUMBIA PIPELINES HOLDING CO LLC 6.042% 08/15/2028 144A                                                | CUSIP: 19828AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5226532.45     | 0.01%             | 2028-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.544% 11/15/2053 144A                                              | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6291000 | PA      | $6860803.80     | 0.01%             | 2053-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 08/01/2053#RA9619                                                                        | CUSIP: 3133KRVL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    24523848 | PA      | $25348128.70    | 0.03%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.714% 08/15/2063 144A                                              | CUSIP: 19828TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3766000 | PA      | $4179393.56     | 0.00%             | 2063-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.036% 11/15/2033 144A                                              | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    11691000 | PA      | $12666719.05    | 0.01%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2023-C                                           | WORLD OMNI AUTO RECEIVABLES TRUST 2023-C 5.15% 11/15/2028                                               | CUSIP: 98164FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3819012 | PA      | $3839796.58     | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 07/01/2036#CB1180                                                                          | CUSIP: 3140QLJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      241575 | PA      | $225680.19      | 0.00%             | 2036-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                                          | CUSIP: 3137H5FF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3129869 | PA      | $2848134.06     | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                                          | CUSIP: 3137H5J24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3129885 | PA      | $2848141.20     | 0.00%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                                          | CUSIP: 3137H5VK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3726899 | PA      | $3392333.49     | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA VAR 04/25/2033                                                           | CUSIP: 3136BQCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4130000 | PA      | $4248310.87     | 0.00%             | 2033-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 3.125% 03/15/2027                                                                               | CUSIP: 404119CH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     4517000 | PA      | $4479454.79     | 0.00%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 3.625% 03/15/2032                                                                               | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2557000 | PA      | $2436491.66     | 0.00%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                                                                 | INGERSOLL RAND INC 5.7% 08/14/2033                                                                      | CUSIP: 45687VAB2<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |     4393000 | PA      | $4701074.24     | 0.01%             | 2033-08-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                                                       | NNN REIT INC 5.6% 10/15/2033                                                                            | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    12000000 | PA      | $12651889.20    | 0.01%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 05/01/2039#FM1194                                                                        | CUSIP: 3140X4KG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7131854 | PA      | $7268263.17     | 0.01%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4% 05/01/2040#FM3359                                                                          | CUSIP: 3140X6WV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3982031 | PA      | $3997077.22     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC VAR 11/15/2028                                                                    | CUSIP: 15089QAW4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     7635000 | PA      | $8034654.08     | 0.01%             | 2028-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC VAR 11/15/2030                                                                    | CUSIP: 15089QAX2<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    15417000 | PA      | $16437235.39    | 0.02%             | 2030-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC VAR 11/15/2033                                                                    | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     7254000 | PA      | $7793305.88     | 0.01%             | 2033-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2036#CB2246                                                                        | CUSIP: 3140QMP81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89573 | PA      | $85536.01       | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PBF HLDG CO LLC / PBF FIN CORP                                                     | PBF HLDG CO LLC / PBF FIN CORP 7.875% 09/15/2030 144A                                                   | CUSIP: 69318FAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1560000 | PA      | $1565406.96     | 0.00%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BMO 2023-C6 MTG TR                                                                 | BMO 2023-C6 MTG TR VAR 09/15/2056                                                                       | CUSIP: 055985AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   221315490 | PA      | $10869578.30    | 0.01%             | 2056-09-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 08/01/2034#CA4090                                                                        | CUSIP: 3140QBRL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4495650 | PA      | $4444460.34     | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                                                | VIRGIN MONEY UK PLC 7.625%/VAR 08/23/2029 REGS                                                          | CUSIP: N/A<br>LEI: 213800ZK9VGCYYR6O495       | Long             | DBT              | CORP              | GB        |      930000 | PA      | $1352467.63     | 0.00%             | 2029-08-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 03/01/2041#SC0136                                                                          | CUSIP: 3132D9EH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2388170 | PA      | $2151606.77     | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 09/01/2041#SC0185                                                                        | CUSIP: 3132D9F25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2868032 | PA      | $2648749.26     | 0.00%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 08/01/2041#QK0985                                                                        | CUSIP: 3133D4CW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1315087 | PA      | $1210803.11     | 0.00%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 11/01/2041#QK1167                                                                        | CUSIP: 3133D4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1610764 | PA      | $1485047.17     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 03/01/2041#CA9362                                                                        | CUSIP: 3140QHML6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2048498 | PA      | $1902228.41     | 0.00%             | 2041-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.375% 08/15/2043                                                           | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      358000 | PA      | $352140.55      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 04/01/2041#CB0116                                                                          | CUSIP: 3140QKDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1024173 | PA      | $922443.28      | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2041#CB0471                                                                        | CUSIP: 3140QKQZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1823952 | PA      | $1690466.33     | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 07/01/2041#CB1074                                                                        | CUSIP: 3140QLFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1904906 | PA      | $1759049.80     | 0.00%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2041#FM7587                                                                        | CUSIP: 3140XBND8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2417276 | PA      | $2229407.90     | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 06/01/2041#FM7891                                                                          | CUSIP: 3140XBXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      740839 | PA      | $667148.38      | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     1146000 | NC      | $191844.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      220000 | NC      | $36828.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 10/01/2040#SC0081                                                                        | CUSIP: 3132D9CS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4053511 | PA      | $3749879.76     | 0.00%             | 2040-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1.5% 10/25/2051                                                          | CUSIP: 3136BJHA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     4263528 | PA      | $3725684.69     | 0.00%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 04/25/2051                                                          | CUSIP: 3137H22J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     4276945 | PA      | $3743172.63     | 0.00%             | 2051-04-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051                                                          | CUSIP: 3137H2UC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     4222697 | PA      | $3712980.08     | 0.00%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051                                                          | CUSIP: 3137H2UY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     4156386 | PA      | $3625410.42     | 0.00%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.5% 11/25/2051                                  | CUSIP: 3137H3V82<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     5293925 | PA      | $4666180.72     | 0.01%             | 2051-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JBS NV/JBS USA FOODS GROUP HOLDINGS INC/JBS USA FOOD CO HOLDINGS                   | JBS NV/JBS USA FOODS GROUP HOLDINGS INC/JBS USA FOOD CO HOLDINGS 3% 05/15/2032                          | CUSIP: 46590XAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    13845000 | PA      | $12606625.67    | 0.01%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 08/31/2030                                                                             | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   178534000 | PA      | $183101960.21   | 0.20%             | 2030-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2048                                                            | CUSIP: 3136BL6J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     3502368 | PA      | $3337930.82     | 0.00%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2052#FS2296                                                                        | CUSIP: 3140XHRS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21630 | PA      | $20464.31       | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2052#CB3234                                                                          | CUSIP: 3140QNSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7311561 | PA      | $6682369.23     | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENGIE SA                                                                           | ENGIE SA 4.25% 09/06/2034 REGS                                                                          | CUSIP: N/A<br>LEI: LAXUQCHT4FH58LRZDY46       | Long             | DBT              | CORP              | FR        |      600000 | PA      | $749990.77      | 0.00%             | 2034-09-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                      | VOLKSWAGEN GROUP AMER FIN LLC 5.7% 09/12/2026 144A                                                      | CUSIP: 928668BV3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     8400000 | PA      | $8472456.80     | 0.01%             | 2026-09-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 6.1% 09/15/2053                                                                    | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     8700000 | PA      | $8999732.05     | 0.01%             | 2053-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 5.5% 03/15/2029                                                                        | CUSIP: 842587DS3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     7200000 | PA      | $7504532.93     | 0.01%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 5.7% 03/15/2034                                                                        | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    11450000 | PA      | $12178754.14    | 0.01%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REWE INT FINANCE                                                                   | REWE INT FINANCE 4.875% 09/13/2030 REGS                                                                 | CUSIP: N/A<br>LEI: 5299003XLG8J4YTHLX44       | Long             | DBT              | CORP              | NL        |      300000 | PA      | $380098.81      | 0.00%             | 2030-09-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                    | PERMIAN RESOURCES OPERATING LLC 7% 01/15/2032 144A                                                      | CUSIP: 71424VAA8<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1152250.00     | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 6.49%/VAR 09/13/2029                                                                       | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     8000000 | PA      | $8448978.48     | 0.01%             | 2029-09-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                         | MARSH and MCLENNAN COS INC 5.7% 09/15/2053                                                              | CUSIP: 571748BV3<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $9995114.90     | 0.01%             | 2053-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 6.692%/VAR 09/13/2034                                                                      | CUSIP: 06738ECL7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    12500000 | PA      | $13913805.25    | 0.01%             | 2034-09-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2052                                                          | CUSIP: 3136BLLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     2333238 | PA      | $2195239.13     | 0.00%             | 2052-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 09/01/2053#CB7134                                                                        | CUSIP: 3140QS4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9678064 | PA      | $10239685.61    | 0.01%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHASE ISSUANCE TR                                                                  | CHASE ISSUANCE TR 5.08% 09/15/2030                                                                      | CUSIP: 161571HU1<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-CBDO         | CORP              | US        |    11940000 | PA      | $12367183.35    | 0.01%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      876000 | NC      | $146645.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                               | ROMANIA REPUBLIC OF 6.375% 09/18/2033 REGS                                                              | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      800000 | PA      | $1035411.69     | 0.00%             | 2033-09-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                       | US FOODS INC 7.25% 01/15/2032 144A                                                                      | CUSIP: 90290MAH4<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |      560000 | PA      | $586489.12      | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KBC GROUPE SA/NV                                                                   | KBC GROUPE SA/NV 6.324%/VAR 09/21/2034 144A                                                             | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     9860000 | PA      | $10863245.04    | 0.01%             | 2034-09-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.819%/VAR 09/15/2029                                                       | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    19000000 | PA      | $19815373.03    | 0.02%             | 2029-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                           | VISTRA OPERATIONS CO LLC 7.75% 10/15/2031 144A                                                          | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     1525000 | PA      | $1611559.00     | 0.00%             | 2031-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA PWR CO                                                                 | MONONGAHELA PWR CO 5.85% 02/15/2034 144A                                                                | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6875000 | PA      | $7402895.64     | 0.01%             | 2034-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                                          | CHESAPEAKE FUNDING II LLC 6.16% 10/15/2035 144A                                                         | CUSIP: 165183CZ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |     2390790 | PA      | $2415922.78     | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2053#FS4919                                                                        | CUSIP: 3140XLPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      320621 | PA      | $279047.98      | 0.00%             | 2053-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2052#BV4367                                                                        | CUSIP: 3140MHZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      523045 | PA      | $457839.55      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2053#CB6593                                                                        | CUSIP: 3140QSKF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89657 | PA      | $78031.40       | 0.00%             | 2053-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2050#CA8132                                                                        | CUSIP: 3140QGBA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18056 | PA      | $15867.26       | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                          | COREBRIDGE GBL FUNDING 5.9% 09/19/2028 144A                                                             | CUSIP: 00138CAV0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    18426000 | PA      | $19231481.53    | 0.02%             | 2028-09-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2023-C21                                                      | BBCMS MORTGAGE TRUST 2023-C21 A3 CSTR 09/15/2056                                                        | CUSIP: 05553WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13794000 | PA      | $14841938.46    | 0.02%             | 2056-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 6.246%/VAR 09/22/2029 144A                                                                 | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     8000000 | PA      | $8421416.80     | 0.01%             | 2029-09-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 4.75%/VAR 09/21/2031 REGS                                                      | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |     1550000 | PA      | $1959217.83     | 0.00%             | 2031-09-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 6.1% 01/15/2027                               | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     4800000 | PA      | $4881427.15     | 0.01%             | 2027-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 6.15% 09/30/2030                              | CUSIP: 00774MBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    10400000 | PA      | $11163961.22    | 0.01%             | 2030-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 09/01/2036#MA4419                                                                        | CUSIP: 31418D4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199677 | PA      | $190678.66      | 0.00%             | 2036-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MOBICO GROUP PLC                                                                   | MOBICO GROUP PLC 4.875% 09/26/2031 REGS                                                                 | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | DBT              | CORP              | GB        |     1300000 | PA      | $1310797.95     | 0.00%             | 2031-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 07/01/2041#SC0370                                                                        | CUSIP: 3132D9MT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3646839 | PA      | $3376883.46     | 0.00%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 09/01/2053#QH0277                                                                        | CUSIP: 3133CCJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3670121 | PA      | $3884533.61     | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 09/01/2053#QH0300                                                                        | CUSIP: 3133CCKM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3242441 | PA      | $3425534.73     | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040                                                          | CUSIP: 3137F64V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2225454 | PA      | $1949369.05     | 0.00%             | 2040-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040                                                          | CUSIP: 3137F6YK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2941710 | PA      | $2529594.54     | 0.00%             | 2040-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 09/30/2030                                                                             | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   156000000 | PA      | $163330781.64   | 0.18%             | 2030-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 09/30/2028                                                                             | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    85074500 | PA      | $87663290.66    | 0.09%             | 2028-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITIBANK NA 5.803% 09/29/2028                                                                           | CUSIP: 17325FBB3<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8378565.36     | 0.01%             | 2028-09-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 10/01/2053#RJ0002                                                                        | CUSIP: 3142GQAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4892665 | PA      | $5168943.25     | 0.01%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 10/01/2053#RJ0001                                                                        | CUSIP: 3142GQAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5542718 | PA      | $5864364.03     | 0.01%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 05/01/2041#SC0237                                                                        | CUSIP: 3132D9HN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6926218 | PA      | $6427190.53     | 0.01%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2042#RB0806                                                                        | CUSIP: 3133KT3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      228846 | PA      | $210384.52      | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2042#RB0710                                                                        | CUSIP: 3133KTYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      554884 | PA      | $510752.88      | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2045#FM2986                                                                          | CUSIP: 3140X6J85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    67776056 | PA      | $67176333.28    | 0.07%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 02/01/2042#SC0248                                                                        | CUSIP: 3132D9HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3279273 | PA      | $3027384.94     | 0.00%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 11/01/2041#SC0210                                                                        | CUSIP: 3132D9GT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17529765 | PA      | $16158348.77    | 0.02%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 6.35% 01/15/2029                                                                | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    11247000 | PA      | $11884954.70    | 0.01%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                   | GLENCORE FDG LLC 6.375% 10/06/2030 144A                                                                 | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5411988.60     | 0.01%             | 2030-10-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                   | GLENCORE FDG LLC 6.125% 10/06/2028 144A                                                                 | CUSIP: 378272BN7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2095257.90     | 0.00%             | 2028-10-06      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 3.45% 12/15/2051                                                                     | CUSIP: 24703DBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1801000 | PA      | $1263707.42     | 0.00%             | 2051-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 07/25/2051                                                            | CUSIP: 3136BHV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     7626200 | PA      | $6966000.93     | 0.01%             | 2051-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.25% 11/25/2047                                                         | CUSIP: 3136BLHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    15677329 | PA      | $14447738.53    | 0.02%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 07/25/2048                                  | CUSIP: 3137H3QP0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     4160462 | PA      | $3809391.01     | 0.00%             | 2048-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 08/25/2048                                  | CUSIP: 3137H3S94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     4073585 | PA      | $3726308.48     | 0.00%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                                          | CUSIP: 3137H4HQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     4133690 | PA      | $3756743.34     | 0.00%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 3.375% 12/15/2041                                                                    | CUSIP: 24703DBF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3736000 | PA      | $2888730.94     | 0.00%             | 2041-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                         | AVIATION CAPITAL GROUP LLC 6.75% 10/25/2028 144A                                                        | CUSIP: 05369AAP6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6893503.96     | 0.01%             | 2028-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-15 GC 3% 01/25/2047                                                   | CUSIP: 3136BMHY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5613379 | PA      | $5409574.87     | 0.01%             | 2047-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-17 BH 3% 05/25/2047                                                   | CUSIP: 3136BMRP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6098694 | PA      | $5891746.96     | 0.01%             | 2047-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5210 TA 3.5% 11/25/2046                                                  | CUSIP: 3137H6WW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3850347 | PA      | $3743938.00     | 0.00%             | 2046-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1.5% 07/25/2040                                                          | CUSIP: 3136BA6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    19633827 | PA      | $17247144.47    | 0.02%             | 2040-07-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1.5% 06/25/2040                                                          | CUSIP: 3136BAAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    19094260 | PA      | $16773303.29    | 0.02%             | 2040-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 1.5% 08/25/2040                                                              | CUSIP: 3136BBLA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    21635127 | PA      | $18995321.64    | 0.02%             | 2040-08-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3.25% 03/25/2049                                                         | CUSIP: 3136BMAZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5885326 | PA      | $5608206.20     | 0.01%             | 2049-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3.25% 07/25/2046                                                         | CUSIP: 3136BMGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    10397409 | PA      | $10059572.31    | 0.01%             | 2046-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2023-4                                                        | CARMAX AUTO OWNER TR 2023-4 6% 07/17/2028                                                               | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9247078 | PA      | $9353434.47     | 0.01%             | 2028-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                            | BPCE SA 7.003%/VAR 10/19/2034 144A                                                                      | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     1150000 | PA      | $1292424.03     | 0.00%             | 2034-10-19      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2053#BU4106                                                                        | CUSIP: 3140M5R49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      323275 | PA      | $339710.86      | 0.00%             | 2053-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                        | NATIONWIDE BUILDING SOC(UNGTD) 6.557%/VAR 10/18/2027 144A                                               | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     6000000 | PA      | $6095091.36     | 0.01%             | 2027-10-18      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2021-96 AH 2.5% 03/25/2049                                               | CUSIP: 3136BKXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    19015810 | PA      | $17381785.59    | 0.02%             | 2049-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 09/01/2036#CB1756                                                                        | CUSIP: 3140QL5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10769540 | PA      | $10317846.30    | 0.01%             | 2036-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 09/20/2051#785619                                                                          | CUSIP: 3622ABDY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    16203794 | PA      | $14242598.43    | 0.02%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 08/20/2051#785564                                                                          | CUSIP: 3622ABB92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    16154897 | PA      | $14209716.83    | 0.02%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 08/20/2051#785602                                                                          | CUSIP: 3622ABDF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    62099585 | PA      | $54583479.64    | 0.06%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 09/20/2051#785616                                                                          | CUSIP: 3622ABDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    26240353 | PA      | $23064401.53    | 0.02%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                     | EUROPEAN UNION 4% 04/04/2044 REGS                                                                       | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | LU        |     1980000 | PA      | $2465209.81     | 0.00%             | 2044-04-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES 2023-B OWNER TR                                            | NISSAN AUTO RECEIVABLES 2023-B OWNER TR 5.93% 03/15/2028                                                | CUSIP: 65480MAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3312142 | PA      | $3335764.09     | 0.00%             | 2028-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES TR 2023-2                                           | MERCEDES-BENZ AUTO RECEIVABLES TR 2023-2 5.95% 11/15/2028                                               | CUSIP: 58769FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4104875 | PA      | $4155442.52     | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 6.303%/VAR 10/23/2029                                                            | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    12800000 | PA      | $13499158.02    | 0.01%             | 2029-10-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 6.46% 08/18/2038 144A                                                  | CUSIP: 96328GBG1<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     5992889 | PA      | $6058657.49     | 0.01%             | 2038-08-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2023-3 LLC                                                   | ENTERPRISE FLEET FING 2023-3 LLC 6.4% 03/20/2030 144A                                                   | CUSIP: 29374LAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8890302 | PA      | $8993855.77     | 0.01%             | 2030-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      580000 | NC      | $97093.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 08/25/2050                                                            | CUSIP: 3137H6V28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     8472938 | PA      | $8008090.13     | 0.01%             | 2050-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 08/25/2050                                                            | CUSIP: 3137H6UX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     8472938 | PA      | $8008090.13     | 0.01%             | 2050-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                                        | MERCHANTS FLEET FUNDING LLC 7.21% 05/20/2036 144A                                                       | CUSIP: 588926AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5674979 | PA      | $5693420.70     | 0.01%             | 2036-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 6.484%/VAR 10/24/2029                                                     | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    18000000 | PA      | $19055026.80    | 0.02%             | 2029-10-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TR VII                                                    | WILLIS ENGINE STRUCTURED TR VII 23-A A 8% 10/15/2048 144A                                               | CUSIP: 97064YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5288006 | PA      | $5420963.80     | 0.01%             | 2048-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#MA4178                                                                        | CUSIP: 31418DUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      295883 | PA      | $271304.87      | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                       | AUTOZONE INC 6.25% 11/01/2028                                                                           | CUSIP: 053332BG6<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8449784.96     | 0.01%             | 2028-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.875% 10/31/2030                                                                             | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   205200000 | PA      | $217159312.50   | 0.23%             | 2030-10-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2050#FM2629                                                                        | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      322598 | PA      | $284599.75      | 0.00%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 7.624%/VAR 10/30/2031                                                              | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    22914000 | PA      | $25827495.39    | 0.03%             | 2031-10-30      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 05/01/2042#FS4603                                                                          | CUSIP: 3140XLDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11836620 | PA      | $10631624.58    | 0.01%             | 2042-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2050#RA2621                                                                          | CUSIP: 3133KH4E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1711522 | PA      | $1679479.95     | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1100000 | NC      | $184143.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.5% 11/15/2033                                                                               | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   573600000 | PA      | $600868404.82   | 0.64%             | 2033-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.75% 11/15/2053                                                            | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   120000000 | PA      | $121940625.60   | 0.13%             | 2053-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.4% 10/25/2030                                                          | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14050000 | PA      | $14393575.89    | 0.02%             | 2030-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-2                                    | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2023-2 5.77% 08/11/2036 144A                                   | CUSIP: 36268DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9800000 | PA      | $10306803.08    | 0.01%             | 2036-08-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP/FIN CO                                                         | HILCORP ENERGY I LP/FIN CO 8.375% 11/01/2033 144A                                                       | CUSIP: 431318BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $211037.00      | 0.00%             | 2033-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2035#AD9235                                                                        | CUSIP: 31418XHM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      169800 | PA      | $167768.75      | 0.00%             | 2035-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                                           | RTX CORP 6.4% 03/15/2054                                                                                | CUSIP: 75513ECX7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     6800000 | PA      | $7598757.92     | 0.01%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 6% 11/15/2028                                                                              | CUSIP: 29250NBX2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     6027000 | PA      | $6349226.62     | 0.01%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 6.7% 11/15/2053                                                                            | CUSIP: 29250NBZ7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     2200000 | PA      | $2474016.36     | 0.00%             | 2053-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC                                                              | EG GLOBAL FINANCE PLC 12% 11/30/2028 144A                                                               | CUSIP: 28228PAC5<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |     1280000 | PA      | $1376059.78     | 0.00%             | 2028-11-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX CONCRETE LLC                                                      | SMYRNA READY MIX CONCRETE LLC 8.875% 11/15/2031 144A                                                    | CUSIP: 83283WAE3<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |      410000 | PA      | $435577.44      | 0.00%             | 2031-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 8% 11/14/2035                                                                      | CUSIP: 195325EL5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     3578000 | PA      | $3818620.50     | 0.00%             | 2035-11-14      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                                | NOVA CHEMICALS CORP 8.5% 11/15/2028 144A                                                                | CUSIP: 66977WAT6<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |      970000 | PA      | $1015443.53     | 0.00%             | 2028-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP/SEALED AIR CORP US                                                 | SEALED AIR CORP/SEALED AIR CORP US 7.25% 02/15/2031 144A                                                | CUSIP: 812127AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      515000 | PA      | $534661.16      | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2                                         | VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2 5.48% 12/20/2028                                             | CUSIP: 92867YAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6089289 | PA      | $6161249.24     | 0.01%             | 2028-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                                                 | PRPM 2023-RCF2 LLC A1 VAR 11/25/2053 144A                                                               | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8290737 | PA      | $8240084.42     | 0.01%             | 2053-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 06/01/2041#RB5114                                                                          | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3489998 | PA      | $3124981.44     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      450000 | NC      | $75331.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                                   | GGAM FINANCE LTD 8% 02/15/2027 144A                                                                     | CUSIP: 36170JAC0<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |      390000 | PA      | $393997.50      | 0.00%             | 2027-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                                                   | BAYER US FIN LLC 6.25% 01/21/2029 144A                                                                  | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     5290000 | PA      | $5583098.85     | 0.01%             | 2029-01-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                                                   | BAYER US FIN LLC 6.375% 11/21/2030 144A                                                                 | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     1480000 | PA      | $1594096.35     | 0.00%             | 2030-11-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                                                   | BAYER US FIN LLC 6.5% 11/21/2033 144A                                                                   | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    11585000 | PA      | $12697671.83    | 0.01%             | 2033-11-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                                                   | BAYER US FIN LLC 6.875% 11/21/2053 144A                                                                 | CUSIP: 07274EAM5<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    16200000 | PA      | $17697613.21    | 0.02%             | 2053-11-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                                      | LGI HOMES INC 8.75% 12/15/2028 144A                                                                     | CUSIP: 50187TAH9<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |      445000 | PA      | $464296.09      | 0.00%             | 2028-12-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANSN and INFRASTRUCTURE INVS LLC                                        | FORTRESS TRANSN and INFRASTRUCTURE INVS LLC 7.875% 12/01/2030 144A                                      | CUSIP: 34960PAE1<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      465000 | PA      | $492029.99      | 0.00%             | 2030-12-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                             | CONSOLIDATED EDISON CO OF NY 5.5% 03/15/2034                                                            | CUSIP: 209111GF4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5303575.55     | 0.01%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                            | BX COML MTG TR 2023-XL3 A TSFR1M+189.123 12/09/2040 144A                                                | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10134774 | PA      | $10134773.86    | 0.01%             | 2040-12-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                            | BX COML MTG TR 2023-XL3 C TSFR1M+283.988 12/09/2040 144A                                                | CUSIP: 12434GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1899800 | PA      | $1899800.01     | 0.00%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                            | BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A                                                | CUSIP: 12434GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3506300 | PA      | $3506300.00     | 0.00%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                                              | GFL ENVIRONMENTAL INC 6.75% 01/15/2031 144A                                                             | CUSIP: 36168QAQ7<br>LEI: 5493008HF9XC5H29ZX61 | Long             | DBT              | CORP              | CA        |      310000 | PA      | $325143.50      | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA VAR 03/25/2033                                                           | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5204812 | PA      | $5345813.48     | 0.01%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP / BIP-V CHINOOK HOLDCO LLC                                           | CQP HOLDCO LP / BIP-V CHINOOK HOLDCO LLC 7.5% 12/15/2033 144A                                           | CUSIP: 12657NAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1195000 | PA      | $1289112.23     | 0.00%             | 2033-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                                               | NEXTERA ENERGY OPERATING PARTNERS LP 7.25% 01/15/2029 144A                                              | CUSIP: 65342QAM4<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      410000 | PA      | $425559.91      | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                                                | KINETIK HOLDINGS LP 6.625% 12/15/2028 144A                                                              | CUSIP: 49461MAB6<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |     1095000 | PA      | $1128857.40     | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                               | EDISON INTERNATIONAL 7.875%/VAR 06/15/2054                                                              | CUSIP: 281020AZ0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |      534000 | PA      | $555914.29      | 0.00%             | 2054-06-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2050#SD7527                                                                          | CUSIP: 3132DVLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15185182 | PA      | $12835533.02    | 0.01%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SW FINANCE I PLC                                                                   | SW FINANCE I PLC 7.375% 12/12/2041 REGS                                                                 | CUSIP: N/A<br>LEI: 549300BHN1HB5BNG2R96       | Long             | DBT              | CORP              | GB        |      631000 | PA      | $894778.04      | 0.00%             | 2041-12-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| XPO INC                                                                            | XPO INC 7.125% 02/01/2032 144A                                                                          | CUSIP: 983793AK6<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |      750000 | PA      | $785987.25      | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 11/01/2053#DA1079                                                                        | CUSIP: 3140A1FV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1070418 | PA      | $1091678.38     | 0.00%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2052#FS5034                                                                        | CUSIP: 3140XLSY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1066447 | PA      | $924500.94      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DTP COML MTG TR 2023-STE2                                                          | DTP COML MTG TR 2023-STE2 A CSTR 01/15/2041 144A                                                        | CUSIP: 23346GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9373000 | PA      | $9667458.42     | 0.01%             | 2041-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2053#BX3830                                                                          | CUSIP: 3140N8HG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63010 | PA      | $61299.03       | 0.00%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY400081 08/17/61 S                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     2000000 | NC      | $6907.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 03/01/2053#RJ0150                                                                          | CUSIP: 3142GQEY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      491309 | PA      | $477965.12      | 0.00%             | 2053-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                                                              | CANADA GOVERNMENT OF 3% 06/01/2034                                                                      | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      435000 | PA      | $318584.91      | 0.00%             | 2034-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.125%/VAR 06/09/2033 REGS                                                                 | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |      730000 | PA      | $899480.97      | 0.00%             | 2033-06-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                                 | CREDIT AGRICOLE SA 6.251%/VAR 01/10/2035 144A                                                           | CUSIP: 225313AQ8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     8000000 | PA      | $8507634.48     | 0.01%             | 2035-01-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 01/01/2054#RJ0706                                                                        | CUSIP: 3142GQYC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    23314289 | PA      | $24667226.76    | 0.03%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 11/01/2053#CB7520                                                                        | CUSIP: 3140QTLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12720151 | PA      | $13438431.34    | 0.01%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                    | DANSKE BANK AS (UNGTD) 3.875%/VAR 01/09/2032 REGS                                                       | CUSIP: N/A<br>LEI: MAES062Z21O4RZ2U7M96       | Long             | DBT              | CORP              | DK        |     2840000 | PA      | $3478898.45     | 0.00%             | 2032-01-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 5.1% 01/19/2029                               | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     5200000 | PA      | $5339179.40     | 0.01%             | 2029-01-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 5.583% 01/09/2029 144A                                                            | CUSIP: 04685A3Q2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    22274000 | PA      | $22769503.17    | 0.02%             | 2029-01-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                            | BPCE SA 5.716%/VAR 01/18/2030 144A                                                                      | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      750000 | PA      | $779181.31      | 0.00%             | 2030-01-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                                               | VERIZON MASTER TRUST 4.83% 12/22/2031 144A                                                              | CUSIP: 92348KCH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7800000 | PA      | $8016688.68     | 0.01%             | 2031-12-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FDG II                                                           | MASSMUTUAL GLOBAL FDG II 4.85% 01/17/2029 144A                                                          | CUSIP: 57629W5B2<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |     7800000 | PA      | $8002044.26     | 0.01%             | 2029-01-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 5.5% 02/15/2034                                                        | CUSIP: 11120VAM5<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     6800000 | PA      | $7081237.19     | 0.01%             | 2034-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC          | HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC 6.625% 01/15/2032 144A        | CUSIP: 43283QAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      980000 | PA      | $999824.12      | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 5.3% 01/15/2031                                                                   | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     9833000 | PA      | $10327518.58    | 0.01%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-1                                                     | CARMAX AUTO OWNER TRUST 2024-1 4.92% 10/16/2028                                                         | CUSIP: 14318WAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    30604798 | PA      | $30818489.53    | 0.03%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 5.634%/VAR 01/19/2030 144A                                                      | CUSIP: 83368RBW1<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     7780000 | PA      | $8077179.74     | 0.01%             | 2030-01-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 5.339% 01/15/2027 144A                                                            | CUSIP: 04685A3R0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    26112000 | PA      | $26382580.12    | 0.03%             | 2027-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP LP                                                               | KITE REALTY GROUP LP 5.5% 03/01/2034                                                                    | CUSIP: 49803XAE3<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              | CORP              | US        |     5568000 | PA      | $5809904.71     | 0.01%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.75% 03/01/2029 144A                                                       | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    14000000 | PA      | $14564699.24    | 0.02%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.012%/VAR 01/23/2030                                                             | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    13500000 | PA      | $13869102.02    | 0.01%             | 2030-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.336%/VAR 01/23/2035                                                             | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    20000000 | PA      | $20844384.40    | 0.02%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.499%/VAR 01/23/2035                                                            | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    25000000 | PA      | $26187656.50    | 0.03%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 05/01/2053#FS4662                                                                        | CUSIP: 3140XLFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10157792 | PA      | $10748046.37    | 0.01%             | 2053-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                           | EQT CORP 5.75% 02/01/2034                                                                               | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    23624000 | PA      | $25026546.72    | 0.03%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 08/20/2051#785575                                                                          | CUSIP: 3622ABCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7672097 | PA      | $6743518.95     | 0.01%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 12/20/2051#785792                                                                          | CUSIP: 3622ABKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9055013 | PA      | $7959056.53     | 0.01%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A                                                | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    49813720 | PA      | $49813720.19    | 0.05%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL4 TSFR1M+194.132 02/15/2039 144A                                                  | CUSIP: 05611VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3454869 | PA      | $3454868.64     | 0.00%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.468%/VAR 01/23/2035                                                       | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    29000000 | PA      | $30391891.25    | 0.03%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 5.841%/VAR 01/23/2030                                                        | CUSIP: 174610BF1<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     6700000 | PA      | $7005776.88     | 0.01%             | 2030-01-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KEHE DIST/FIN / NEXTWAVE                                                           | KEHE DIST/FIN / NEXTWAVE 9% 02/15/2029 144A                                                             | CUSIP: 487526AC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      885000 | PA      | $928620.77      | 0.00%             | 2029-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                              | TRUIST FINANCIAL CORP 5.435%/VAR 01/24/2030                                                             | CUSIP: 89788MAR3<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     6300000 | PA      | $6537890.27     | 0.01%             | 2030-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                              | TRUIST FINANCIAL CORP 5.711%/VAR 01/24/2035                                                             | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    18500000 | PA      | $19629306.60    | 0.02%             | 2035-01-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      700000 | NC      | $117182.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE BANK                                                                         | JYSKE BANK AS 5.125%/VAR 05/01/2035 REGS                                                                | CUSIP: N/A<br>LEI: 3M5E1GQGKL17HI6CPN30       | Long             | DBT              | CORP              | DK        |      665000 | PA      | $830775.48      | 0.00%             | 2035-05-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                                                               | ZF EUROPE FINANCE BV 4.75% 01/31/2029 REGS                                                              | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |      600000 | PA      | $720367.26      | 0.00%             | 2029-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 2.1% 03/15/2028                                                                      | CUSIP: 756109CA0<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     1631000 | PA      | $1573919.70     | 0.00%             | 2028-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                          | CAESARS ENTERTAINMENT INC 6.5% 02/15/2032 144A                                                          | CUSIP: 12769GAC4<br>LEI: 5299000BKFWWVND5L441 | Long             | DBT              | CORP              | US        |     1475000 | PA      | $1498890.58     | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARTERA SERVICES LLC                                                                | ARTERA SERVICES LLC 8.5% 02/15/2031 144A                                                                | CUSIP: 04302XAA2<br>LEI: 549300J2G34D0WX8Z443 | Long             | DBT              | CORP              | US        |     2185000 | PA      | $1826589.86     | 0.00%             | 2031-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 5.7%/VAR 02/01/2030                                                                | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1145576.65     | 0.00%             | 2030-02-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UKG INC                                                                            | UKG INC 6.875% 02/01/2031 144A                                                                          | CUSIP: 90279XAA0<br>LEI: 529900FKHWSTQ1GXK240 | Long             | DBT              | CORP              | US        |      715000 | PA      | $693656.33      | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                                            | KODIAK GAS SERVICES LLC 7.25% 02/15/2029 144A                                                           | CUSIP: 50012LAC8<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |      555000 | PA      | $575496.71      | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FINANCE SA                                                     | CONSOLIDATED ENERGY TERM B 1LN 11/15/2030                                                               | CUSIP: N/A<br>LEI: 549300PUNIS0USNSL750       | Long             | LON              | CORP              | LU        |     1335617 | PA      | $1194121.40     | 0.00%             | 2030-11-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FIESTA PURCHASER INC                                                               | FIESTA PURCHASER INC 7.875% 03/01/2031 144A                                                             | CUSIP: 31659AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      395000 | PA      | $406866.55      | 0.00%             | 2031-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 08/01/2052#CB4352                                                                          | CUSIP: 3140QPZS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1979909 | PA      | $2023649.91     | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 02/15/2034                                                                                 | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    39379200 | PA      | $39897590.15    | 0.04%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.25% 02/15/2054                                                            | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   166600000 | PA      | $156063851.15   | 0.17%             | 2054-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C3 MTG TR                                                                | BMO 2024-5C3 AS CSTR 02/15/2057                                                                         | CUSIP: 09660QAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11050000 | PA      | $11588680.87    | 0.01%             | 2057-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD CR AUTO OWNER TR 2024-REV1                                                    | FORD CR AUTO OWNER TR 24-1 A 4.87% 08/15/2036 144A                                                      | CUSIP: 34533BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7820000 | PA      | $8057645.89     | 0.01%             | 2036-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CANO HEALTH LLC                                                                    | CANO HEALTH LLC                                                                                         | CUSIP: N/A<br>LEI: 254900OGI2T8V1NXN639       | Long             | EC               | CORP              | US        |       22175 | NS      | $187157.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| POST HOLDINGS INC                                                                  | POST HLDGS INC 6.25% 02/15/2032 144A                                                                    | CUSIP: 737446AU8<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      515000 | PA      | $529778.96      | 0.00%             | 2032-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 5.4% 05/08/2027                                                                | CUSIP: 37045XEQ5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    12300000 | PA      | $12493059.20    | 0.01%             | 2027-05-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 5.25% 02/15/2034                                                                      | CUSIP: 125523CV0<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7261746.94     | 0.01%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2052#SD4751                                                                          | CUSIP: 3132DSH47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1622392 | PA      | $1586441.97     | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2052#FS7077                                                                        | CUSIP: 3140XN2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1624572 | PA      | $1536985.52     | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMER SPORTS CO                                                                     | AMER SPORTS CO 6.75% 02/16/2031 144A                                                                    | CUSIP: 02352NAA7<br>LEI: 549300NRKH9WF70VFC95 | Long             | DBT              | CORP              | US        |      391000 | PA      | $407967.84      | 0.00%             | 2031-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ROYAL KPN NV (KONINKLIJKE KPN)                                                     | ROYAL KPN NV (KONINKLIJKE KPN) 3.875% 02/16/2036 REGS                                                   | CUSIP: N/A<br>LEI: 549300YO0JZHAL7FVP81       | Long             | DBT              | CORP              | NL        |      300000 | PA      | $360399.72      | 0.00%             | 2036-02-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 4.445% 02/14/2030                                                              | CUSIP: 345397E41<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      700000 | PA      | $856491.74      | 0.00%             | 2030-02-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC                                    | AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC ARR TSFR3M+150 04/16/2037 144A                          | CUSIP: 00900PAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    18732000 | PA      | $18755040.36    | 0.02%             | 2037-04-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                    | PHILIP MORRIS INTL INC 5.125% 02/13/2031                                                                | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     5200000 | PA      | $5424715.40     | 0.01%             | 2031-02-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                | CARRIER GLOBAL CORP 6.2% 03/15/2054                                                                     | CUSIP: 14448CBD5<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     1748000 | PA      | $1923603.08     | 0.00%             | 2054-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                | CARRIER GLOBAL CORP 5.9% 03/15/2034                                                                     | CUSIP: 14448CBC7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     3165000 | PA      | $3424238.82     | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM INC 6.375% 03/01/2029 144A                                                                    | CUSIP: 893647BU0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2052500.00     | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                                                 | CNX RESOURCES CORP 7.25% 03/01/2032 144A                                                                | CUSIP: 12653CAL2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      785000 | PA      | $823147.08      | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 04/01/2037#FS6335                                                                        | CUSIP: 3140XNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6183116 | PA      | $5904462.93     | 0.01%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLP COML MTG 2024-INDS                                                             | BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A                                                 | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    28712534 | PA      | $28712533.65    | 0.03%             | 2041-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC 2024-1                                              | ENTERPRISE FLEET FINANCING LLC 2024-1 5.16% 09/20/2030 144A                                             | CUSIP: 29375PAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2802000 | PA      | $2857649.68     | 0.00%             | 2030-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2024-HB1                                                          | OCWEN LN INVT TR 2024-HB1 3% 02/25/2037 144A                                                            | CUSIP: 675952AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      886137 | PA      | $874724.71      | 0.00%             | 2037-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                            | BRISTOL-MYERS SQUIBB CO 5.2% 02/22/2034                                                                 | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7326599.42     | 0.01%             | 2034-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                            | BRISTOL-MYERS SQUIBB CO 5.55% 02/22/2054                                                                | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     4780000 | PA      | $4742094.17     | 0.01%             | 2054-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2035#RC1476                                                                          | CUSIP: 3133L7T98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1097489 | PA      | $1071063.29     | 0.00%             | 2035-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                   | BAT CAPITAL CORP 5.834% 02/20/2031                                                                      | CUSIP: 05526DBY0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    11500000 | PA      | $12299309.92    | 0.01%             | 2031-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.5% 02/15/2044                                                             | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2975000 | PA      | $2965586.92     | 0.00%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2% 11/20/2052#MA8422                                                                            | CUSIP: 36179XLB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18627 | PA      | $15817.95       | 0.00%             | 2052-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 07/20/2053#MA9010                                                                            | CUSIP: 36179YAK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1200383 | PA      | $1017853.54     | 0.00%             | 2053-07-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 01/20/2054#MA9416                                                                            | CUSIP: 36179YN91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      361181 | PA      | $306259.89      | 0.00%             | 2054-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 11/20/2053#MA9355                                                                            | CUSIP: 36179YMC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1074831 | PA      | $911392.52      | 0.00%             | 2053-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2% 06/20/2053#MA8941                                                                            | CUSIP: 36179X5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1371431 | PA      | $1162892.22     | 0.00%             | 2053-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2% 03/20/2053#MA8794                                                                            | CUSIP: 36179XXX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1637446 | PA      | $1388457.07     | 0.00%             | 2053-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 12/20/2051#785805                                                                          | CUSIP: 3622ABKS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    18830303 | PA      | $16568866.62    | 0.02%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOYOTA LEASE OWNER TRUST 2024-A                                                    | TOYOTA LEASE OWNER TRUST 2024-A 5.25% 04/20/2027 144A                                                   | CUSIP: 89238GAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      309768 | PA      | $310299.73      | 0.00%             | 2027-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 01/20/2054#MA9481                                                                            | CUSIP: 36179YRA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      295744 | PA      | $250772.99      | 0.00%             | 2054-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.45% 04/01/2031                                                                                | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4712359.86     | 0.01%             | 2031-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                                                   | GEORGIA POWER CO 5.25% 03/15/2034                                                                       | CUSIP: 373334KW0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     8750000 | PA      | $9139185.65     | 0.01%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                        | ROYAL CARIBBEAN CRUISES LTD 6.25% 03/15/2032 144A                                                       | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      430000 | PA      | $448424.08      | 0.00%             | 2032-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 5.45% 03/15/2034                                                                            | CUSIP: 30161NBN0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     7200000 | PA      | $7562034.14     | 0.01%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 5.15% 03/15/2029                                                                            | CUSIP: 30161NBM2<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6718919.61     | 0.01%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 02/28/2029                                                                              | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2300000 | PA      | $2355433.59     | 0.00%             | 2029-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 02/28/2031                                                                              | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    44322300 | PA      | $45762774.75    | 0.05%             | 2031-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 LLC                                                                 | PRPM 2024-RPL1 LLC A1 4.2% 12/25/2064 144A                                                              | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5399089 | PA      | $5355107.78     | 0.01%             | 2064-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 09/01/2053#RA9856                                                                          | CUSIP: 3133KR5R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8695781 | PA      | $9039988.68     | 0.01%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                               | HEATHROW FUNDING LTD 6% 03/05/2032 REGS                                                                 | CUSIP: N/A<br>LEI: 7TI96JO3DYEIQWZ7Z726       | Long             | DBT              | CORP              | JE        |     1250000 | PA      | $1753786.22     | 0.00%             | 2032-03-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 02/01/2054#QH9731                                                                        | CUSIP: 3133CNY48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2880175 | PA      | $2939855.00     | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 02/01/2054#BY8728                                                                        | CUSIP: 3140NRVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1866062 | PA      | $1904728.10     | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 02/01/2054#DA9474                                                                        | CUSIP: 3140YXQ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2654770 | PA      | $2709986.54     | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 01/01/2054#DA7345                                                                        | CUSIP: 3140A8ET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1079980 | PA      | $1102442.90     | 0.00%             | 2054-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 02/01/2054#DA7760                                                                        | CUSIP: 3140A8TS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2656159 | PA      | $2711404.54     | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FINANCE CORP                         | DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FINANCE CORP 8.625% 03/15/2029 144A                       | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1020000 | PA      | $1065039.12     | 0.00%             | 2029-03-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 11/01/2053#RJ0189                                                                          | CUSIP: 3142GQF72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4581753 | PA      | $4763114.22     | 0.01%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 09/01/2053#CB7123                                                                          | CUSIP: 3140QS4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7007187 | PA      | $7284554.79     | 0.01%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENGIE SA                                                                           | ENGIE SA 3.875% 03/06/2036 REGS                                                                         | CUSIP: N/A<br>LEI: LAXUQCHT4FH58LRZDY46       | Long             | DBT              | CORP              | FR        |      800000 | PA      | $965487.90      | 0.00%             | 2036-03-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2053#FS6498                                                                          | CUSIP: 3140XNGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    23943912 | PA      | $24803696.96    | 0.03%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 02/01/2054#RJ0836                                                                        | CUSIP: 3142GQ4W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2716826 | PA      | $2773332.79     | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-CP1                                                           | NYMT LOAN TRUST 2024-CP1 3.75% 02/25/2068 144A                                                          | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7476623 | PA      | $7182292.43     | 0.01%             | 2068-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2042#ZL3774                                                                        | CUSIP: 3131XKFP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5442050 | PA      | $5266987.71     | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2042#ZA1228                                                                        | CUSIP: 31329JLH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4372761 | PA      | $4236619.35     | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2046#BM5096                                                                        | CUSIP: 3140J9UW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16321289 | PA      | $15779697.78    | 0.02%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2024-1                                    | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2024-1 4.98% 12/11/2036 144A                                   | CUSIP: 36269KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3961000 | PA      | $4095911.26     | 0.00%             | 2036-12-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2024-1                                                 | ALLY AUTO RECEIVABLES TRUST 2024-1 5.08% 12/15/2028                                                     | CUSIP: 02008FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10141976 | PA      | $10207605.22    | 0.01%             | 2028-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2050#FS3728                                                                        | CUSIP: 3140XKEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19148339 | PA      | $18520698.40    | 0.02%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2050#QB5146                                                                          | CUSIP: 3133ABWF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       26639 | PA      | $22367.57       | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/01/2051#RA5287                                                                          | CUSIP: 3133KL2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1085931 | PA      | $910775.54      | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2051#BR3500                                                                          | CUSIP: 3140L13J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12836 | PA      | $10773.33       | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2051#CB1110                                                                          | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      448464 | PA      | $376128.90      | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL5 C TSFR1M+194.087 03/15/2039 144A                                                | CUSIP: 05612GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12509000 | PA      | $12509000.03    | 0.01%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                                            | BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2041 144A                                                | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    60942131 | PA      | $60961175.04    | 0.07%             | 2041-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2051#FM6338                                                                          | CUSIP: 3140XABG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100713 | PA      | $84531.25       | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#FM6560                                                                          | CUSIP: 3140XAJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      189367 | PA      | $158941.19      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL5 B TSFR1M+169.12 03/15/2039 144A                                                 | CUSIP: 05612GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10124800 | PA      | $10124799.99    | 0.01%             | 2041-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 03/01/2054#CB8112                                                                          | CUSIP: 3140QUAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8039651 | PA      | $8285655.73     | 0.01%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 03/01/2054#CB8113                                                                        | CUSIP: 3140QUAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5801696 | PA      | $6054518.67     | 0.01%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG LXVII LTD / MADISON PK FDG LXVII LLC                                | MADISON PK FDG LXVII LTD / MADISON PK FDG LXVII LLC A1 TSFR3M+151 04/25/2037 144A                       | CUSIP: 55821YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    21830000 | PA      | $21872481.18    | 0.02%             | 2037-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                               | CLEVELAND-CLIFFS INC 7% 03/15/2032 144A                                                                 | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      265000 | PA      | $269140.89      | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CORECIVIC INC                                                                      | CORECIVIC INC 8.25% 04/15/2029                                                                          | CUSIP: 21871NAC5<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |      580000 | PA      | $602306.22      | 0.00%             | 2029-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                                                | BANCO BILBAO VIZ ARGENTARIA SA 6.033%/VAR 03/13/2035                                                    | CUSIP: 05946KAR2<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |     2000000 | PA      | $2139033.46     | 0.00%             | 2035-03-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                                                 | AVIS BUDGET RENTCAR FDG AE LLC 24-3A A 5.23% 12/20/2030 144A                                            | CUSIP: 05377RJK1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |     4728000 | PA      | $4901237.23     | 0.01%             | 2030-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRET 2024-RPL1 TR                                                                  | PRET 2024-RPL1 TR 3.9% 10/25/2063 144A                                                                  | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1371937 | PA      | $1334077.77     | 0.00%             | 2063-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG-BACKED SECS TR 2024-RPL2                                                    | GS MTG-BACKED SECS TR 2024-RPL2 A1 3.75% 07/25/2061 144A                                                | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6808187 | PA      | $6694304.15     | 0.01%             | 2061-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALCOA NEDERLAND HOLDING BV                                                         | ALCOA NEDERLAND HOLDING BV 7.125% 03/15/2031 144A                                                       | CUSIP: 013822AH4<br>LEI: 5493000UL1QLQLT1VQ42 | Long             | DBT              | CORP              | NL        |      170000 | PA      | $179728.59      | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 5.75% 04/01/2034                                                                     | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     4314000 | PA      | $4481693.68     | 0.00%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                                 | ESSEX PORTFOLIO LP 5.5% 04/01/2034                                                                      | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |     4442000 | PA      | $4633051.53     | 0.00%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                       | CAIXABANK SA 5.673%/VAR 03/15/2030 144A                                                                 | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     8900000 | PA      | $9281065.25     | 0.01%             | 2030-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                       | CAIXABANK SA 6.037%/VAR 06/15/2035 144A                                                                 | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    11757000 | PA      | $12616553.68    | 0.01%             | 2035-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AMER INC                                                      | UNITED RENTALS NORTH AMER INC 6.125% 03/15/2034 144A                                                    | CUSIP: 911365BR4<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     1080000 | PA      | $1131388.56     | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INDIANAPOLIS PWR and LT CO                                                         | INDIANAPOLIS PWR and LT CO 5.7% 04/01/2054 144A                                                         | CUSIP: 455434BW9<br>LEI: 2T85JNP2R2B2GTSFND21 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5057406.05     | 0.01%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TR 2024-A                                                 | HYUNDAI AUTO RECEIVABLES TR 2024-A 4.99% 02/15/2029                                                     | CUSIP: 448973AD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1616906 | PA      | $1630320.58     | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2051#BQ9687                                                                          | CUSIP: 3140KVXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2930073 | PA      | $2451971.19     | 0.00%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS                                                           | OAK HILL CREDIT PARTNERS A1 TSFR3M+150 04/20/2037 144A                                                  | CUSIP: 67706JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    18840000 | PA      | $18880920.48    | 0.02%             | 2037-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 22 LTD / AIMCO CLO 22 LLC                                                | AIMCO CLO 22 LTD / AIMCO CLO 22 LLC A TSFR3M+150 04/19/2037 144A                                        | CUSIP: 00901UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    23550000 | PA      | $23589611.10    | 0.03%             | 2037-04-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS                                                           | OAK HILL CREDIT PARTNERS A2 TSFR3M+165 04/20/2037 144A                                                  | CUSIP: 67706JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     1300000 | PA      | $1301933.10     | 0.00%             | 2037-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C35                                                   | WELLS FARGO COML MTG TR 2016-C35 TSFR1M+116.448 07/15/2048 144A                                         | CUSIP: 95000FBA3<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-MBS          | CORP              | US        |     5200000 | PA      | $5200891.80     | 0.01%             | 2048-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 5.375% 04/15/2031                                                                            | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     2200000 | PA      | $2267265.53     | 0.00%             | 2031-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                       | ING GROEP NV 5.335%/VAR 03/19/2030                                                                      | CUSIP: 456837BL6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     6500000 | PA      | $6733651.99     | 0.01%             | 2030-03-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 5.35% 04/01/2034                                                                           | CUSIP: 65473PAQ8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     9500000 | PA      | $9916579.47     | 0.01%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 03/01/2054#DA2757                                                                        | CUSIP: 3140A3B36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5480385 | PA      | $5580070.56     | 0.01%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INVESCO US CLO 2024-1 LTD                                                          | INVESCO US CLO 2024-1 LTD AR TSFR3M+155 04/15/2037 144A                                                 | CUSIP: 46148JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10990000 | PA      | $10987637.15    | 0.01%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NISSAN MASTER OWNER TR RECEIVABLE                                                  | NISSAN MASTER OWNER TR RECEIVABLE 5.05% 02/15/2029 144A                                                 | CUSIP: 65479VAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    23189000 | PA      | $23438754.81    | 0.03%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2052#RA7575                                                                          | CUSIP: 3133KPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3459323 | PA      | $3535747.30     | 0.00%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                                          | BANK IRELAND GROUP PLC 5.601%/VAR 03/20/2030 144A                                                       | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |     6500000 | PA      | $6763114.22     | 0.01%             | 2030-03-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 5.06% 03/15/2031 144A                                                  | CUSIP: 361886DF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9100000 | PA      | $9427147.73     | 0.01%             | 2031-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                       | BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A                                                             | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    39851493 | PA      | $39863946.36    | 0.04%             | 2041-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                       | BX 2024-CNYN TSFR1M+194.116 04/15/2041 144A                                                             | CUSIP: 05612HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4865251 | PA      | $4868291.34     | 0.01%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                       | BX 2024-CNYN B TSFR1M+169.152 04/15/2029 144A                                                           | CUSIP: 05612HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5825610 | PA      | $5829250.97     | 0.01%             | 2041-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BRUNSWICK CORP                                                                     | BRUNSWICK CORP 5.85% 03/18/2029                                                                         | CUSIP: 117043AW9<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |    10500000 | PA      | $10916803.80    | 0.01%             | 2029-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 43 LTD                                                                | SYMPHONY CLO 43 LTD A1 TSFR3M+152 04/15/2037 144A                                                       | CUSIP: 87170BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    14100000 | PA      | $14119302.90    | 0.02%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-1                                                      | CHASE AUTO OWNER TRUST 2024-1 5.13% 05/25/2029 144A                                                     | CUSIP: 16144BAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9859684 | PA      | $9952705.04     | 0.01%             | 2029-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 5.35% 03/15/2031 144A                                                  | CUSIP: 361886DG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2600000 | PA      | $2683929.04     | 0.00%             | 2031-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 3.955%/VAR 03/21/2035                                                                    | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |      800000 | PA      | $964404.08      | 0.00%             | 2035-03-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 3.761%/VAR 03/21/2034 REGS                                                        | CUSIP: N/A<br>LEI: 8I5DZWZKVSZI1NUHU748       | Long             | DBT              | CORP              | US        |      750000 | PA      | $903920.98      | 0.00%             | 2034-03-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AGCO CORP                                                                          | AGCO CORP 5.8% 03/21/2034                                                                               | CUSIP: 001084AS1<br>LEI: LYOM0B2GCF1JWXK5ZG04 | Long             | DBT              | CORP              | US        |     7687000 | PA      | $8123426.50     | 0.01%             | 2034-03-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 01/20/2054#MA9422                                                                            | CUSIP: 36179YPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      768434 | PA      | $775232.66      | 0.00%             | 2054-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO 2024-C8                                                                        | BMO 2024-C8 A5 5.59801% 09/15/2056                                                                      | CUSIP: 05593HAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13179000 | PA      | $14102261.43    | 0.02%             | 2057-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                    | BAE SYSTEMS PLC 5.25% 03/26/2031 144A                                                                   | CUSIP: 05523RAK3<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     7319000 | PA      | $7667672.84     | 0.01%             | 2031-03-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                    | BAE SYSTEMS PLC 5.3% 03/26/2034 144A                                                                    | CUSIP: 05523RAL1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    11900000 | PA      | $12529264.50    | 0.01%             | 2034-03-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                    | BAE SYSTEMS PLC 5.5% 03/26/2054 144A                                                                    | CUSIP: 05523RAM9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     1703000 | PA      | $1754100.80     | 0.00%             | 2054-03-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC                                          | MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC 6.25% 04/01/2029 144A                                         | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1325000 | PA      | $1367362.90     | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 5.33% 03/15/2029 144A                                                  | CUSIP: 361886DC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3650000 | PA      | $3694710.68     | 0.00%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CBRE OPEN-ENDED FUNDS SCA SICAV-SIF                                                | CBRE OPEN-ENDED FUNDS SCA SICAV-SIF 4.75% 03/27/2034 REGS                                               | CUSIP: N/A<br>LEI: 529900J5H3JGJ83AUZ88       | Long             | DBT              | CORP              | LU        |      450000 | PA      | $563761.32      | 0.00%             | 2034-03-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 02/20/2054#MA9487                                                                            | CUSIP: 36179YRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       45439 | PA      | $45841.32       | 0.00%             | 2054-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 5.516% 03/25/2027 144A                                                            | CUSIP: 04685A3T6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     7800000 | PA      | $7914830.51     | 0.01%             | 2027-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTYS LP and RHP FIN CORP                                                | RHP HOTEL PPTYS LP and RHP FIN CORP 6.5% 04/01/2032 144A                                                | CUSIP: 749571AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      560000 | PA      | $579475.12      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG TERM B 1LN 04/16/2031                                                                               | CUSIP: 62937NBC0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | LON              | CORP              | US        |       59696 | PA      | $59798.88       | 0.00%             | 2031-04-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                   | HILTON DOMESTIC OPERATING CO INC 5.875% 04/01/2029 144A                                                 | CUSIP: 432833AP6<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      500000 | PA      | $511857.43      | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PANTHER ESCROW ISSUER LLC                                                          | PANTHER ESCROW ISSUER LLC 7.125% 06/01/2031 144A                                                        | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      715000 | PA      | $727402.39      | 0.00%             | 2031-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ESAB CORP                                                                          | ESAB CORP 6.25% 04/15/2029 144A                                                                         | CUSIP: 29605JAA4<br>LEI: 549300ZNV0SWBXEIWT04 | Long             | DBT              | CORP              | US        |      780000 | PA      | $799545.24      | 0.00%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 04/01/2042#SC0481                                                                          | CUSIP: 3132D9RA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    25599410 | PA      | $22981706.47    | 0.02%             | 2042-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                      | AIA GROUP LTD 5.375% 04/05/2034 144A                                                                    | CUSIP: 00131LAQ8<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |     4500000 | PA      | $4729324.01     | 0.01%             | 2034-04-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES COMPANY                                                          | MATADOR RES CO 6.5% 04/15/2032 144A                                                                     | CUSIP: 576485AG1<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |      730000 | PA      | $745520.27      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                                   | GGAM FINANCE LTD 6.875% 04/15/2029 144A                                                                 | CUSIP: 36170JAD8<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |      545000 | PA      | $561390.88      | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 08/15/2048                                                            | CUSIP: 3137F95R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3877229 | PA      | $3370965.27     | 0.00%             | 2048-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 04/01/2054#                                                                                | CUSIP: 3140QUH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1291302 | PA      | $1330007.41     | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENESEE and WYOMING INC                                                            | GENESEE and WYOMING TERM B 1LN 04/10/2031                                                               | CUSIP: 37156QAZ9<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |      790000 | PA      | $788664.90      | 0.00%             | 2031-04-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/01/2051#RA4349                                                                        | CUSIP: 3133KKZN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23478 | PA      | $20616.81       | 0.00%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2024-2                                             | CITIZENS AUTO RECEIVABLES TRUST 2024-2 5.33% 08/15/2028 144A                                            | CUSIP: 17331XAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9694065 | PA      | $9743982.45     | 0.01%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 5.55% 07/15/2029                                                               | CUSIP: 37045XEU6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     8500000 | PA      | $8851646.19     | 0.01%             | 2029-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2024-1 LTD                                                                | VOYA CLO 2024-1 LTD A1 TSFR3M+152 04/15/2037 144A                                                       | CUSIP: 92920DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6280000 | PA      | $6297125.56     | 0.01%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORPORATION NEW                                                           | AMPHENOL CORPORATION NEW 5.25% 04/05/2034                                                               | CUSIP: 032095AQ4<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4609165.79     | 0.00%             | 2034-04-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 5.95% 04/05/2054                                                                           | CUSIP: 29250NCD5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    12809000 | PA      | $13208297.39    | 0.01%             | 2054-04-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENESEE and WYOMING INC                                                            | GENESEE and WYOMING INC 6.25% 04/15/2032 144A                                                           | CUSIP: 371559AB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | DBT              | CORP              | US        |      650000 | PA      | $669978.40      | 0.00%             | 2032-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 8.875% 04/12/2029                                                        | CUSIP: 105340AS2<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    22481000 | PA      | $23882083.36    | 0.03%             | 2029-04-12      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                                          | CHESAPEAKE FUNDING II LLC 5.52% 05/15/2036 144A                                                         | CUSIP: 165183DE1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |     8613732 | PA      | $8721954.48     | 0.01%             | 2036-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 24-1A A1 5.49% 02/18/2039 144A                                         | CUSIP: 96328GBM8<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    12849501 | PA      | $12992913.11    | 0.01%             | 2039-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                                 | MITSUBISHI UFJ FIN GRP INC 5.258%/VAR 04/17/2030                                                        | CUSIP: 606822DE1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     6000000 | PA      | $6212946.90     | 0.01%             | 2030-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NUVEEN LLC                                                                         | NUVEEN LLC 5.55% 01/15/2030 144A                                                                        | CUSIP: 67080LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    16339000 | PA      | $17054541.02    | 0.02%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NUVEEN LLC                                                                         | NUVEEN LLC 5.85% 04/15/2034 144A                                                                        | CUSIP: 67080LAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4252901.48     | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 11/25/2047                                                            | CUSIP: 3136BFP49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     4515875 | PA      | $4124824.85     | 0.00%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2024-A                               | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2024-A 5.26% 10/15/2027                                   | CUSIP: 981946AD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7062656 | PA      | $7096675.66     | 0.01%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                      | BAT INTL FINANCE PLC 4.125% 04/12/2032 REGS                                                             | CUSIP: N/A<br>LEI: 21380041YBGOQDFAC823       | Long             | DBT              | CORP              | GB        |     2615000 | PA      | $3202590.79     | 0.00%             | 2032-04-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | FIDELITY SAI SHORT-TERM TREASURY BOND INDEX FUND                                                        | CUSIP: 31635T161<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |    28916303 | NS      | $293500473.98   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | FIDELITY SAI INFLATION-PROTECTED BOND INDEX FUND                                                        | CUSIP: 31635T187<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |    60504780 | NS      | $620173990.85   | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | FIDELITY SAI INTERMEDIATE TREASURY BOND INDEX FUND                                                      | CUSIP: 31635T179<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   421648085 | NS      | $4245996218.13  | 4.55%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 05/01/2054#MA5354                                                                          | CUSIP: 31418E5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53927 | PA      | $55341.67       | 0.00%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                                                 | RWE FINANCE US LLC 5.875% 04/16/2034 144A                                                               | CUSIP: 749983AA0<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |     1581000 | PA      | $1678377.60     | 0.00%             | 2034-04-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INTERNATIONAL LTD                                                       | TRANSOCEAN INTERNATIONAL LTD 8.25% 05/15/2029 144A                                                      | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |      860000 | PA      | $895406.20      | 0.00%             | 2029-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CR ACC MST TR                                                     | AMERICAN EXPRESS CR ACC MST TR 5.24% 04/15/2031                                                         | CUSIP: 02582JKF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7800000 | PA      | $8164705.38     | 0.01%             | 2031-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2024-2                                                        | CARMAX AUTO OWNER TR 2024-2 5.5% 01/16/2029                                                             | CUSIP: 14319EAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10307977 | PA      | $10435508.14    | 0.01%             | 2029-01-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5% 04/01/2039#BT6634                                                                          | CUSIP: 3140LVLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      220743 | PA      | $225851.57      | 0.00%             | 2039-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 6.45% 04/15/2027                              | CUSIP: 00774MBG9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     1866000 | PA      | $1912959.03     | 0.00%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VALLOUREC SA                                                                       | VALLOUREC SA 7.5% 04/15/2032 144A                                                                       | CUSIP: 92023RAA8<br>LEI: 969500P2Q1B47H4MCJ34 | Long             | DBT              | CORP              | FR        |      807000 | PA      | $856855.65      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ZF NORTH AMER CAP INC                                                              | ZF NORTH AMER CAP INC 6.75% 04/23/2030 144A                                                             | CUSIP: 98877DAF2<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |      435000 | PA      | $439851.99      | 0.00%             | 2030-04-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ZF NORTH AMER CAP INC                                                              | ZF NORTH AMER CAP INC 6.875% 04/23/2032 144A                                                            | CUSIP: 98877DAG0<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |      220000 | PA      | $220725.34      | 0.00%             | 2032-04-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2054#SD7569                                                                          | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    47802370 | PA      | $50008248.56    | 0.05%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2050#RA4142                                                                        | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2881419 | PA      | $2548321.42     | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5.203% 02/25/2031                                                        | CUSIP: 3137HCH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10200000 | PA      | $10798497.24    | 0.01%             | 2031-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN 83 CLO LTD                                                                  | DRYDEN 83 CLO LTD AR TSFR3M+153 04/18/2037 144A                                                         | CUSIP: 26246EAL2<br>LEI: 2549001LFFVBUD1OX384 | Long             | ABS-CBDO         | CORP              | KY        |    12450000 | PA      | $12466060.50    | 0.01%             | 2037-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 6.645%/VAR 04/25/2035                                                        | CUSIP: 174610BG9<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    12968000 | PA      | $14353205.97    | 0.02%             | 2035-04-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 04/30/2029                                                                             | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4210000 | PA      | $4362119.13     | 0.00%             | 2029-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                                                  | ENTERPRISE FLEET FINANCING 2024-2 5.61% 04/20/2028 144A                                                 | CUSIP: 29375RAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21731000 | PA      | $22053740.12    | 0.02%             | 2028-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                                                  | ENTERPRISE FLEET FINANCING 2024-2 5.74% 12/20/2026 144A                                                 | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3010193 | PA      | $3017663.68     | 0.00%             | 2026-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2052#SD7553                                                                          | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15488685 | PA      | $14223578.47    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#FS5127                                                                          | CUSIP: 3140XLVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8631006 | PA      | $7810051.50     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HARVEST MIDSTREAM I LP                                                             | HARVEST MIDSTREAM I LP 7.5% 05/15/2032 144A                                                             | CUSIP: 417558AB9<br>LEI: 549300DW5M17KJOXCY66 | Long             | DBT              | CORP              | US        |     1190000 | PA      | $1235199.77     | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2052#FS5385                                                                        | CUSIP: 3140XL6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3634488 | PA      | $3200705.31     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| US ACUTE CARE SOLUTIONS                                                            | US ACUTE CARE SOLUTIONS 9.75% 05/15/2029 144A                                                           | CUSIP: 90367UAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      425000 | PA      | $425132.60      | 0.00%             | 2029-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DESIGNATED ACTIVITY CO                                        | ICON INVESTMENTS SIX DESIGNATED ACTIVITY CO 5.849% 05/08/2029                                           | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |     2453000 | PA      | $2511704.80     | 0.00%             | 2029-05-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-BPR2                                                  | MORGAN STANLEY CAP I TR 2024-BPR2 A 7.291% 05/05/2029 144A                                              | CUSIP: 61776EAA1<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     4807363 | PA      | $5094920.61     | 0.01%             | 2029-05-05      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 05/01/2054#                                                                                | CUSIP: 3140QUNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    25486516 | PA      | $26250445.98    | 0.03%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 05/15/2054                                                           | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    54200000 | PA      | $54026390.90    | 0.06%             | 2054-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 05/15/2034                                                                             | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   105436400 | PA      | $109468518.84   | 0.12%             | 2034-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MDHS                                                           | BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A                                                        | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    31063524 | PA      | $31082938.44    | 0.03%             | 2041-05-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER   | PARK INTERMEDIATE HOLDINGS LLC / PK DOMESTIC PROPERTY LLC / PK FINANCE CO-ISSUER 7% 02/01/2030 144A     | CUSIP: 70052LAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      300000 | PA      | $310611.60      | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INVESCO US CLO 2024-3 LTD                                                          | INVESCO US CLO 2024-3 LTD A TSFR3M+151 07/20/2037 144A                                                  | CUSIP: 46148HAB4<br>LEI: 254900GU4U8LUX3GA959 | Long             | ABS-CBDO         | CORP              | JE        |    12220000 | PA      | $12254167.12    | 0.01%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                                     | FORD CR FLOORPLN MAST OWN TR A 5.29% 04/15/2029 144A                                                    | CUSIP: 34528QJA3<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |    25782000 | PA      | $26195904.23    | 0.03%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLAD 2024-1 LLC                                                                   | DLLAD 2024-1 LLC 5.3% 07/20/2029 144A                                                                   | CUSIP: 23346MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4988000 | PA      | $5091445.63     | 0.01%             | 2029-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                                     | FORD CR FLOORPLN MAST OWN TR A 5.48% 04/15/2029 144A                                                    | CUSIP: 34528QJC9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |     6500000 | PA      | $6604272.35     | 0.01%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN FINANCE SARL                                                            | AROUNDTOWN FINANCE SARL 7.875%/VAR PERP                                                                 | CUSIP: N/A<br>LEI: 8945006LEXV2KWSWVP51       | Long             | EP               | CORP              | LU        |     2550000 | PA      | $2611972.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                          | BLOCK INC 6.5% 05/15/2032                                                                               | CUSIP: 852234AS2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     1195000 | PA      | $1229367.01     | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                                                           | AGREE LP 5.625% 06/15/2034                                                                              | CUSIP: 008513AE3<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |    18770000 | PA      | $19810399.33    | 0.02%             | 2034-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ITC HLDGS CORP                                                                     | ITC HLDGS CORP 5.65% 05/09/2034 144A                                                                    | CUSIP: 465685AT2<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    11700000 | PA      | $12331131.23    | 0.01%             | 2034-05-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.55% 09/25/2046                                                         | CUSIP: 3136AWGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1308800 | PA      | $1222024.60     | 0.00%             | 2046-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.7% 05/25/2047                                                          | CUSIP: 3136AWLF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6868790 | PA      | $6424725.22     | 0.01%             | 2047-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTL INC                                                         | GRAPHIC PACKAGING INTL INC 6.375% 07/15/2032 144A                                                       | CUSIP: 38869AAE7<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |      870000 | PA      | $881296.08      | 0.00%             | 2032-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2046                                                          | CUSIP: 3136ARGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     9397954 | PA      | $8393942.15     | 0.01%             | 2046-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2024-C26                                                              | BBCMS MTG TR 2024-C26 VAR 05/15/2057                                                                    | CUSIP: 05555AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20004000 | PA      | $21708884.91    | 0.02%             | 2057-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                       | WP CAREY INC 4.25% 07/23/2032                                                                           | CUSIP: N/A<br>LEI: 54930042CRNE713E3Q67       | Long             | DBT              | CORP              | US        |      300000 | PA      | $369303.74      | 0.00%             | 2032-07-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.4% 06/01/2029                                                                         | CUSIP: 126650EB2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6757361.20     | 0.01%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.55% 06/01/2031                                                                        | CUSIP: 126650EC0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    10900000 | PA      | $11500663.36    | 0.01%             | 2031-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                                                                 | INGERSOLL RAND INC 5.176% 06/15/2029                                                                    | CUSIP: 45687VAD8<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |     7800000 | PA      | $8090052.98     | 0.01%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                                                                 | INGERSOLL RAND INC 5.314% 06/15/2031                                                                    | CUSIP: 45687VAE6<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |     8500000 | PA      | $8938898.44     | 0.01%             | 2031-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                                                                 | INGERSOLL RAND INC 5.45% 06/15/2034                                                                     | CUSIP: 45687VAF3<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |     8200000 | PA      | $8612066.32     | 0.01%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Phillips Edison Grocery Center Operating Partnership I LP                          | Phillips Edison Grocery Center Operating Partnership I LP 5.75% 07/15/2034                              | CUSIP: 71845JAB4<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |    12448000 | PA      | $13177856.74    | 0.01%             | 2034-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REINSURANCE GROUP OF AMERICA INC                                                   | REINSURANCE GRP OF AMERICA INC 5.75% 09/15/2034                                                         | CUSIP: 759351AS8<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |    14700000 | PA      | $15401586.75    | 0.02%             | 2034-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM PARTNERS LP                                                         | HESS MIDSTREAM PARTNERS LP 6.5% 06/01/2029 144A                                                         | CUSIP: 428102AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1355000 | PA      | $1402097.09     | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.75% 11/15/2029 144A                                                       | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     6000000 | PA      | $6270138.60     | 0.01%             | 2029-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2051#QB8944                                                                          | CUSIP: 3133AF5D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      125303 | PA      | $105561.66      | 0.00%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 07/01/2035#FM3159                                                                          | CUSIP: 3140X6QM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      346486 | PA      | $325529.83      | 0.00%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WORLD FINL NETWORK CC MASTR TR                                                     | WORLD FINL NETWORK CC MASTR TR 5.47% 02/15/2031                                                         | CUSIP: 981464HR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    28242000 | PA      | $28754083.94    | 0.03%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.1% 06/01/2029         | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    17861000 | PA      | $18719763.49    | 0.02%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.55% 06/01/2034        | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    12270000 | PA      | $13049467.58    | 0.01%             | 2034-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 04/01/2041#QK0705                                                                        | CUSIP: 3133D3YA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11112459 | PA      | $9598196.32     | 0.01%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2019-1 LTD                                                         | EATON VANCE CLO 2019-1 LTD AR2 TSFR3M+151 07/15/2037 144A                                               | CUSIP: 27830XAW6<br>LEI: 5493007R7GEORNX00105 | Long             | ABS-CBDO         | CORP              | KY        |    12310000 | PA      | $12332564.23    | 0.01%             | 2037-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#FS6219                                                                        | CUSIP: 3140XM4D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      816710 | PA      | $773699.16      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B                                     | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B 5.41% 05/17/2027 144A                                    | CUSIP: 44934FAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5212369 | PA      | $5232292.09     | 0.01%             | 2027-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                                       | AMPRION GMBH 3.625% 05/21/2031 REGS                                                                     | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |      300000 | PA      | $364284.44      | 0.00%             | 2031-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2                                      | SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2 5.33% 11/20/2029 144A                                     | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7436577 | PA      | $7520672.12     | 0.01%             | 2029-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-B                                                       | SBNA AUTO LEASE TRUST 2024-B 5.56% 11/22/2027 144A                                                      | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10641559 | PA      | $10689017.51    | 0.01%             | 2027-11-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 5.85% 05/17/2027                                                               | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6606516.87     | 0.01%             | 2027-05-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TR 2024-1                                                                | BOFA AUTO TR 2024-1A A3 5.35% 11/15/2028 144A                                                           | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4298425 | PA      | $4336785.41     | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INSIGHT ENTERPRISES INC                                                            | INSIGHT ENTERPRISES INC 6.625% 05/15/2032 144A                                                          | CUSIP: 45765UAC7<br>LEI: 529900S8991TYW6YP792 | Long             | DBT              | CORP              | US        |      300000 | PA      | $300751.20      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2024-A                                              | MERCEDES-BENZ AUTO LEASE TRUST 2024-A 5.32% 01/18/2028                                                  | CUSIP: 58770JAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15820000 | PA      | $15940777.79    | 0.02%             | 2028-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2024-A                                              | MERCEDES-BENZ AUTO LEASE TRUST 2024-A 5.44% 02/16/2027                                                  | CUSIP: 58770JAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       18919 | PA      | $18933.86       | 0.00%             | 2027-02-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2024-A                                              | MERCEDES-BENZ AUTO LEASE TRUST 2024-A 5.32% 02/15/2030                                                  | CUSIP: 58770JAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7800000 | PA      | $7928792.04     | 0.01%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 05/15/2044                                                           | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1535000 | PA      | $1552448.64     | 0.00%             | 2044-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY562346 11/18/64 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    10405693 | NC      | $-4441.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HTA GROUP LTD/MAURITIUS                                                            | HTA GROUP LTD/MAURITIUS 7.5% 06/04/2029 144A                                                            | CUSIP: 40435WAC4<br>LEI: 213800WEFU8O8X6EPU13 | Long             | DBT              | CORP              | MU        |      300000 | PA      | $310017.51      | 0.00%             | 2029-06-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#CB2276                                                                        | CUSIP: 3140QMQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3423746 | PA      | $3000136.65     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CORPORATION                                                   | CALIFORNIA RES CORP 8.25% 06/15/2029 144A                                                               | CUSIP: 13057QAK3<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |      605000 | PA      | $635134.45      | 0.00%             | 2029-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                      | AEP TEXAS INC 5.7% 05/15/2034                                                                           | CUSIP: 00108WAT7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     2023000 | PA      | $2142889.21     | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 7.125%/VAR PERP                                                                           | CUSIP: 172967PK1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EP               | CORP              | US        |      770000 | PA      | $795868.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                      | BMP 2024-MF23 C TSFR1M+194.113 06/15/2041 144A                                                          | CUSIP: 05593JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3540000 | PA      | $3543318.75     | 0.00%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                      | BROOKFIELD 2024-MF23 A TSFR1M+149.177 06/15/2041 144A                                                   | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29711000 | PA      | $29720284.69    | 0.03%             | 2041-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                      | BMP 2024-MF23 TSFR1M+174.142 06/15/2041 144A                                                            | CUSIP: 05593JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7175000 | PA      | $7179484.38     | 0.01%             | 2041-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                                | US LBM TERM B 1LN 06/06/2031                                                                            | CUSIP: 50179JAH1<br>LEI: 549300FAEB3VWZL4NI86 | Long             | LON              | CORP              | US        |      456524 | PA      | $375719.19      | 0.00%             | 2031-06-06      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                                 | RGA GLOBAL FUNDING 5.448% 05/24/2029 144A                                                               | CUSIP: 76209PAE3<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |     7900000 | PA      | $8200755.53     | 0.01%             | 2029-05-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                       | UNIVISION COMMUNICATIONS INC 8.5% 07/31/2031 144A                                                       | CUSIP: 914906AZ5<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      850000 | PA      | $869895.10      | 0.00%             | 2031-07-31      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.5% 05/31/2029                                                                               | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      190000 | PA      | $196293.75      | 0.00%             | 2029-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 05/31/2031                                                                             | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    68208500 | PA      | $71661555.31    | 0.08%             | 2031-05-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB13 LLC                                                                 | CFMT 2024-HB13 LLC VAR 05/25/2034 144A                                                                  | CUSIP: 12530VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6692037 | PA      | $6630755.59     | 0.01%             | 2034-05-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL2 LLC                                                                 | PRPM 2024-RPL2 A1 LLC VAR 05/25/2054 144A                                                               | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17969788 | PA      | $17603969.73    | 0.02%             | 2054-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 6.028% 07/30/2054 144A                                                            | CUSIP: 864300AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    40153725 | PA      | $40605723.44    | 0.04%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 6.268% 07/30/2054 144A                                                            | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21039675 | PA      | $21553381.81    | 0.02%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 6.505% 07/30/2054 144A                                                            | CUSIP: 864300AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17366175 | PA      | $17987196.36    | 0.02%             | 2054-07-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                                                       | ARI FLEET LEASE TRUST 2024-B 5.54% 04/15/2033 144A                                                      | CUSIP: 04033HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2951488 | PA      | $2970589.62     | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                                                       | ARI FLEET LEASE TRUST 2024-B 5.26% 04/15/2033 144A                                                      | CUSIP: 04033HAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7820000 | PA      | $7971607.90     | 0.01%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANSN and INFRASTRUCTURE INVS LLC                                        | FORTRESS TRANSN and INFRASTRUCTURE INVS LLC 7% 06/15/2032 144A                                          | CUSIP: 34960PAG6<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      680000 | PA      | $713798.04      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PINE STR TR III                                                                    | PINE STR TR III 6.223% 05/15/2054 144A                                                                  | CUSIP: 72284KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    12000000 | PA      | $12220067.04    | 0.01%             | 2054-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 11/01/2035#QN4142                                                                        | CUSIP: 3133GAS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1068319 | PA      | $979576.88      | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 05/01/2036#BR1069                                                                        | CUSIP: 3140KYFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      653783 | PA      | $597023.33      | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 06/01/2036#BR2059                                                                        | CUSIP: 3140L0JD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      673381 | PA      | $614919.85      | 0.00%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 03/01/2036#BR4700                                                                        | CUSIP: 3140L3GJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      616665 | PA      | $564091.40      | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#FM4368                                                                        | CUSIP: 3140X72A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      431658 | PA      | $395801.43      | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 04/01/2036#FM6100                                                                        | CUSIP: 3140X9X67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      640361 | PA      | $584766.18      | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 03/01/2036#FM6804                                                                        | CUSIP: 3140XAR20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      195955 | PA      | $178942.50      | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC                | COGENT COMMUNICATIONS GROUP INC / COGENT COMMUNICATIONS FINANCE INC 7% 06/15/2027 144A                  | CUSIP: 19240WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      125000 | PA      | $122859.63      | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1 US LTD / AASET 2024-1 INTL LTD                                        | AASET 2024-1 US LTD / AASET 2024-1 INTL LTD 6.261% 05/16/2049 144A                                      | CUSIP: 00255JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17356598 | PA      | $17884966.00    | 0.02%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HOWARD MIDSTREAM ENERGY PARTNERS LLC                                               | HOWARD MIDSTREAM ENERGY PARTNERS LLC 7.375% 07/15/2032 144A                                             | CUSIP: 442722AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      595000 | PA      | $627912.43      | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WRANGLER HOLDCO CORP                                                               | WRANGLER HOLDCO CORP 6.625% 04/01/2032 144A                                                             | CUSIP: 37441QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1805000 | PA      | $1880288.36     | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.25% 07/01/2029                                                                     | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     5392000 | PA      | $5590988.90     | 0.01%             | 2029-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.6% 09/01/2034                                                                      | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2230000 | PA      | $2329917.80     | 0.00%             | 2034-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                               | 1011778 BC ULC/NEW RED FIN INC 6.125% 06/15/2029 144A                                                   | CUSIP: 68245XAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     2190000 | PA      | $2252333.97     | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR7                                                                    | BANK5 2024-5YR7 AS VAR 06/15/2057                                                                       | CUSIP: 06211UBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $5298155.50     | 0.01%             | 2057-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                                        | MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A                                                       | CUSIP: 588926AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21102453 | PA      | $21220892.35    | 0.02%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VFH PARENT LLC / VALOR CO-ISSUER INC                                               | VFH PARENT LLC / VALOR CO-ISSUER INC 7.5% 06/15/2031 144A                                               | CUSIP: 91824YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      895000 | PA      | $931533.90      | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 06/01/2054#CB8711                                                                          | CUSIP: 3140QUVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    27339497 | PA      | $28158968.40    | 0.03%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 06/01/2054#CB8729                                                                        | CUSIP: 3140QUVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8463376 | PA      | $8832186.68     | 0.01%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITYCON OYJ                                                                        | CITYCON OYJ 7.875%/VAR PERP REGS                                                                        | CUSIP: N/A<br>LEI: 549300P8N0P6KDGTJ206       | Long             | EP               | CORP              | FI        |      590000 | PA      | $608665.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK 2024-BNK47                                                                    | BANK 2024-BNK47 5.716% 06/15/2057                                                                       | CUSIP: 06540GAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3400000 | PA      | $3663571.40     | 0.00%             | 2057-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP 12/15/56 S                                                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     5400000 | NC      | $-63437.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY562346 11/18/64 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     7439771 | NC      | $-3175.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                  | PIEDMONT OPERATING PARTNERSHIP LP 6.875% 07/15/2029                                                     | CUSIP: 720198AJ9<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    10020000 | PA      | $10652033.94    | 0.01%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                             | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.78% 09/15/2027                                                 | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      368187 | PA      | $368603.22      | 0.00%             | 2027-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                             | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.4% 11/15/2028                                                  | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4084000 | PA      | $4117097.96     | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIP TR 2024-2                                                              | HPEFS EQUIP TR 2024-2 5.36% 10/20/2031 144A                                                             | CUSIP: 40444MAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7316702 | PA      | $7356376.43     | 0.01%             | 2031-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD                                          | NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD AR2 TSFR3M+140 07/18/2038 144A                                | CUSIP: 64131JAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    14150000 | PA      | $14166286.65    | 0.02%             | 2038-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    23400000 | NC      | $-274896.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROLOGIS INTERNATIONAL FUNDING II SA                                               | PROLOGIS INTL FDG II SA 4.375% 07/01/2036 REGS                                                          | CUSIP: N/A<br>LEI: 213800JNRWW2C9DWI388       | Long             | DBT              | CORP              | LU        |      400000 | PA      | $493857.40      | 0.00%             | 2036-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                     | HOME DEPOT INC 4.95% 06/25/2034                                                                         | CUSIP: 437076DE9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    15500000 | PA      | $16020225.11    | 0.02%             | 2034-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 5.7% 09/15/2034                                                          | CUSIP: 72650RBP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    17170000 | PA      | $17932091.48    | 0.02%             | 2034-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST 2024-2                                                   | KUBOTA CREDIT OWNER TRUST 2024-2 5.26% 11/15/2028 144A                                                  | CUSIP: 50117DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2483000 | PA      | $2519600.41     | 0.00%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                               | ENEL FINANCE INTL NV 5.5% 06/26/2034 144A                                                               | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     9385000 | PA      | $9790965.82     | 0.01%             | 2034-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                               | ENEL FINANCE INTL NV 5.125% 06/26/2029 144A                                                             | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    12100000 | PA      | $12465804.42    | 0.01%             | 2029-06-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 5.5% 07/15/2034                                                                | CUSIP: 02666TAH0<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    10177000 | PA      | $10508019.14    | 0.01%             | 2034-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 3 LP                                                         | PK ALIFT LOAN FUNDING 3 LP 5.842% 09/15/2039 144A                                                       | CUSIP: 69291VAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3798491 | PA      | $3898385.35     | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1300000 | NC      | $-15272.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                        | IMPERIAL BRANDS FINANCE PLC 5.5% 02/01/2030 144A                                                        | CUSIP: 45262BAG8<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     8000000 | PA      | $8356587.84     | 0.01%             | 2030-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 7.2%/VAR 06/27/2054                                                                        | CUSIP: 29250NCF0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     5400000 | PA      | $5819509.80     | 0.01%             | 2054-06-27      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC                                              | DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC A1R2 TSFR3M+138 07/15/2037 144A                                   | CUSIP: 26246BAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    17132000 | PA      | $17149423.24    | 0.02%             | 2037-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/01/2051#FS4922                                                                          | CUSIP: 3140XLPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    62931897 | PA      | $57870321.92    | 0.06%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RCI BANQUE S A                                                                     | RCI BANQUE S A 5.5%/VAR 10/09/2034 REGS                                                                 | CUSIP: N/A<br>LEI: 96950001WI712W7PQG45       | Long             | DBT              | CORP              | FR        |      600000 | PA      | $749761.93      | 0.00%             | 2034-10-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PRMI SECURITIZATION TR 2024-CMG1                                                   | PRMI SECURITIZATION TR 2024-CMG1 SOFR30A+130 07/25/2054 144A                                            | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1290673 | PA      | $1286970.55     | 0.00%             | 2054-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL FDG                                                       | JACKSON NATL LIFE GLOBAL FDG 5.55% 07/02/2027 144A                                                      | CUSIP: 46849LVA6<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |     3874000 | PA      | $3944058.77     | 0.00%             | 2027-07-02      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LTD                                                                  | VALE OVERSEAS LTD 6.4% 06/28/2054                                                                       | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |    11975000 | PA      | $12487889.25    | 0.01%             | 2054-06-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2047#CA0257                                                                        | CUSIP: 3140Q7JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3304486 | PA      | $3181060.53     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2047#CA0526                                                                        | CUSIP: 3140Q7SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5014205 | PA      | $4826919.74     | 0.01%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2048#CA0990                                                                        | CUSIP: 3140Q8C45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5483525 | PA      | $5275283.31     | 0.01%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2047#ZM4241                                                                        | CUSIP: 3131XXWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71027 | PA      | $68374.56       | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2047#ZM4961                                                                        | CUSIP: 3131XYQN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1148052 | PA      | $1104453.97     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2047#ZM5206                                                                        | CUSIP: 3131XYYB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      264535 | PA      | $254488.91      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2047#ZM4388                                                                        | CUSIP: 3131XX2V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      156429 | PA      | $150586.68      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2048#ZM5477                                                                        | CUSIP: 3131Y0CN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       40630 | PA      | $39087.17       | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2047#ZM3810                                                                        | CUSIP: 3131XXGT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      323302 | PA      | $311226.54      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2047#ZA4942                                                                        | CUSIP: 31329NP36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4315114 | PA      | $4153940.21     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2047#ZM4038                                                                        | CUSIP: 3131XXPX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      507820 | PA      | $488852.08      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2047#ZA4926                                                                        | CUSIP: 31329NPK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2776721 | PA      | $2673008.38     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2047#ZM4140                                                                        | CUSIP: 3131XXS51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       85748 | PA      | $82545.19       | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ESSENT GROUP LTD                                                                   | ESSENT GROUP LTD 6.25% 07/01/2029                                                                       | CUSIP: 29669JAA7<br>LEI: 254900QUO860OUT6ZF83 | Long             | DBT              | CORP              | BM        |     8400000 | PA      | $8839448.86     | 0.01%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1 US LTD / AASET 2024-1 INTL LTD                                        | AASET 2024-1 US LTD / AASET 2024-1 INTL LTD 6.261% 05/16/2049 144A                                      | CUSIP: 00255JAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15814032 | PA      | $16295440.69    | 0.02%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2048#FS8326                                                                        | CUSIP: 3140XQHC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2252744 | PA      | $2187586.22     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANO HEALTH LLC                                                                    | CANO HEALTH LLC WT                                                                                      | CUSIP: N/A<br>LEI: 254900OGI2T8V1NXN639       | Long             | EC               | CORP              | US        |         681 | NS      | $946.59         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BMO 2024-C9 MTG TR                                                                 | BMO 2024-C9 A5 MTG TR 5.7592% 07/15/2057                                                                | CUSIP: 05593MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    23060000 | PA      | $24916521.40    | 0.03%             | 2057-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2054#CB8850                                                                          | CUSIP: 3140QUZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26213629 | PA      | $27406894.17    | 0.03%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2054#CB8867                                                                        | CUSIP: 3140QUZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3076864 | PA      | $3256617.53     | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2054#CB8821                                                                          | CUSIP: 3140QUYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26707270 | PA      | $27756085.89    | 0.03%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2054#CB8875                                                                        | CUSIP: 3140QU2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10841767 | PA      | $11302363.10    | 0.01%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2054#CB8689                                                                        | CUSIP: 3140QUUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13049901 | PA      | $13369242.29    | 0.01%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2054#CB8857                                                                          | CUSIP: 3140QUZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15794156 | PA      | $16262633.28    | 0.02%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 5.05% 07/12/2029                                                                           | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    16700000 | PA      | $17279248.35    | 0.02%             | 2029-07-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 5.15% 11/15/2031                                                                           | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    16700000 | PA      | $17486577.01    | 0.02%             | 2031-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2043#ZS3684                                                                        | CUSIP: 3132A4CV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6925557 | PA      | $6706336.89     | 0.01%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2042#ZS3589                                                                        | CUSIP: 3132A37A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9564516 | PA      | $9260373.26     | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF4 LLC                                                                 | PRPM 2024-RCF4 A1 LLC VAR 07/25/2054 144A                                                               | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3365385 | PA      | $3340255.16     | 0.00%             | 2054-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 17 LTD / AIMCO CLO 17 LLC                                                | AIMCO CLO 17 LTD / AIMCO CLO 17 LLC A1R TSFR3M+135 07/20/2037 144A                                      | CUSIP: 00889JAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    14150000 | PA      | $14169286.45    | 0.02%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RESIDEO FUNDING INC                                                                | RESIDEO FUNDING INC 6.5% 07/15/2032 144A                                                                | CUSIP: 76119LAD3<br>LEI: 5493000IFJ6XJKH66598 | Long             | DBT              | CORP              | US        |      205000 | PA      | $209288.81      | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                             | LOGICOR FINANCING SARL 4.25% 07/18/2029 REGS                                                            | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |     1200000 | PA      | $1473017.77     | 0.00%             | 2029-07-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2054#DB3401                                                                        | CUSIP: 3140ACX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6532252 | PA      | $6653928.13     | 0.01%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                             | IPALCO ENTERPRISES INC 5.75% 04/01/2034                                                                 | CUSIP: 462613AR1<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    22200000 | PA      | $22875205.01    | 0.02%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.995%/VAR 07/22/2030                                                             | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7210906.15     | 0.01%             | 2030-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                              | ENTERPRISE FLEET FINANCING 2024-3 LLC 4.98% 08/21/2028 144A                                             | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8040000 | PA      | $8145422.09     | 0.01%             | 2028-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-5C1                                                   | WELLS FARGO COML MTG TR 2024-5C1 5.928% 07/15/2057                                                      | CUSIP: 95003VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11703000 | PA      | $12330490.28    | 0.01%             | 2057-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                                                  | GEO GROUP INC/THE 10.25% 04/15/2031                                                                     | CUSIP: 36162JAH9<br>LEI: 5493003VOR6NTY465495 | Long             | DBT              | CORP              | US        |      330000 | PA      | $354316.71      | 0.00%             | 2031-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                                                  | GEO GROUP INC/THE 8.625% 04/15/2029                                                                     | CUSIP: 36162JAG1<br>LEI: 5493003VOR6NTY465495 | Long             | DBT              | CORP              | US        |      580000 | PA      | $603499.28      | 0.00%             | 2029-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 5.718%/VAR 07/23/2032                                                        | CUSIP: 174610BH7<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    15200000 | PA      | $16012286.78    | 0.02%             | 2032-07-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 07/31/2031                                                                             | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   650725000 | PA      | $668437409.14   | 0.72%             | 2031-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MFRA TRST                                                                          | MFRA TRUST VAR 02/25/2066 144A                                                                          | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      666479 | PA      | $645096.34      | 0.00%             | 2066-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                                      | GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4 STEP 09/25/2061 144A                                      | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2711473 | PA      | $2684704.72     | 0.00%             | 2061-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIPMENT FINANCE RECEIVABLES XIV LLC                                         | AMUR EQUIPMENT FINANCE RECEIVABLES XIV LLC 2024-2A A2 5.19% 07/21/2031 144A                             | CUSIP: 03238BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4090841 | PA      | $4147309.13     | 0.00%             | 2031-07-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                             | VENTURE GLOBAL LNG INC 7% 01/15/2030 144A                                                               | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     1015000 | PA      | $1029569.31     | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-1 LTD                                                         | EATON VANCE CLO 2020-1 LTD ARR TSFR3M+139 10/15/2037 144A                                               | CUSIP: 278300AS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11494000 | PA      | $11528263.61    | 0.01%             | 2037-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 09/01/2053#SD7565                                                                        | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    19483534 | PA      | $20131097.03    | 0.02%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 5.55% 10/01/2034                                                              | CUSIP: 674599EL5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7296373.00     | 0.01%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 5.375% 01/01/2032                                                             | CUSIP: 674599EK7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    28900000 | PA      | $30084511.58    | 0.03%             | 2032-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| USAA AUTO OWNER TR 2024-A                                                          | USAA AUTO OWNER TR 2024-A 5.03% 03/15/2029 144A                                                         | CUSIP: 90327VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14524441 | PA      | $14637538.44    | 0.02%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EQT TR 2024-EXTR                                                                   | EQT TR 2024-EXTR A VAR 07/05/2041 144A                                                                  | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7260000 | PA      | $7443336.78     | 0.01%             | 2041-07-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                                | CLYDESDALE ACQUISITION HOLDINGS INC 6.875% 01/15/2030 144A                                              | CUSIP: 18972EAC9<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |      275000 | PA      | $279215.75      | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 06/01/2052#SD1082                                                                          | CUSIP: 3132DNFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8186971 | PA      | $7449186.67     | 0.01%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2052#RA6926                                                                          | CUSIP: 3133KNVT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2558928 | PA      | $2328325.52     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2051#CB1872                                                                          | CUSIP: 3140QMCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6465855 | PA      | $5895296.09     | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#FS0840                                                                          | CUSIP: 3140XF5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9227341 | PA      | $8395801.32     | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#FS0898                                                                          | CUSIP: 3140XF7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26300968 | PA      | $23930806.21    | 0.03%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GROUP 1 AUTOMOTIVE INC                                                             | GROUP 1 AUTOMOTIVE INC 6.375% 01/15/2030 144A                                                           | CUSIP: 398905AQ2<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |     1215000 | PA      | $1245480.71     | 0.00%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLUEBERRY PARK CLO LTD                                                             | BLUEBERRY PARK CLO LTD A TSFR3M+135 10/20/2037 144A                                                     | CUSIP: 09609QAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    12672000 | PA      | $12702704.26    | 0.01%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                                    | PERMIAN RESOURCES OPERATING LLC 6.25% 02/01/2033 144A                                                   | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      890000 | PA      | $921578.61      | 0.00%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                        | ROYAL CARIBBEAN CRUISES LTD 6% 02/01/2033 144A                                                          | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      690000 | PA      | $713760.77      | 0.00%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMENTUM HOLDINGS INC                                                               | AMENTUM HOLDINGS INC 7.25% 08/01/2032 144A                                                              | CUSIP: 02352BAA3<br>LEI: 2549009FJIBLW40CU216 | Long             | DBT              | CORP              | US        |      805000 | PA      | $843506.37      | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                       | GLP CAP LP / GLP FING II INC 5.625% 09/15/2034                                                          | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    14650000 | PA      | $14916117.25    | 0.02%             | 2034-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTIONS INC                                                    | STANDARD BUILDING SOLUTIONS INC 6.5% 08/15/2032 144A                                                    | CUSIP: 853191AA2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |      600000 | PA      | $617601.60      | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| M2S GROUP INTERMEDIATE HOLDINGS INC                                                | M2S GROUP TERM B 1LN 8/25/2031                                                                          | CUSIP: 55287CAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      859880 | PA      | $847695.03      | 0.00%             | 2031-08-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 08/15/2034                                                                             | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   908940000 | PA      | $910261871.44   | 0.98%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.25% 08/15/2054                                                            | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   152050000 | PA      | $142463721.90   | 0.15%             | 2054-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C5 MTG TR                                                                | BMO 24-5C5 A3 MTG TR 5.8574% 02/15/2057                                                                 | CUSIP: 05593RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5100000 | PA      | $5358386.91     | 0.01%             | 2057-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 11 LTD                                                                   | AIMCO CLO 11 LTD A1R2 TSFR3M+134 07/17/2037 144A                                                        | CUSIP: 00140NAW0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |    25100000 | PA      | $25179115.20    | 0.03%             | 2037-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.53 08/01/2029                                                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    67400000 | NC      | $1748870.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.53 08/01/2029                                                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    67400000 | NC      | $2104296.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#CB2629                                                                        | CUSIP: 3140QM4P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4264052 | PA      | $3736473.93     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIGHTNING POWER LLC                                                                | LIGHTNING POWER LLC 7.25% 08/15/2032 144A                                                               | CUSIP: 53229KAA7<br>LEI: 254900BWCHJ03XRL8K59 | Long             | DBT              | CORP              | US        |      975000 | PA      | $1035120.45     | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WORLD FINL NETWORK CC MASTR TR                                                     | WORLD FINL NETWORK CC MASTR TR 4.62% 05/15/2031                                                         | CUSIP: 981464HU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5978000 | PA      | $6041382.34     | 0.01%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 5.5% 02/15/2035                                                                          | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    10286000 | PA      | $10643649.88    | 0.01%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER CO                                                     | VIRGINIA ELECTRIC AND POWER CO 5.55% 08/15/2054                                                         | CUSIP: 927804GS7<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     2334000 | PA      | $2270213.93     | 0.00%             | 2054-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PPL CAP FDG INC                                                                    | PPL CAP FDG INC 5.25% 09/01/2034                                                                        | CUSIP: 69352PAT0<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |     7291000 | PA      | $7533355.83     | 0.01%             | 2034-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2052#FS7948                                                                        | CUSIP: 3140XPZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1770322 | PA      | $1565669.54     | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 05/01/2051#SI2106                                                                        | CUSIP: 3133USKT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    22105066 | PA      | $19287181.10    | 0.02%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 4.8% 11/15/2029                                                                        | CUSIP: 969457CL2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     8200000 | PA      | $8404694.14     | 0.01%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                         | DAVITA INC 6.875% 09/01/2032 144A                                                                       | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      275000 | PA      | $285748.65      | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 08/01/2054#CB9061                                                                          | CUSIP: 3140QVB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    36360212 | PA      | $37438706.90    | 0.04%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-C28                                                      | BBCMS MORTGAGE TRUST 2024-C28 A5 5.403% 09/15/2057                                                      | CUSIP: 07336WBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8450000 | PA      | $8941877.88     | 0.01%             | 2057-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLOBAL AIRCRAFT LEASING CO LTD                                                     | GLOBAL AIRCRAFT LEASING CO LTD 8.75% 09/01/2027 144A                                                    | CUSIP: 37960JAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     1210000 | PA      | $1247148.21     | 0.00%             | 2027-09-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 4.87% 06/21/2039 144A                                                  | CUSIP: 96328GBT3<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    29691205 | PA      | $29998509.24    | 0.03%             | 2039-06-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS L P / ARCHROCK PARTNERS FIN CORP                                 | ARCHROCK PARTNERS LP / FIN CORP 6.625% 09/01/2032 144A                                                  | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1010000 | PA      | $1051048.42     | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 4.964%/VAR 08/15/2030                                                                 | CUSIP: 639057AS7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     8200000 | PA      | $8406697.15     | 0.01%             | 2030-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC                              | SHIFT4 PAYMENTS LLC / SHIFT4 PAYMENTS FINANCE SUB INC 6.75% 08/15/2032 144A                             | CUSIP: 82453AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      430000 | PA      | $420885.03      | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FIN CORP                                                             | CDW LLC / CDW FIN CORP 5.1% 03/01/2030                                                                  | CUSIP: 12513GBK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    18200000 | PA      | $18483531.07    | 0.02%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FIN CORP                                                             | CDW LLC / CDW FIN CORP 5.55% 08/22/2034                                                                 | CUSIP: 12513GBL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10150000 | PA      | $10215907.50    | 0.01%             | 2034-08-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 5.65% 09/01/2034                                                                              | CUSIP: 682680CU5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    10746000 | PA      | $11229721.41    | 0.01%             | 2034-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REGENCY CTRS LP                                                                    | REGENCY CTRS LP 5.1% 01/15/2035                                                                         | CUSIP: 75884RBC6<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    10000000 | PA      | $10224677.90    | 0.01%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                                            | UDR INC 5.125% 09/01/2034                                                                               | CUSIP: 90265EAW0<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5107101.40     | 0.01%             | 2034-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V9 MORTGAGE TRUST                                                   | BENCHMARK 2024-V9 MORTGAGE TRUST 5.6019% 08/15/2057                                                     | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15300000 | PA      | $15989474.61    | 0.02%             | 2057-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIX LTD / MAGNETITE XXIX LLC                                            | MAGNETITE XXIX LTD / MAGNETITE XXIX LLC AR TSFR3M+135 07/15/2037 144A                                   | CUSIP: 55955KAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13105000 | PA      | $13123674.63    | 0.01%             | 2037-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.125% 08/15/2044                                                           | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1300000 | PA      | $1231140.63     | 0.00%             | 2044-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 08/20/2054#MA9851                                                                          | CUSIP: 36179Y5L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    12231141 | PA      | $12445587.24    | 0.01%             | 2054-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                                       | AMPRION GMBH 3.125% 08/27/2030 REGS                                                                     | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |      800000 | PA      | $953146.18      | 0.00%             | 2030-08-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 6.05% 09/15/2033                                                               | CUSIP: 21871XAR0<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     5916000 | PA      | $6312030.94     | 0.01%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-C                                     | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-C 4.62% 04/17/2028 144A                                    | CUSIP: 448984AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21200000 | PA      | $21306805.60    | 0.02%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB15 LLC                                                                 | CFMT 2024-HB15 LLC VAR 08/25/2034 144A                                                                  | CUSIP: 15723AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3389894 | PA      | $3381612.88     | 0.00%             | 2034-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR9                                                                    | BANK5 2024-5YR9 AS 08/15/2057                                                                           | CUSIP: 06644VBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $5268814.00     | 0.01%             | 2057-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 08/31/2031                                                                              | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    51900000 | PA      | $52325741.93    | 0.06%             | 2031-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2020-IV                                                            | BARINGS CLO LTD 2020-IV AR TSFR3M+137 10/20/2037 144A                                                   | CUSIP: 06762BAS9<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |    11089000 | PA      | $11117055.17    | 0.01%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      700000 | NC      | $-8223.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                                                         | ALLIANZ SE 5.6%/VAR 09/03/2054 144A                                                                     | CUSIP: 018820AD2<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |     7200000 | PA      | $7362064.80     | 0.01%             | 2054-09-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2022-1 LTD / VOYA CLO 2022-1 LLC                                          | VOYA CLO 2022-1 LTD / VOYA CLO 2022-1 LLC A1R TSFR3M+125 04/20/2035 144A                                | CUSIP: 92918UAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8170000 | PA      | $8184779.53     | 0.01%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC                                           | SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC 3.375% 09/04/2032 REGS                                         | CUSIP: N/A<br>LEI: 549300ECJZDA7203MK64       | Long             | DBT              | CORP              | GB        |     1050000 | PA      | $1255447.94     | 0.00%             | 2032-09-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LT                                                                    | FLATIRON CLO LT A1R TSFR3M+136 10/19/2037 144A                                                          | CUSIP: 33883PAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15193000 | PA      | $15241936.65    | 0.02%             | 2037-10-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 03/20/2031#MA3496                                                                          | CUSIP: 36179R3D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      341247 | PA      | $336261.94      | 0.00%             | 2031-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 04/20/2031#MA3572                                                                          | CUSIP: 36179R6H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1289460 | PA      | $1270369.05     | 0.00%             | 2031-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 02/20/2031#MA3428                                                                          | CUSIP: 36179RYZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      170452 | PA      | $167995.76      | 0.00%             | 2031-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 05/20/2031#MA3639                                                                          | CUSIP: 36179SBG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2747742 | PA      | $2706519.72     | 0.00%             | 2031-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 07/20/2031#MA3778                                                                          | CUSIP: 36179SFT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36301 | PA      | $35742.55       | 0.00%             | 2031-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 08/20/2031#MA3850                                                                          | CUSIP: 36179SH34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      423056 | PA      | $416465.09      | 0.00%             | 2031-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 09/20/2031#MA3913                                                                          | CUSIP: 36179SK22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      170522 | PA      | $167833.26      | 0.00%             | 2031-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 10/20/2031#MA3979                                                                          | CUSIP: 36179SM46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1331914 | PA      | $1310657.83     | 0.00%             | 2031-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 11/20/2031#MA4044                                                                          | CUSIP: 36179SP50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1440599 | PA      | $1417067.79     | 0.00%             | 2031-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 12/20/2031#MA4102                                                                          | CUSIP: 36179SRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2185960 | PA      | $2150667.53     | 0.00%             | 2031-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 01/20/2032#MA4170                                                                          | CUSIP: 36179ST31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4089885 | PA      | $4022327.81     | 0.00%             | 2032-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#FS3884                                                                          | CUSIP: 3140XKJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7916770 | PA      | $7203335.51     | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM INC 6% 01/15/2033 144A                                                                        | CUSIP: 893647BW6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     1850000 | PA      | $1882724.65     | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                                        | PACIFIC GAS and ELECTRIC CO 5.9% 10/01/2054                                                             | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     8600000 | PA      | $8369093.18     | 0.01%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DRYDEN 104 CLO LTD / DRYDEN 104 CLO LLC                                            | DRYDEN 104 CLO LTD / DRYDEN 104 CLO LLC A1R TSFR3M+129 08/20/2034 144A                                  | CUSIP: 26253BAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6800000 | PA      | $6812770.40     | 0.01%             | 2034-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES HOLDING CO LLC                                                  | COLUMBIA PIPELINES HOLDING CO LLC 5.097% 10/01/2031 144A                                                | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8090000 | PA      | $8322557.81     | 0.01%             | 2031-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 4.95% 09/10/2034                              | CUSIP: 00774MBM6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     8350000 | PA      | $8371482.71     | 0.01%             | 2034-09-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 5.695% 10/01/2054 144A                                              | CUSIP: 19828TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5090000 | PA      | $4993125.95     | 0.01%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885799 12/15/56 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     6000000 | NC      | $-70486.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SCANDINAVIAN TOBACCO GROUP                                                         | SCANDINAVIAN TOBACCO GROUP 4.875% 09/12/2029 REGS                                                       | CUSIP: N/A<br>LEI: 5299003KG4JS99TRML67       | Long             | DBT              | CORP              | DK        |      425000 | PA      | $525262.40      | 0.00%             | 2029-09-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 4.85% 03/15/2035                                                                       | CUSIP: 842587EA1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     4650000 | PA      | $4641553.60     | 0.00%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP INC                                                         | PERFORMANCE FOOD GROUP INC 6.125% 09/15/2032 144A                                                       | CUSIP: 71376LAF7<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |     1215000 | PA      | $1247193.86     | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 08/01/2054#CB8984                                                                        | CUSIP: 3140QU6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5175785 | PA      | $5367138.42     | 0.01%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                                                      | ANGLIAN WATER SVCS FINANC PLC 6.25% 09/12/2044 REGS                                                     | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |      450000 | PA      | $592919.65      | 0.00%             | 2044-09-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2048#FS6649                                                                        | CUSIP: 3140XNL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3308511 | PA      | $3177698.12     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2048#FS8330                                                                          | CUSIP: 3140XQHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2717771 | PA      | $2525510.67     | 0.00%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RYAN SPECIALTY LLC                                                                 | RYAN SPECIALTY LLC 5.875% 08/01/2032 144A                                                               | CUSIP: 78351GAA3<br>LEI: 549300K52N7QBO3PYY45 | Long             | DBT              | CORP              | US        |      795000 | PA      | $801006.01      | 0.00%             | 2032-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 5.246% 07/30/2054 144A                                                            | CUSIP: 864300AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    18249000 | PA      | $18206069.23    | 0.02%             | 2054-07-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 5.914% 07/30/2054 144A                                                            | CUSIP: 864300AL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    18249000 | PA      | $18248633.20    | 0.02%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 5.566% 07/30/2054 144A                                                            | CUSIP: 864300AJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9124500 | PA      | $9113319.75     | 0.01%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 04/01/2038#FM7607                                                                          | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      132986 | PA      | $130116.21      | 0.00%             | 2038-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3% 08/01/2038#FM8189                                                                          | CUSIP: 3140XCC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45564 | PA      | $44216.46       | 0.00%             | 2038-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2036#CA9140                                                                          | CUSIP: 3140QHEN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2094314 | PA      | $1957827.16     | 0.00%             | 2036-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 06/01/2054#SD7571                                                                        | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    29070942 | PA      | $30769295.29    | 0.03%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FIESTA PURCHASER INC                                                               | FIESTA PURCHASER INC 9.625% 09/15/2032 144A                                                             | CUSIP: 31659AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      760000 | PA      | $772682.12      | 0.00%             | 2032-09-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-C                                                       | SBNA AUTO LEASE TRUST 2024-C 4.56% 02/22/2028 144A                                                      | CUSIP: 78398DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10373216 | PA      | $10392960.26    | 0.01%             | 2028-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1                                        | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 4.29% 10/16/2028 144A                                       | CUSIP: 92887QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1236000 | PA      | $1242300.26     | 0.00%             | 2028-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONITY LOAN INVESTMENT TRUST 2024-HB2                                               | ONITY LOAN INVESTMENT TRUST 2024-HB2 A 5% 08/25/2037 144A                                               | CUSIP: 68278DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3350214 | PA      | $3350212.06     | 0.00%             | 2037-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2024-B                                              | AFFIRM ASSET SECURITIZATION TR 2024-B A 4.62% 09/15/2029 144A                                           | CUSIP: 00835AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    23600000 | PA      | $23662070.36    | 0.03%             | 2029-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Phillips Edison Grocery Center Operating Partnership I LP                          | Phillips Edison Grocery Center Operating Partnership I LP 4.95% 01/15/2035                              | CUSIP: 71845JAC2<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $9002540.52     | 0.01%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                      | PG and E CORP 7.375%/VAR 03/15/2055                                                                     | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     1655000 | PA      | $1712890.25     | 0.00%             | 2055-03-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MSWF COMMERCIAL MORTGAGE TRUST 23-2                                                | MSWF COMMERCIAL MORTGAGE TRUST 23-2 VAR 12/15/2056 144A                                                 | CUSIP: 55361AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12148000 | PA      | $2201714.45     | 0.00%             | 2056-12-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 07/01/2054#FS8456                                                                        | CUSIP: 3140XQME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14684818 | PA      | $15140536.62    | 0.02%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                       | CAIXABANK SA 3.625%/VAR 09/19/2032 REGS                                                                 | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | CORP              | ES        |      900000 | PA      | $1083287.52     | 0.00%             | 2032-09-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                                                      | P3 GROUP SARL 4% 04/19/2032 REGS                                                                        | CUSIP: N/A<br>LEI: 529900GR62MT0O5VW110       | Long             | DBT              | CORP              | LU        |      800000 | PA      | $968858.66      | 0.00%             | 2032-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.25% 09/24/2027                                                                              | CUSIP: 682680CB7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     7582000 | PA      | $7618267.36     | 0.01%             | 2027-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.4% 10/15/2029                                                                               | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     8121000 | PA      | $8189570.64     | 0.01%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.75% 10/15/2031                                                                              | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    15795000 | PA      | $16021691.74    | 0.02%             | 2031-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP                               | WYNN RESORTS FIN LLC / CAP CORP 6.25% 03/15/2033 144A                                                   | CUSIP: 983133AD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      455000 | PA      | $464663.29      | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 09/01/2054#CB9216                                                                          | CUSIP: 3140QVG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    39347584 | PA      | $40514688.37    | 0.04%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 09/01/2054#CB9209                                                                        | CUSIP: 3140QVGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11270716 | PA      | $11539475.58    | 0.01%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.35% 08/15/2042                                                         | CUSIP: 3137AVJY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     9187319 | PA      | $8336440.78     | 0.01%             | 2042-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 03/25/2043                                                            | CUSIP: 3136AGVM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5967183 | PA      | $5789058.73     | 0.01%             | 2043-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.7% 03/25/2043                                                          | CUSIP: 3136AHBU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     6954802 | PA      | $6420516.36     | 0.01%             | 2043-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CO LLC                                                     | NISSAN MOTOR ACCEPTANCE CO LLC 5.55% 09/13/2029 144A                                                    | CUSIP: 65480CAH8<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      115000 | PA      | $114748.34      | 0.00%             | 2029-09-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                      | INTERCONTINENTAL EXCHANGE INC 3.625% 09/01/2028                                                         | CUSIP: 45866FBB9<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     6900000 | PA      | $6853658.22     | 0.01%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER                             | ALLIANT HLDGS INTERMEDIATE LLC/ALLIANT HLDGS CO-ISSUER 6.5% 10/01/2031 144A                             | CUSIP: 01883LAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      245000 | PA      | $246344.72      | 0.00%             | 2031-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL INC                                                     | SERVICE CORP INTERNATIONAL INC 5.75% 10/15/2032                                                         | CUSIP: 817565CH5<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |      820000 | PA      | $835997.38      | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                                                   | GGAM FINANCE LTD 5.875% 03/15/2030 144A                                                                 | CUSIP: 36170JAE6<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |      845000 | PA      | $858367.90      | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 01/01/2053#CB5494                                                                        | CUSIP: 3140QRC84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13598945 | PA      | $14389158.92    | 0.02%             | 2053-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#FS5131                                                                          | CUSIP: 3140XLVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      820269 | PA      | $685912.73      | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/01/2051#FM7694                                                                          | CUSIP: 3140XBRQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3584640 | PA      | $3289608.40     | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2049#SD7503                                                                        | CUSIP: 3132DVKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    16828760 | PA      | $16063456.64    | 0.02%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TR 2024-B                                                 | MERCEDES-BENZ AUTO LEASE TR 2024-B 4.89% 02/15/2028                                                     | CUSIP: 58769GAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    31446448 | PA      | $31507551.50    | 0.03%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2052#FS8908                                                                        | CUSIP: 3140XQ3S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7362528 | PA      | $6552819.93     | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2048#ZT2430                                                                        | CUSIP: 3132AEVX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1596456 | PA      | $1524355.05     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS7871                                                                          | CUSIP: 3140XPW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6017724 | PA      | $5065897.18     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                                        | ROYAL CARIBBEAN CRUISES LTD 5.625% 09/30/2031 144A                                                      | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      905000 | PA      | $933188.34      | 0.00%             | 2031-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRONOX FIN LLC                                                                     | TRONOX TERM B 1LN 09/30/2031                                                                            | CUSIP: 89705DAP7<br>LEI: 549300LMZ1DX1PWSP524 | Long             | LON              | CORP              | US        |      733426 | PA      | $570238.47      | 0.00%             | 2031-09-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC                                                               | ALPHA GENERATION LLC 6.75% 10/15/2032 144A                                                              | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |      800000 | PA      | $831214.40      | 0.00%             | 2032-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-2 LTD                                                         | EATON VANCE CLO 2020-2 LTD AR2 TSFR3M+138 10/15/2037 144A                                               | CUSIP: 27829PAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11970000 | PA      | $11987512.11    | 0.01%             | 2037-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GREAT PORTLAND ESTATES PLC                                                         | GREAT PORTLAND ESTATES PLC 5.375% 09/25/2031 REGS                                                       | CUSIP: N/A<br>LEI: 213800JMEDD2Q4N1MC42       | Long             | DBT              | CORP              | GB        |      500000 | PA      | $686489.56      | 0.00%             | 2031-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SARL                                                            | TITANIUM 2L BONDCO SARL PIK 6.25% 01/14/2031                                                            | CUSIP: N/A<br>LEI: 636700S4QMU2DWYOSF67       | Long             | DBT              | CORP              | LU        |     6558500 | PA      | $1445403.09     | 0.00%             | 2031-01-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.625% 09/30/2031                                                                             | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   385800000 | PA      | $386448024.40   | 0.41%             | 2031-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES COMPANY                                                          | MATADOR RES CO 6.25% 04/15/2033 144A                                                                    | CUSIP: 576485AH9<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |      710000 | PA      | $722596.11      | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                        | WAYFAIR LLC 7.25% 10/31/2029 144A                                                                       | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |      395000 | PA      | $408209.59      | 0.00%             | 2029-10-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                          | INVITATION HOMES OPERATING PARTNERSHIP LP 4.875% 02/01/2035                                             | CUSIP: 46188BAG7<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     8722000 | PA      | $8657814.45     | 0.01%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-NSTB                                                  | MORGAN STANLEY CAP I TR 2024-NSTB A VAR 07/20/2032 144A                                                 | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    37979572 | PA      | $37497212.55    | 0.04%             | 2057-09-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL FDG                                                       | JACKSON NATL LIFE GLOBAL FDG 4.6% 10/01/2029 144A                                                       | CUSIP: 46849LVB4<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    11326000 | PA      | $11364386.87    | 0.01%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SABLE INTL FINANCE LTD                                                             | SABLE INTL FIN LTD 7.125% 10/15/2032 144A                                                               | CUSIP: 785712AK6<br>LEI: 2138009IE9A35LO5JS73 | Long             | DBT              | CORP              | KY        |     1040000 | PA      | $1052486.55     | 0.00%             | 2032-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2051#FM7484                                                                        | CUSIP: 3140XBJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    54372816 | PA      | $48138189.72    | 0.05%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2047#FP0111                                                                          | CUSIP: 3140XTDR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    21290400 | PA      | $19976243.53    | 0.02%             | 2047-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#FS8764                                                                          | CUSIP: 3140XQW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16326691 | PA      | $13744289.92    | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY562349 11/18/64 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1700000 | NC      | $256932.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 09/01/2054#SD7574                                                                          | CUSIP: 3132DVMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    20209890 | PA      | $21091966.86    | 0.02%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 09/01/2054#SD6419                                                                          | CUSIP: 3132DUDY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    34510260 | PA      | $36135116.91    | 0.04%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                                       | US FOODS INC 5.75% 04/15/2033 144A                                                                      | CUSIP: 90290MAJ0<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |     1785000 | PA      | $1820748.20     | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS                                                                       | NEW FORTRESS 12% 11/15/2029 144A                                                                        | CUSIP: 62909BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      294395 | PA      | $106423.79      | 0.00%             | 2029-11-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2052#FS8710                                                                          | CUSIP: 3140XQVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9590233 | PA      | $8818895.98     | 0.01%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC                                                              | BELRON UK FINANCE PLC 5.75% 10/15/2029 144A                                                             | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |      690000 | PA      | $705134.46      | 0.00%             | 2029-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2024-BNK48                                                                    | BANK 2024-BNK48 A5 5.053% 10/15/2057                                                                    | CUSIP: 06541GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20574000 | PA      | $21311240.49    | 0.02%             | 2057-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANSN and INFRASTRUCTURE INVS LLC                                        | FORTRESS TRANSN and INFRASTRUCTURE INVS LLC 5.875% 04/15/2033 144A                                      | CUSIP: 34960PAH4<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      690000 | PA      | $699740.04      | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES LV CLO LTD                                                                    | ARES LV CLO LTD A1R2 TSFR3M+137 10/15/2037 144A                                                         | CUSIP: 04018BAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7566000 | PA      | $7576562.14     | 0.01%             | 2037-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FERGUSON ENTERPRISES INC                                                           | FERGUSON ENTERPRISES INC 5% 10/03/2034                                                                  | CUSIP: 31488VAA5<br>LEI: 2138003JYQMRP3SLX189 | Long             | DBT              | CORP              | US        |     7219000 | PA      | $7333821.08     | 0.01%             | 2034-10-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 10/01/2054#CB9336                                                                          | CUSIP: 3140QVLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20227555 | PA      | $21173614.08    | 0.02%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.5% 02/25/2050                                                          | CUSIP: 3137FRDX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     2366126 | PA      | $1968489.82     | 0.00%             | 2050-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 09/01/2054#CB9149                                                                          | CUSIP: 3140QVEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16112226 | PA      | $16870842.27    | 0.02%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 10/01/2054#RJ2642                                                                          | CUSIP: 3142GS5C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17017915 | PA      | $17813857.00    | 0.02%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 4.721% 10/08/2029 144A                                                            | CUSIP: 04685A4C2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7003718.26     | 0.01%             | 2029-10-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                                              | ENTERPRISE FLEET FINANCING 2024-4 LLC 4.56% 11/20/2028 144A                                             | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17233000 | PA      | $17423824.46    | 0.02%             | 2028-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN LLC/JFIN                                                             | JEFFERIES FIN LLC/JFIN 6.625% 10/15/2031 144A                                                           | CUSIP: 47232MAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      205000 | PA      | $199616.72      | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                                                   | WELLS FARGO COML MTG 2024-GRP A TSFR1M+179.132 10/15/2041 144A                                          | CUSIP: 95003YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7200000 | PA      | $7190626.32     | 0.01%             | 2041-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                                                   | WELLS FARGO COML MTG TR 2024-GRP TSFR1M+229.06 10/15/2041 144A                                          | CUSIP: 95003YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3750000 | PA      | $3751304.25     | 0.00%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KBC GROUPE SA/NV                                                                   | KBC GROUPE SA/NV 4.932%/VAR 10/16/2030 144A                                                             | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    22400000 | PA      | $22973393.18    | 0.02%             | 2030-10-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                                                 | PRPM 2024-RCF6 A1 LLC VAR 10/25/2054 144A                                                               | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6888821 | PA      | $6825936.70     | 0.01%             | 2064-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                                                             | PATRICK INDUSTRIES INC 6.375% 11/01/2032 144A                                                           | CUSIP: 703343AH6<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |      825000 | PA      | $847375.65      | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                             | STANDARD CHARTERED PLC 5.005%/VAR 10/15/2030 144A                                                       | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     6204000 | PA      | $6350602.13     | 0.01%             | 2030-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                             | GREENSKY HOME IMPROVEMENT TRUST 2024-2 5.25% 10/27/2059 144A                                            | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      605976 | PA      | $607178.86      | 0.00%             | 2059-10-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2024-6 LTD                                                          | CARLYLE US CLO 2024-6 LTD E TSFR3M+575 10/25/2037 144A                                                  | CUSIP: 14319QAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      150000 | PA      | $143771.55      | 0.00%             | 2037-10-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 01/01/2033#677279                                                                        | CUSIP: 31391UM44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         386 | PA      | $401.20         | 0.00%             | 2033-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 11/01/2032#660693                                                                        | CUSIP: 31390Y7E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         369 | PA      | $383.40         | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 02/01/2033#684171                                                                        | CUSIP: 31400DCG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         218 | PA      | $225.41         | 0.00%             | 2033-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OHA CR FDG 6 LTD / OHA CR FDG 6 LLC                                                | OHA CR FDG 6 LTD / OHA CR FDG 6 LLC AR2 TSFR3M+133 10/20/2037 144A                                      | CUSIP: 67098UAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    16110000 | PA      | $16179111.90    | 0.02%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2053#CB7297                                                                        | CUSIP: 3140QTDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19771481 | PA      | $20491635.33    | 0.02%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2048#SD4470                                                                        | CUSIP: 3132E06F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8713981 | PA      | $8320428.17     | 0.01%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#FS0191                                                                        | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      603253 | PA      | $532007.42      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2054#CB8939                                                                        | CUSIP: 3140QU4Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6446250 | PA      | $6567734.46     | 0.01%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust                                                        | FIDELITY SAI ENHANCED CORE BOND FUND                                                                    | CUSIP: 31635T153<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |   219349331 | NS      | $2243943654.85  | 2.41%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.603%/VAR 10/22/2030                                                             | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    17730000 | PA      | $18057746.85    | 0.02%             | 2030-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.946%/VAR 10/22/2035                                                             | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    13540000 | PA      | $13750266.59    | 0.01%             | 2035-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                            | JANE STREET GRP/JSG FIN 6.125% 11/01/2032 144A                                                          | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1508956.50     | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                     | PNC FINANCIAL SERVICES GRP INC 4.812%/VAR 10/21/2032                                                    | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    13500000 | PA      | $13803120.63    | 0.01%             | 2032-10-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2024-3                                                       | OPORTUN FUNDING TRUST 2024-3 5.26% 08/15/2029 144A                                                      | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       41322 | PA      | $41333.33       | 0.00%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.654%/VAR 10/18/2030                                                                    | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    29950000 | PA      | $30438876.25    | 0.03%             | 2030-10-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG ENERGY INC 6.25% 11/01/2034 144A                                                                    | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     1305000 | PA      | $1349590.02     | 0.00%             | 2034-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A                                      | HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A A TSFR3M+134 10/20/2037 144A                              | CUSIP: 407907AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    11370000 | PA      | $11408874.03    | 0.01%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 5% 10/20/2054#MA9964                                                                            | CUSIP: 36180AB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1080910 | PA      | $1086756.57     | 0.00%             | 2054-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LIFE TIME INC                                                                      | LIFE TIME INC 6% 11/15/2031 144A                                                                        | CUSIP: 53190FAE5<br>LEI: 549300PALKE96VYH4X17 | Long             | DBT              | CORP              | US        |      915000 | PA      | $942458.24      | 0.00%             | 2031-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 11/01/2054#RJ2748                                                                          | CUSIP: 3142GTBS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12920255 | PA      | $13500320.09    | 0.01%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA BUYER/ATLANTI                                                           | CALIFORNIA BUYER/ATLANTI 6.375% 02/15/2032 144A                                                         | CUSIP: 13005HAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     1660000 | PA      | $1655114.62     | 0.00%             | 2032-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2052#FS5486                                                                        | CUSIP: 3140XMCY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1381839 | PA      | $1316839.15     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 07/01/2053#RA9373                                                                        | CUSIP: 3133KRMW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5264589 | PA      | $5434958.23     | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| APH SOMERSET INVESTOR 2 LLC / APH2 SOMERSET INVESTOR 2 LLC / APH3 SOMERSET INVES   | APH SOMERSET INVESTOR 2 LLC / APH2 SOMERSET INVESTOR 2 LLC / APH3 SOMERSET INVES 7.875% 11/01/2029 144A | CUSIP: 00188QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1205000 | PA      | $1167428.10     | 0.00%             | 2029-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-3                                   | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-3A A3 4.55% 06/20/2030 144A                              | CUSIP: 78436XAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    39000000 | PA      | $39262232.10    | 0.04%             | 2030-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 10/31/2031                                                                             | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1100000 | PA      | $1129304.68     | 0.00%             | 2031-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                                                     | CARMAX AUTO OWNER TRUST 2024-4 4.6% 10/15/2029                                                          | CUSIP: 14290DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5440000 | PA      | $5498275.46     | 0.01%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                                                     | CARMAX AUTO OWNER TRUST 2024-4 4.67% 12/15/2027                                                         | CUSIP: 14290DAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2574875 | PA      | $2578261.49     | 0.00%             | 2027-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                                            | ACHV ABS TRUST 2024-3AL 5.01% 12/26/2031 144A                                                           | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1643678 | PA      | $1659998.58     | 0.00%             | 2031-12-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2054#CB9365                                                                        | CUSIP: 3140QVMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19910446 | PA      | $20385226.21    | 0.02%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 4.8% 09/19/2039 144A                                                   | CUSIP: 96328GBZ9<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    18425565 | PA      | $18632024.88    | 0.02%             | 2039-09-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BPR COML MTG TR 2024-PK                                                            | BPR COML MTG TR 2024-PARK A VAR 11/05/2039 144A                                                         | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13519000 | PA      | $13907813.20    | 0.01%             | 2039-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BPR COML MTG TR 2024-PK                                                            | BPR COML MTG TR 2024-PARK C VAR 11/05/2039 144A                                                         | CUSIP: 05593UAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1858000 | PA      | $1932014.73     | 0.00%             | 2039-11-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                                                                  | CEDAR FUNDING LTD AR2 TSFR3M+136 10/20/2037 144A                                                        | CUSIP: 15033XAU0<br>LEI: 549300ZKTUZSV15HAV29 | Long             | ABS-CBDO         | CORP              | KY        |     9231000 | PA      | $9265320.86     | 0.01%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2024-2 LTD                                              | PALMER SQUARE LOAN FUNDING 2024-2 LTD A1N TSFR3M+100 01/15/2033 144A                                    | CUSIP: 69703RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9622247 | PA      | $9622246.56     | 0.01%             | 2033-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LN FDG 2024-2 LTD                                                    | PALMER SQUARE LN FDG 2024-2 LTD D TSFR3M+470 01/15/2033 144A                                            | CUSIP: 69703HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $247500.00      | 0.00%             | 2033-01-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.5% 11/15/2054                                                             | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    75198700 | PA      | $73465604.58    | 0.08%             | 2054-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 11/15/2034                                                                              | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   477146000 | PA      | $490211598.26   | 0.53%             | 2034-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP REC 3.795 10/30/29                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    10100000 | NC      | $321550.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP PAY 3.795 10/30/29                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    10100000 | NC      | $281642.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RR 34 LTD                                                                          | RR 34 LTD A1R TSFR3M+135 10/15/2039 144A                                                                | CUSIP: 74988WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13007000 | PA      | $13007000.00    | 0.01%             | 2039-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 6.625% 05/15/2029                                                                  | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      240000 | PA      | $245010.24      | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP REC 3.753 10/31/29                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    67800000 | NC      | $2095294.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP PAY 3.753 10/31/29                                                                            | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    67800000 | NC      | $1944377.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OHACP 2024-17A                                                                     | OHACP 2024-17A A TSFR3M+132 01/18/2038 144A                                                             | CUSIP: 67120MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9640000 | PA      | $9640000.00     | 0.01%             | 2038-01-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC                                          | FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC A TSFR3M+133 01/15/2038 144A                                  | CUSIP: 33888AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    11218000 | PA      | $11264902.46    | 0.01%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2054#CB9500                                                                          | CUSIP: 3140QVRW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4069951 | PA      | $4261577.85     | 0.00%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2054#CB9501                                                                          | CUSIP: 3140QVRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10371113 | PA      | $10856178.54    | 0.01%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2054#CB9502                                                                          | CUSIP: 3140QVRY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    27966473 | PA      | $29239529.13    | 0.03%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.805 11/05/29                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    13900000 | NC      | $446371.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.805 11/05/29                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    13900000 | NC      | $387299.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-C30                                                      | BBCMS MORTGAGE TRUST 2024-C30 5.831% 11/15/2057                                                         | CUSIP: 05493YAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      633000 | PA      | $678946.24      | 0.00%             | 2057-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-C30                                                      | BBCMS MORTGAGE TRUST 2024-C30 A5 5.532% 11/15/2057                                                      | CUSIP: 05493YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8047000 | PA      | $8606179.59     | 0.01%             | 2057-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VALLEY STREAM PK CLO LTD / VY STREAM PK CLO LLC                                    | VALLEY STREAM PK CLO LTD / VY STREAM PK CLO LLC ARR TSFR3M+119 01/20/2037 144A                          | CUSIP: 92013AAT6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    19200000 | PA      | $19215993.60    | 0.02%             | 2037-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                                      | ECHOSTAR CORP PIK VAR 11/30/2030                                                                        | CUSIP: 278768AA4<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |     1660000 | PA      | $1681171.64     | 0.00%             | 2030-11-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                                      | LGI HOMES INC 7% 11/15/2032 144A                                                                        | CUSIP: 50187TAK2<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |     1360000 | PA      | $1333263.49     | 0.00%             | 2032-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 04/01/2053#BX7011                                                                          | CUSIP: 3140NBYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34163 | PA      | $34422.42       | 0.00%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 12/01/2054#SD8493                                                                        | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       65507 | PA      | $66638.94       | 0.00%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V11 MTG TR                                                          | BENCHMARK 2024-V11 MTG TR 5.909% 11/15/2057                                                             | CUSIP: 081921AZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $7408753.10     | 0.01%             | 2057-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENBW INTERNATIONAL FINANCE BV                                                      | ENBW INTERNATIONAL FINANCE BV 3.75% 11/20/2035 REGS                                                     | CUSIP: N/A<br>LEI: 724500CNCIO1ZTJ0X675       | Long             | DBT              | CORP              | NL        |     1525000 | PA      | $1834596.88     | 0.00%             | 2035-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                                | GILEAD SCIENCES INC 5.1% 06/15/2035                                                                     | CUSIP: 375558CC5<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     5700000 | PA      | $5900926.20     | 0.01%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                                | GILEAD SCIENCES INC 5.5% 11/15/2054                                                                     | CUSIP: 375558CD3<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $8970503.85     | 0.01%             | 2054-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                                | GILEAD SCIENCES INC 5.6% 11/15/2064                                                                     | CUSIP: 375558CE1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $9011185.02     | 0.01%             | 2064-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                              | MOLINA HEALTHCARE INC 6.25% 01/15/2033 144A                                                             | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |     1065000 | PA      | $1047657.61     | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                              | ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP 10% 11/15/2029 144A                               | CUSIP: 451102CK1<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |      435000 | PA      | $428475.00      | 0.00%             | 2029-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BUCKHORN PARK CLO LTD                                                              | BUCKHORN PARK CLO LTD ARR TSFR3M+107 07/18/2034 144A                                                    | CUSIP: 118382BA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6900000 | PA      | $6906368.70     | 0.01%             | 2034-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ELLUCIAN HOLDINGS INC                                                              | ELLUCIAN HOLDINGS INC 6.5% 12/01/2029 144A                                                              | CUSIP: 289178AA3<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | DBT              | CORP              | US        |      445000 | PA      | $436375.41      | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                             | CONSOLIDATED EDISON CO OF NY 5.125% 03/15/2035                                                          | CUSIP: 209111GM9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $9299480.94     | 0.01%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                             | CONSOLIDATED EDISON CO OF NY 5.5% 03/15/2055                                                            | CUSIP: 209111GN7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $8830426.05     | 0.01%             | 2055-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                                           | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   170870000 | PA      | $172478580.43   | 0.18%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                                                    | BX TR 2021-ACNT TSFR1M+136.448 11/15/2038 144A                                                          | CUSIP: 05609QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2136572 | PA      | $2135904.47     | 0.00%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                                                  | ILIAD HOLDING SAS 7% 04/15/2032 144A                                                                    | CUSIP: 449691AG9<br>LEI: 9695009BGMXB527HV965 | Long             | DBT              | CORP              | FR        |      405000 | PA      | $415726.32      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TGS ASA                                                                            | TGS ASA 8.5% 01/15/2030 144A                                                                            | CUSIP: 87243KAA7<br>LEI: 549300NUPLAXPB0WYH90 | Long             | DBT              | CORP              | NO        |      955000 | PA      | $1008743.90     | 0.00%             | 2030-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 5.087%/VAR 11/26/2028                                                          | CUSIP: 53944YBC6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     5700000 | PA      | $5805297.70     | 0.01%             | 2028-11-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| METHANEX US OPERATIONS INC                                                         | METHANEX US OPERATIONS INC 6.25% 03/15/2032 144A                                                        | CUSIP: 59151LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      710000 | PA      | $734852.13      | 0.00%             | 2032-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VOLOFIN FINANCE DESIGNATED ACTIVITY CO                                             | VOLOFIN FINANCE DESIGNATED ACTIVITY CO 5.935% 06/15/2037 144A                                           | CUSIP: 92873RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6917096 | PA      | $7049076.66     | 0.01%             | 2037-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 4.73% 11/15/2029 144A                                                  | CUSIP: 361886DQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    20800000 | PA      | $21128513.12    | 0.02%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.858% 05/01/2054                                                                             | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    17614000 | PA      | $20200241.25    | 0.02%             | 2054-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.298% 05/01/2029                                                                             | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    15131000 | PA      | $16124317.32    | 0.02%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.388% 05/01/2031                                                                             | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     7220000 | PA      | $7891972.11     | 0.01%             | 2031-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.528% 05/01/2034                                                                             | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     7701000 | PA      | $8634182.69     | 0.01%             | 2034-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.259% 05/01/2027                                                                             | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      649000 | PA      | $664860.20      | 0.00%             | 2027-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 7.008% 05/01/2064                                                                             | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    10499000 | PA      | $12173377.06    | 0.01%             | 2064-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 06/01/2054#SD5521                                                                        | CUSIP: 3132DTD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17119989 | PA      | $18184356.22    | 0.02%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 09/01/2054#SD6620                                                                        | CUSIP: 3132DUK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    20511956 | PA      | $21787204.41    | 0.02%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 11/30/2029                                                                             | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1315000 | PA      | $1345974.42     | 0.00%             | 2029-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 11/30/2031                                                                             | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   110000000 | PA      | $112926171.60   | 0.12%             | 2031-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR12                                                                   | BANK5 2024-5YR12 5.902% 12/15/2057                                                                      | CUSIP: 06644XBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3370000 | PA      | $3571806.72     | 0.00%             | 2057-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL4 LLC                                                                 | PRPM 2024-RPL4 A1 LLC STEP 12/25/2054 144A                                                              | CUSIP: 74448MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1046421 | PA      | $1031317.00     | 0.00%             | 2054-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2053#SD6527                                                                          | CUSIP: 3132DUHC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    16671576 | PA      | $16375090.17    | 0.02%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HARTWICK PARK CLO LTD                                                              | HARTWICK PARK CLO LTD AR TSFR3M+116 01/20/2037 144A                                                     | CUSIP: 417403AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    10991000 | PA      | $11005178.39    | 0.01%             | 2037-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OHA CR FDG 4 LTD / OHA CR FDG 4 LLC                                                | OHA CR FDG 4 LTD / OHA CR FDG 4 LLC AR2 TSFR3M+129 01/22/2038 144A                                      | CUSIP: 67098DBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    16000000 | PA      | $16043984.00    | 0.02%             | 2038-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                   | ABN AMRO BANK NV 5.515%/VAR 12/03/2035 144A                                                             | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    17600000 | PA      | $18280637.41    | 0.02%             | 2035-12-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 6.75%/VAR PERP                                                                            | CUSIP: 172967PR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EP               | CORP              | US        |      865000 | PA      | $884847.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                          | COREBRIDGE GBL FUNDING 4.9% 12/03/2029 144A                                                             | CUSIP: 00138CBC1<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |     1750000 | PA      | $1788645.95     | 0.00%             | 2029-12-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    11200000 | NC      | $-131574.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 07/01/2049#SD3738                                                                        | CUSIP: 3132E0EK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7243637 | PA      | $6442476.98     | 0.01%             | 2049-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2049#SD7508                                                                        | CUSIP: 3132DVKV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1017974 | PA      | $974225.30      | 0.00%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XLI LTD                                                                  | MAGNETITE XLI LTD A TSFR3M+129 01/25/2038 144A                                                          | CUSIP: 55956AAA3<br>LEI: 529900IDXPZZY6034K03 | Long             | ABS-CBDO         | CORP              | KY        |     9690000 | PA      | $9721414.98     | 0.01%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN 68 CLO LTD                                                                  | DRYDEN 68 CLO LTD ARR TSFR3M+110 07/15/2035 144A                                                        | CUSIP: 26252QAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5800000 | PA      | $5795365.80     | 0.01%             | 2035-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 6% 09/01/2038#MA5145                                                                          | CUSIP: 31418EWF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2810816 | PA      | $2916737.83     | 0.00%             | 2038-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2049#FS4660                                                                        | CUSIP: 3140XLFA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3797057 | PA      | $3625568.93     | 0.00%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 11/01/2036#FM9724                                                                          | CUSIP: 3140XDYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      285052 | PA      | $265896.15      | 0.00%             | 2036-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC                                    | MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC ARR TSFR3M+108 07/15/2034 144A                          | CUSIP: 55820BAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13160000 | PA      | $13169527.84    | 0.01%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885799 12/15/56 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      500000 | NC      | $-5873.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2021-10 LTD                                                         | CARLYLE US CLO 2021-10 LTD A1R TSFR3M+131 01/20/2038 144A                                               | CUSIP: 14316YAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    16231000 | PA      | $16253512.40    | 0.02%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2054#CB9320                                                                        | CUSIP: 3140QVLA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4345098 | PA      | $4497592.98     | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 09/01/2054#RJ2412                                                                        | CUSIP: 3142GSVE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4323096 | PA      | $4466713.08     | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 04/01/2052#SD6932                                                                          | CUSIP: 3132DUVZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7180205 | PA      | $6024313.83     | 0.01%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 7%/VAR 03/10/2055                                                                       | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     1420000 | PA      | $1493592.92     | 0.00%             | 2055-03-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 6.75%/VAR 12/10/2054                                                                    | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      485000 | PA      | $504484.88      | 0.00%             | 2054-12-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                             | SAMMONS FINANCIAL GROUP GLOBAL FUNDING 5.1% 12/10/2029 144A                                             | CUSIP: 79587J2A0<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    15100000 | PA      | $15488646.07    | 0.02%             | 2029-12-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.15% 01/15/2030 144A                                                       | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    14620000 | PA      | $14971663.05    | 0.02%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 4.95% 01/15/2028 144A                                                       | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    10100000 | PA      | $10234138.40    | 0.01%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-GPA3                                                           | BX COML MTG TR 2024-GPA3 A TSFR1M+149.25 12/15/2029 144A                                                | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18572002 | PA      | $18577805.95    | 0.02%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HEXION HOLDINGS CORPORATION                                                        | HEXION TERM 1LN 03/15/2029                                                                              | CUSIP: 00217XAE6<br>LEI: 549300LBB370MUHGLV84 | Long             | LON              | CORP              | US        |      588083 | PA      | $576215.63      | 0.00%             | 2029-03-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CITYCON TREASURY BV                                                                | CITYCON TREASURY BV 5% 03/11/2030 REGS                                                                  | CUSIP: N/A<br>LEI: 549300WAE0CGQ0IE1H63       | Long             | DBT              | CORP              | NL        |      420000 | PA      | $482261.55      | 0.00%             | 2030-03-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTH WEST WATER FINANCE PLC                                                       | SOUTH WEST WATER FINANCE PLC 5.75% 12/11/2032 REGS                                                      | CUSIP: N/A<br>LEI: 213800OV68U446W4NV89       | Long             | DBT              | CORP              | GB        |      225000 | PA      | $315438.48      | 0.00%             | 2032-12-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      700000 | NC      | $-8223.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     7050000 | NC      | $-82821.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                                   | UWM HOLDINGS LLC 6.625% 02/01/2030 144A                                                                 | CUSIP: 903522AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1005000 | PA      | $997404.91      | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                           | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM A TSFR1M+139.27 12/15/2039 144A                        | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    42253000 | PA      | $42305850.05    | 0.05%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                           | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 2024-DPM B TSFR1M+179.21 12/15/2029 144A                      | CUSIP: 87231EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9610000 | PA      | $9634026.92     | 0.01%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                           | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM C TSFR1M+219.158 12/15/2039 144A                       | CUSIP: 87231EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5436000 | PA      | $5463188.15     | 0.01%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FUNDING LLC                                                           | JERSEY MIKES FDG LLC 5.636% 02/15/2055 144A                                                             | CUSIP: 476681AD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21943350 | PA      | $22567401.32    | 0.02%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 5.125% 11/15/2031                                                                    | CUSIP: 925650AH6<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     5400000 | PA      | $5497947.95     | 0.01%             | 2031-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                       | GALLAGHER (ARTHUR J.) and CO 5% 02/15/2032                                                              | CUSIP: 04316JAM1<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    11066000 | PA      | $11309349.42    | 0.01%             | 2032-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                       | GALLAGHER (ARTHUR J.) and CO 5.15% 02/15/2035                                                           | CUSIP: 04316JAN9<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    19900000 | PA      | $20172355.98    | 0.02%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GALLAGHER (ARTHUR J.) and CO                                                       | GALLAGHER (ARTHUR J.) and CO 5.55% 02/15/2055                                                           | CUSIP: 04316JAP4<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     5362000 | PA      | $5130330.13     | 0.01%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC                                                                       | ACRISURE TERM B6 1LN 11/06/2030                                                                         | CUSIP: 00488PAV7<br>LEI: 549300R0Z1Q47XRTGO22 | Long             | LON              | CORP              | US        |        4950 | PA      | $4785.41        | 0.00%             | 2030-11-06      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 5.5% 09/01/2054#BU5051                                                                   | CUSIP: 3140M6TH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      234381 | PA      | $238652.06      | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#CB2666                                                                          | CUSIP: 3140QM6C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8262619 | PA      | $7476703.86     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC                                          | VOYA CLO 2020-2 LTD/LLC A1RR TSFR3M+131 01/20/2038 144A                                                 | CUSIP: 92918HAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3951000 | PA      | $3957594.22     | 0.00%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OWN EQUIPMENT FUND I LLC                                                           | OWN EQUIPMENT FUND I LLC 5.7% 12/20/2032 144A                                                           | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    24296173 | PA      | $24795529.55    | 0.03%             | 2032-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                                                        | STARWOOD PPTY TR INC 6.5% 07/01/2030 144A                                                               | CUSIP: 85571BBD6<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |      805000 | PA      | $837220.13      | 0.00%             | 2030-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 11/20/2054#MB0024                                                                          | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   174064960 | PA      | $172339523.84   | 0.18%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 07/20/2054#MA9844                                                                            | CUSIP: 36179Y5D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      745959 | PA      | $632121.20      | 0.00%             | 2054-07-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 12/20/2054#MB0091                                                                            | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    13322025 | PA      | $13385762.52    | 0.01%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 11/20/2054#MB0025                                                                            | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    74356378 | PA      | $74712128.20    | 0.08%             | 2054-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 06/20/2054#MA9772                                                                            | CUSIP: 36179Y2D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      389773 | PA      | $330291.13      | 0.00%             | 2054-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 08/20/2053#MB0019                                                                            | CUSIP: 3618N5AV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      526571 | PA      | $446130.27      | 0.00%             | 2053-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2050#RA3524                                                                          | CUSIP: 3133KJ4H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      887104 | PA      | $746790.32      | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2052#FS7943                                                                        | CUSIP: 3140XPZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      579847 | PA      | $509916.44      | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2052#FS9743                                                                        | CUSIP: 3140XRZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6215239 | PA      | $5465669.65     | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS8336                                                                          | CUSIP: 3140XQHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1402859 | PA      | $1173076.99     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 12/20/2054#MB0092                                                                          | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11066865 | PA      | $11233231.37    | 0.01%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS9607                                                                          | CUSIP: 3140XRU94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2162434 | PA      | $1825131.29     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 6% 07/01/2039#SB1215                                                                          | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    47513555 | PA      | $49214949.22    | 0.05%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN HOLDING AB                                        | SAMHALLSBYGGNADSBOLAGET I NORDEN HOLDING AB 2.25% 07/12/2027 REGS                                       | CUSIP: N/A<br>LEI: 636700JPED0N9T4ET363       | Long             | DBT              | CORP              | SE        |      650000 | PA      | $734191.06      | 0.00%             | 2027-07-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 12/31/2029                                                                             | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1400000 | PA      | $1445882.82     | 0.00%             | 2029-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.5% 12/31/2031                                                                               | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   106500000 | PA      | $111413144.27   | 0.12%             | 2031-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 12/20/2054#MB0093                                                                            | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    39308771 | PA      | $40205010.98    | 0.04%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BABSON CLO LTD/CAYMAN ISLANDS                                                      | BABSON CLO LTD/CAYMAN ISLANDS A1R2 TSFR3M+126 01/15/2038 144A                                           | CUSIP: 06762LAR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7970000 | PA      | $7996229.27     | 0.01%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXVIII LTD                                                               | MAGNETITE XXVIII LTD A1RR TSFR3M+124 01/15/2038 144A                                                    | CUSIP: 55955LAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    17202000 | PA      | $17237143.69    | 0.02%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#FM6270                                                                          | CUSIP: 3140X96G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      442127 | PA      | $372195.45      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2051#FM6416                                                                          | CUSIP: 3140XADW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      330325 | PA      | $279006.52      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2051#SD2903                                                                          | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    19896822 | PA      | $16668900.84    | 0.02%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 11/01/2051#FS9599                                                                        | CUSIP: 3140XRUZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1446665 | PA      | $1280783.89     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2052#FS9729                                                                        | CUSIP: 3140XRY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3704275 | PA      | $3266793.18     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOLENIS HOLDINGS LTD                                                               | SOLENIS TERM B6 1LN 6/20/2031                                                                           | CUSIP: 68163YAJ4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      306001 | PA      | $299691.00      | 0.00%             | 2031-06-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 5.875% 11/07/2029                                                              | CUSIP: 345397G49<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    19900000 | PA      | $20581509.93    | 0.02%             | 2029-11-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 01/15/2028                                                                              | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    43000500 | PA      | $43652226.33    | 0.05%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.75% 10/25/2051                                 | CUSIP: 3137H3EQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    10454832 | PA      | $8662394.23     | 0.01%             | 2051-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.25% 09/25/2046                                                         | CUSIP: 3136BMBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5556295 | PA      | $5222458.44     | 0.01%             | 2046-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                             | SAMMONS FINANCIAL GROUP GLOBAL FUNDING 5.05% 01/10/2028 144A                                            | CUSIP: 79587J2B8<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |     5760000 | PA      | $5858906.46     | 0.01%             | 2028-01-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 1.5% 08/25/2050                                                          | CUSIP: 3136BJTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     1718005 | PA      | $1465395.35     | 0.00%             | 2050-08-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.75% 02/25/2052                                                         | CUSIP: 3137H5WR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    20258319 | PA      | $18447610.34    | 0.02%             | 2052-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MEXICO UNITED MEXICAN STATES                                                       | MEXICO UNITED MEXICAN STATES 6% 05/13/2030                                                              | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     3370000 | PA      | $3545240.00     | 0.00%             | 2030-05-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL FDG                                                       | JACKSON NATL LIFE GLOBAL FDG 5.35% 01/13/2030 144A                                                      | CUSIP: 46849LVE8<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |     5750000 | PA      | $5925515.30     | 0.01%             | 2030-01-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 5.5%/VAR 04/13/2029 144A                                                        | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    24956000 | PA      | $25607984.73    | 0.03%             | 2029-04-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 5.786%/VAR 01/13/2033 144A                                                                  | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    28396000 | PA      | $30075547.58    | 0.03%             | 2033-01-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6.5% 01/01/2055#RJ3308                                                                        | CUSIP: 3142GTVA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9892976 | PA      | $10454702.74    | 0.01%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 01/01/2055#CB9828                                                                        | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5871440 | PA      | $6232803.45     | 0.01%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 05/01/2054#SD7570                                                                          | CUSIP: 3132DVMT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    73766437 | PA      | $77262656.69    | 0.08%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCP AEGIS CLO 2024-39 LTD                                                          | OCP AEGIS CLO 2024-39 LTD D1 TSFR3M+280 01/16/2037 144A                                                 | CUSIP: 67120EAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250000.00      | 0.00%             | 2037-01-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                                                     | COMMERZBANK AG 3.625%/VAR 01/14/2032 REGS                                                               | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |      800000 | PA      | $962054.87      | 0.00%             | 2032-01-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LINCOLN FINANCIAL GLOBAL FUNDING                                                   | LINCOLN FINANCIAL GLOBAL FUNDING 5.3% 01/13/2030 144A                                                   | CUSIP: 53359KAA9<br>LEI: 984500OC010458395923 | Long             | DBT              | CORP              | US        |     6864000 | PA      | $7052007.36     | 0.01%             | 2030-01-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                            | GA GLOBAL FUNDING TRUST 5.4% 01/13/2030 144A                                                            | CUSIP: 36143L2R5<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    13580000 | PA      | $13915284.50    | 0.01%             | 2030-01-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EVERGREEN CR CARD TR                                                               | EVERGREEN CR CARD TR 5.24% 05/15/2029 144A                                                              | CUSIP: 30023JCX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |      980000 | PA      | $991925.03      | 0.00%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WAND NEWCO 3 INC                                                                   | CALIBER COLLISION TERM B 1LN 01/30/2031                                                                 | CUSIP: 93369PAM6<br>LEI: 549300Y3VZEWMSQW8494 | Long             | LON              | CORP              | US        |      160580 | PA      | $159554.08      | 0.00%             | 2031-01-30      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 5.373%/VAR 01/10/2029                                                    | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     5700000 | PA      | $5825362.32     | 0.01%             | 2029-01-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLAA 2025-1 LLC                                                                   | DLLAA 2025-1 LLC 4.95% 09/20/2029 144A                                                                  | CUSIP: 233249AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2300000 | PA      | $2350070.31     | 0.00%             | 2029-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TR                                                | SANTANDER DRIVE AUTO RECEIVABLES TR 4.74% 01/16/2029                                                    | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10456039 | PA      | $10482663.15    | 0.01%             | 2029-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 11/01/2054#SD6971                                                                        | CUSIP: 3132DUW86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    16900851 | PA      | $17494000.32    | 0.02%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 10/01/2054#RJ2653                                                                        | CUSIP: 3142GS5P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18195423 | PA      | $18782831.38    | 0.02%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP                                                                  | CLARIOS TERM B 1LN 01/28/2032                                                                           | CUSIP: N/A<br>LEI: 549300474L1ZLXZY2P98       | Long             | LON              | CORP              | US        |      144638 | PA      | $144155.86      | 0.00%             | 2032-01-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 5.8% 01/15/2035                                                                   | CUSIP: 595112CE1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     8600000 | PA      | $9209818.17     | 0.01%             | 2035-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                             | STANDARD CHARTERED PLC 5.545%/VAR 01/21/2029 144A                                                       | CUSIP: 85325C2D3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     5880000 | PA      | $6033666.51     | 0.01%             | 2029-01-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                                                  | WASTE PRO USA INC 7% 02/01/2033 144A                                                                    | CUSIP: 94107JAC7<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |      330000 | PA      | $343446.18      | 0.00%             | 2033-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                          | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 6.75% 02/15/2030 144A                                         | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      335000 | PA      | $350899.10      | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                           | COOPERATIEVE RABOBANK UA 5.71%/VAR 01/21/2033 144A                                                      | CUSIP: 74977RDU5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     1870000 | PA      | $1988941.03     | 0.00%             | 2033-01-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MOTABILITY OPERATIONS GROUP PLC                                                    | MOTABILITY OPERATIONS GRP PLC 3.625% 01/22/2033 REGS                                                    | CUSIP: N/A<br>LEI: AZ3NL8JCZDCNUXFWI720       | Long             | DBT              | CORP              | GB        |     1275000 | PA      | $1523113.76     | 0.00%             | 2033-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIRIUS REAL ESTATE LTD                                                             | SIRIUS REAL ESTATE LTD 4% 01/22/2032 REGS                                                               | CUSIP: N/A<br>LEI: 213800NURUF5W8QSK566       | Long             | DBT              | CORP              | GG        |      800000 | PA      | $955318.25      | 0.00%             | 2032-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREAT OUTDOORS GROUP LLC                                                           | BASS PRO TERM B 1LN 01/23/2032                                                                          | CUSIP: 07014QAP6<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |      844938 | PA      | $842825.64      | 0.00%             | 2032-01-23      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| IVANHOE MINE LTD                                                                   | IVANHOE MINE LTD 7.875% 01/23/2030 144A                                                                 | CUSIP: 46579RAE4<br>LEI: 5299006XZISURYIA4G32 | Long             | DBT              | CORP              | CA        |      420000 | PA      | $437259.52      | 0.00%             | 2030-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.244%/VAR 01/24/2031                                                            | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    31390000 | PA      | $32566158.19    | 0.03%             | 2031-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.502%/VAR 01/24/2036                                                             | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7362935.86     | 0.01%             | 2036-01-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 6.85%/VAR PERP                                                            | CUSIP: 38141GC28<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EP               | CORP              | US        |     1005000 | PA      | $1052423.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.23%/VAR 01/15/2031                                                                     | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     8629000 | PA      | $8936044.15     | 0.01%             | 2031-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARINGS EQUIPMENT FINANCE LLC 2025-A                                               | BARINGS EQUIPMENT FINANCE LLC 2025-A 4.82% 08/13/2032 144A                                              | CUSIP: 06764MAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2500000 | PA      | $2568941.25     | 0.00%             | 2032-08-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 01/20/2055#MB0145                                                                          | CUSIP: 3618N5ET2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4004980 | PA      | $3963402.47     | 0.00%             | 2055-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 01/20/2055#MB0146                                                                            | CUSIP: 3618N5EU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    88014616 | PA      | $88435713.62    | 0.09%             | 2055-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GREEN LAKES PARK CLO LLC                                                           | GREEN LAKES PARK CLO LLC ARR TSFR3M+118 01/25/2038 144A                                                 | CUSIP: 39310AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    23950000 | PA      | $23914075.00    | 0.03%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.162%/VAR 01/24/2031                                                       | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     8600000 | PA      | $8926292.00     | 0.01%             | 2031-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CIFC FDG 2018-IV LTD / CIFC FDG 2018-IV LLC                                        | CIFC FDG 2018-IV LTD / CIFC FDG 2018-IV LLC D2R TSFR3M+375 01/17/2038 144A                              | CUSIP: 17181TAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      100000 | PA      | $98497.40       | 0.00%             | 2038-01-17      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DIME                                                                 | BX TRUST 2025-DIME A TSFR1M+115 02/15/2035 144A                                                         | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    35345000 | PA      | $35297227.70    | 0.04%             | 2035-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      100000 | NC      | $-1174.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONTOURGLOBAL PWR HLDGS S A                                                        | CONTOURGLOBAL PWR HLDGS S A 6.75% 02/28/2030 144A                                                       | CUSIP: 21220LAB9<br>LEI: 549300O5AGIFK0PQ1516 | Long             | DBT              | CORP              | LU        |      605000 | PA      | $623150.00      | 0.00%             | 2030-02-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                     | PNC FINANCIAL SERVICES GRP INC 5.222%/VAR 01/29/2031                                                    | CUSIP: 693475CB9<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     6900000 | PA      | $7176281.93     | 0.01%             | 2031-01-29      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GRP INC                                                     | PNC FINANCIAL SERVICES GRP INC 5.575%/VAR 01/29/2036                                                    | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7367289.02     | 0.01%             | 2036-01-29      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2053#CB6751                                                                          | CUSIP: 3140QSQD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17268153 | PA      | $18075798.22    | 0.02%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ASCEND LEARNING LLC                                                                | ASCEND LEARNING TERM B 1LN 12/11/2028                                                                   | CUSIP: 04349HAN4<br>LEI: 549300T466HKRLVCD610 | Long             | LON              | CORP              | US        |      733712 | PA      | $697026.65      | 0.00%             | 2028-12-11      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| NEXUS BUYER LLC                                                                    | INTRAFI TERM B 1LN 07/31/2031                                                                           | CUSIP: 65343UAH5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      653412 | PA      | $611554.76      | 0.00%             | 2031-07-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 01/31/2030                                                                              | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    49495300 | PA      | $50918289.88    | 0.05%             | 2030-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 01/31/2032                                                                             | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    75950000 | PA      | $78955365.04    | 0.08%             | 2032-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#BR4435                                                                          | CUSIP: 3140L24V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4714755 | PA      | $3942499.28     | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| POST ROAD EQUIPMENT FINANCE 2025-1 LLC                                             | POST ROAD EQUIPMENT FINANCE 2025-1 LLC 4.9% 05/15/2031 144A                                             | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5147098 | PA      | $5192466.51     | 0.01%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 06/01/2052#SD7151                                                                          | CUSIP: 3132DU5L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      439011 | PA      | $401781.38      | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2052#CB3233                                                                          | CUSIP: 3140QNSX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      365626 | PA      | $334619.00      | 0.00%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 3% 06/01/2052#FA0115                                                                     | CUSIP: 3140W0DV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      578472 | PA      | $532307.45      | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     2400000 | NC      | $192933.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AASET 2025-1 LTD / AASET 2025-1 LLC                                                | AASET 2025-1 LTD / AASET 2025-1 LLC 5.943% 02/16/2050 144A                                              | CUSIP: 00258PAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11162398 | PA      | $11488144.98    | 0.01%             | 2050-02-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 6% 07/01/2039#FS8581                                                                          | CUSIP: 3140XQRB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16767348 | PA      | $17367763.33    | 0.02%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION LLC                                                       | FIRSTENERGY TRANSMISSION LLC 4.55% 01/15/2030                                                           | CUSIP: 33767BAG4<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3146211.27     | 0.00%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2.5% 05/01/2052#FA0096                                                                   | CUSIP: 3140W0DA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      736443 | PA      | $645324.75      | 0.00%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                                        | SEVERN TRENT WATER UTIL FIN 3.875% 08/04/2035 REGS                                                      | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |     1400000 | PA      | $1678890.11     | 0.00%             | 2035-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                                | AMERICAN EXPRESS CO 5.085%/VAR 01/30/2031                                                               | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     7596000 | PA      | $7847937.98     | 0.01%             | 2031-01-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                              | QUIKRETE HOLDINGS INC 6.375% 03/01/2032 144A                                                            | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     1005000 | PA      | $1044494.49     | 0.00%             | 2032-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 6.5%/VAR PERP                                                                     | CUSIP: 48128AAJ2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EP               | CORP              | US        |      805000 | PA      | $843224.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD / AIRCASTLE IRELAND DAC                                              | AIRCASTLE LTD / AIRCASTLE IRELAND DAC 5.25% 03/15/2030 144A                                             | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    12185000 | PA      | $12578153.05    | 0.01%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXVI LTD / MAGNETITE XXVI LLC                                            | MAGNETITE XXVI LTD / MAGNETITE XXVI LLC AR2 TSFR3M+115 01/25/2038 144A                                  | CUSIP: 55954YAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10650000 | PA      | $10661235.75    | 0.01%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                      | CARNIVAL CORP 6.125% 02/15/2033 144A                                                                    | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     4070000 | PA      | $4213251.79     | 0.00%             | 2033-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP 12/17/57 B                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    16800000 | NC      | $-21139.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP 12/17/57 B                                                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     2400000 | NC      | $-3019.92       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2052#FS8195                                                                          | CUSIP: 3140XQC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5907915 | PA      | $4940224.71     | 0.01%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     2000000 | NC      | $160777.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     2500000 | NC      | $200972.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      100000 | NC      | $8038.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS9872                                                                          | CUSIP: 3140XR6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3693851 | PA      | $3117673.06     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 6% 08/03/2055                                                                               | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1414000 | PA      | $1245604.49     | 0.00%             | 2055-08-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                            | BANK OF NOVA SCOTIA 5.13%/VAR 02/14/2031                                                                | CUSIP: 06418GAQ0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     3300000 | PA      | $3416905.57     | 0.00%             | 2031-02-14      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      700000 | NC      | $56272.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CZ030008 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     2800000 | NC      | $225088.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OHA CREDIT PARTNERS VII LTD                                                        | OHA CREDIT PARTNERS VII LTD D1R4 TSFR3M+250 02/20/2038 144A                                             | CUSIP: 67102QBT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      150000 | PA      | $146423.55      | 0.00%             | 2038-02-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT PARTNERS VII LTD                                                        | OHA CREDIT PARTNERS VII LTD AR4 TSFR3M+114 02/20/2038 144A                                              | CUSIP: 67102QBK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10336000 | PA      | $10328496.06    | 0.01%             | 2038-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2025-1 LLC                                              | PEAC SOLUTIONS RECEIVABLES 2025-1 LLC 4.94% 10/20/2028 144A                                             | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6545071 | PA      | $6583964.91     | 0.01%             | 2028-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                               | CLEVELAND-CLIFFS INC 7.5% 09/15/2031 144A                                                               | CUSIP: 185899AS0<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      885000 | PA      | $923716.10      | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054                                                          | CUSIP: 3136BUW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     8270046 | PA      | $8328872.05     | 0.01%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054                                                   | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    12658832 | PA      | $12761102.87    | 0.01%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                                                   | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     6918029 | PA      | $6954722.92     | 0.01%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055                                                       | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     8404500 | PA      | $8474318.25     | 0.01%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055                                                       | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    10862548 | PA      | $10977840.71    | 0.01%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054                                             | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    12568512 | PA      | $12697900.96    | 0.01%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2018-15 LTD                                                                | OCP CLO 2018-15 LTD AR TSFR3M+125 01/20/2038 144A                                                       | CUSIP: 67112KAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7637000 | PA      | $7661255.11     | 0.01%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| X CORP                                                                             | TWITTER TERM B1 1LN 10/26/2029                                                                          | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1386081 | PA      | $1388963.77     | 0.00%             | 2029-10-26      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 02/01/2055#CB9985                                                                          | CUSIP: 3140QWCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3926244 | PA      | $4122147.07     | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 02/01/2055#CB9989                                                                          | CUSIP: 3140QWC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26650976 | PA      | $27855821.63    | 0.03%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      400000 | NC      | $32155.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2025-1                                                       | OPORTUN FUNDING TRUST 2025-1 A 4.96% 08/16/2032 144A                                                    | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      741622 | PA      | $742291.40      | 0.00%             | 2032-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WH BORROWER LLC                                                                    | WHP TERM B 1LN 02/20/2032                                                                               | CUSIP: 92942LAG6<br>LEI: 2549009H920CQUE3R944 | Long             | LON              | CORP              | US        |      845750 | PA      | $843635.63      | 0.00%             | 2032-02-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                        | IMPERIAL BRANDS FINANCE PLC 3.875% 02/12/2034 REGS                                                      | CUSIP: N/A<br>LEI: 2138008L3B3MCG1DFS50       | Long             | DBT              | CORP              | GB        |     3050000 | PA      | $3608101.40     | 0.00%             | 2034-02-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 02/15/2055                                                           | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   155995900 | PA      | $155581543.69   | 0.17%             | 2055-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 02/15/2035                                                                             | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   272085400 | PA      | $287092596.74   | 0.31%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+153 07/25/2054                                                   | CUSIP: 3136BSMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     5783828 | PA      | $5860601.69     | 0.01%             | 2054-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2050#SD0516                                                                          | CUSIP: 3132DMSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    21615610 | PA      | $19755491.67    | 0.02%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2050#SD0517                                                                          | CUSIP: 3132DMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    21465466 | PA      | $19618268.61    | 0.02%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053                                                   | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     4923681 | PA      | $4983723.46     | 0.01%             | 2053-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| C and W SENIOR FINANCE LTD                                                         | C and W SENIOR FINANCE LTD 9% 01/15/2033 144A                                                           | CUSIP: 12665MAA0<br>LEI: 213800CG16G1YMJRCG10 | Long             | DBT              | CORP              | KY        |     1035000 | PA      | $1068924.71     | 0.00%             | 2033-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 09/01/2050#QB3577                                                                          | CUSIP: 3133A96N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4695259 | PA      | $3930598.90     | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FLATIRON RR CLO 22 LLC                                                             | FLATIRON RR CLO 22 LLC AR TSFR3M+91 10/15/2034 144A                                                     | CUSIP: 33883QAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4400000 | PA      | $4397800.00     | 0.00%             | 2034-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                                                   | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    23424499 | PA      | $23592571.83    | 0.03%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST 2025-1                                                   | KUBOTA CREDIT OWNER TRUST 2025-1 4.67% 06/15/2029 144A                                                  | CUSIP: 50117FAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8000000 | PA      | $8141812.00     | 0.01%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                                                       | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    17300137 | PA      | $17441112.77    | 0.02%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                       | ING GROEP NV 3%/VAR 08/17/2031 REGS                                                                     | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | CORP              | NL        |     1800000 | PA      | $2118582.80     | 0.00%             | 2031-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| X CORP                                                                             | X TERM 1LN 10/26/2029                                                                                   | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1040000 | PA      | $1090440.00     | 0.00%             | 2029-10-26      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SFAST 2025-1A                                                                      | SFAST 2025-1A 4.75% 07/22/2030 144A                                                                     | CUSIP: 81885BAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11933000 | PA      | $12051614.02    | 0.01%             | 2030-07-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 3.945%/VAR 02/18/2037 REGS                                                                  | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DBT              | CORP              | FR        |     2600000 | PA      | $3095338.61     | 0.00%             | 2037-02-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                                                   | CUSIP: 3137HJEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    12118035 | PA      | $12219742.93    | 0.01%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HEXCEL CORPORATION                                                                 | HEXCEL CORPORATION 5.875% 02/26/2035                                                                    | CUSIP: 428291AP3<br>LEI: S6Q7LW43WUBUHXY2QP69 | Long             | DBT              | CORP              | US        |     2383000 | PA      | $2536688.77     | 0.00%             | 2035-02-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO I LTD                                                                  | BBAM US CLO I LTD D1R TSFR3M+300 03/30/2038 144A                                                        | CUSIP: 054978AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      125000 | PA      | $122881.00      | 0.00%             | 2038-03-30      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/01/2051#QC7480                                                                          | CUSIP: 3133ASJZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      135456 | PA      | $133978.78      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2051#QD1244                                                                          | CUSIP: 3133AXLZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      121851 | PA      | $120522.01      | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2052#QD6619                                                                          | CUSIP: 3133B4K87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       67572 | PA      | $66704.14       | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2052#QD7533                                                                          | CUSIP: 3133B5LN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       47270 | PA      | $46739.14       | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2052#QE0889                                                                          | CUSIP: 3133B97A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      121872 | PA      | $120306.28      | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2052#QE0547                                                                          | CUSIP: 3133B9TC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       95969 | PA      | $94736.53       | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2052#QE5393                                                                          | CUSIP: 3133BE7E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       80399 | PA      | $79496.66       | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2052#QE5493                                                                          | CUSIP: 3133BFC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      116526 | PA      | $115218.00      | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 08/01/2052#QE8192                                                                          | CUSIP: 3133BJC59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58699 | PA      | $58022.16       | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2051#BT0253                                                                          | CUSIP: 3140LNH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34147 | PA      | $33774.76       | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2051#BU3339                                                                          | CUSIP: 3140M4V96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       76964 | PA      | $76123.94       | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2052#BV3829                                                                          | CUSIP: 3140MHHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81947 | PA      | $81027.38       | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2052#BW3397                                                                          | CUSIP: 3140MUX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81367 | PA      | $80453.97       | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2051#CB1703                                                                          | CUSIP: 3140QL3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      442027 | PA      | $437204.61      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2052#CB2695                                                                          | CUSIP: 3140QM7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      439642 | PA      | $434708.87      | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2051#CB2189                                                                          | CUSIP: 3140QMNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      587066 | PA      | $580662.16      | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2051#CB2460                                                                          | CUSIP: 3140QMWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      340476 | PA      | $336655.82      | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2052#CB2924                                                                          | CUSIP: 3140QNHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      293008 | PA      | $289720.33      | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2052#CB4669                                                                          | CUSIP: 3140QQFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      747558 | PA      | $738935.89      | 0.00%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2.5% 06/01/2052#FA0543                                                                   | CUSIP: 3140W0S97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    22234293 | PA      | $19622276.95    | 0.02%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARRY CALLEBAUT SVCS NV                                                            | BARRY CALLEBAUT SVCS NV 4.25% 08/19/2031 REGS                                                           | CUSIP: N/A<br>LEI: 213800R1F1EJYM4ICO85       | Long             | DBT              | CORP              | BE        |     1500000 | PA      | $1845834.99     | 0.00%             | 2031-08-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                                                    | GEN DIGITAL INC 6.25% 04/01/2033 144A                                                                   | CUSIP: 668771AM0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |      475000 | PA      | $472716.15      | 0.00%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GILEAD AVIATION LLC                                                                | GILEAD AVIATION LLC 0% 03/15/2050 144A                                                                  | CUSIP: 37556TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    20909470 | PA      | $21493429.76    | 0.02%             | 2050-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.75% 02/15/2045                                                                              | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    82030000 | PA      | $84080750.00    | 0.09%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | USTN TII 2.375% 02/15/2055                                                                              | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    57960000 | PA      | $58690445.94    | 0.06%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC                                      | CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC ARR TSFR3M+120 01/25/2038 144A                            | CUSIP: 15033TBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10548000 | PA      | $10537452.00    | 0.01%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC                                            | ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC A1R TSFR3M+118 04/20/2038 144A                                  | CUSIP: 01749WAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    12690000 | PA      | $12704669.64    | 0.01%             | 2038-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                 | BX Trust 2025-ROIC VAR 03/15/2030 144A                                                                  | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    88459262 | PA      | $88348688.18    | 0.09%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                 | BX TRUST 2025-ROIC B TSFR1M+149.33 03/15/2030 144A                                                      | CUSIP: 05593VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6424135 | PA      | $6408074.73     | 0.01%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                 | BX TRUST 2025-ROIC C TSFR1M+169 03/15/2030 144A                                                         | CUSIP: 05593VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8687515 | PA      | $8665840.89     | 0.01%             | 2030-03-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2025-1 LTD                                              | PALMER SQUARE LOAN FUNDING 2025-1 LTD A1 TSFR3M+80 02/15/2033 144A                                      | CUSIP: 69704CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10201886 | PA      | $10195214.17    | 0.01%             | 2033-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+105 10/25/2054                                                   | CUSIP: 3136BS6G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    18873999 | PA      | $18965034.20    | 0.02%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST 2025-1                                                           | T-MOBILE US TRUST 2025-1 4.74% 11/20/2029 144A                                                          | CUSIP: 872974AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7000000 | PA      | $7099647.10     | 0.01%             | 2029-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                      | CARNIVAL CORP 5.75% 03/15/2030 144A                                                                     | CUSIP: 143658BY7<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      405000 | PA      | $418858.29      | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 7.625%/VAR PERP                                                                            | CUSIP: 06738EDC6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | EP               | CORP              | GB        |     1025000 | PA      | $1088403.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                                      | DTE ENERGY CO 5.2% 04/01/2030                                                                           | CUSIP: 233331BN6<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |     9729000 | PA      | $10116254.87    | 0.01%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 01/20/2055#MB0147                                                                          | CUSIP: 3618N5EV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      268583 | PA      | $272452.68      | 0.00%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 02/20/2055#MB0203                                                                          | CUSIP: 3618N5GM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6769369 | PA      | $6692747.05     | 0.01%             | 2055-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 02/20/2055#MB0205                                                                          | CUSIP: 3618N5GP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      854450 | PA      | $866494.10      | 0.00%             | 2055-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARLSBERG BREWERIES A/S                                                            | CARLSBERG BREWERIES A/S 3.25% 02/28/2032 REGS                                                           | CUSIP: N/A<br>LEI: 5493008YL42784DMWN61       | Long             | DBT              | CORP              | DK        |      925000 | PA      | $1100511.27     | 0.00%             | 2032-02-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                         | FIRST QUANTUM MINERALS LTD 8% 03/01/2033 144A                                                           | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     1145000 | PA      | $1220134.90     | 0.00%             | 2033-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ALTDE 2025-1 TR                                                                    | ALTDE 2025-1 TR 5.9% 08/15/2050 144A                                                                    | CUSIP: 00166NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12175807 | PA      | $12520627.35    | 0.01%             | 2050-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC             | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 6.25% 03/15/2033 144A            | CUSIP: 01309QAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      395000 | PA      | $407315.86      | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.367%/VAR 02/25/2031                                                                      | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    17084000 | PA      | $17733681.29    | 0.02%             | 2031-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.785%/VAR 02/25/2036                                                                      | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     9000000 | PA      | $9428916.69     | 0.01%             | 2036-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6% 03/01/2055#RJ3645                                                                    | CUSIP: 3142GUBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13265117 | PA      | $13864810.75    | 0.01%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SELECTIVE INSURANCE GROUP INC                                                      | SELECTIVE INSURANCE GROUP INC 5.9% 04/15/2035                                                           | CUSIP: 816300AJ6<br>LEI: 549300R3WGJWLE40R258 | Long             | DBT              | CORP              | US        |     7987000 | PA      | $8428915.52     | 0.01%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 01/01/2055#SL0307                                                                        | CUSIP: 31427MKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    27972129 | PA      | $28921379.63    | 0.03%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+120 02/25/2055                                                       | CUSIP: 3136BUVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    18616311 | PA      | $18792172.13    | 0.02%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CLOVER CLO 2019-1 LTD.                                                             | CLOVER CLO 2019-1 LTD 19-1A ARR TSFR3M+100 04/18/2035 144A                                              | CUSIP: 102875AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13065000 | PA      | $13068109.47    | 0.01%             | 2035-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 5.253%/VAR 03/05/2031                                                        | CUSIP: 174610BJ3<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     8950000 | PA      | $9232483.57     | 0.01%             | 2031-03-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 5.55% 08/15/2035                                                                         | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    10800000 | PA      | $11191778.75    | 0.01%             | 2035-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                             | WESCO DISTRIBUTION INC 6.375% 03/15/2033 144A                                                           | CUSIP: 95081QAS3<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |      605000 | PA      | $630785.71      | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| 200 PARK FUNDING TRUST                                                             | 200 PARK FUNDING TRUST 5.74% 02/15/2055 144A                                                            | CUSIP: 901928AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8900000 | PA      | $8807566.83     | 0.01%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WEX INC                                                                            | WEX INC 6.5% 03/15/2033 144A                                                                            | CUSIP: 96208TAD6<br>LEI: T9M5IGROL1TL1G5OV478 | Long             | DBT              | CORP              | US        |      565000 | PA      | $567846.18      | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.786%/VAR 03/04/2029                                                                     | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4466136.80     | 0.00%             | 2029-03-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                            | BANK OF NOVA SCOTIA 3.375%/VAR 03/05/2033 REGS                                                          | CUSIP: N/A<br>LEI: L3I9ZG2KFGXZ61BMYR72       | Long             | DBT              | CORP              | CA        |     3200000 | PA      | $3813098.21     | 0.00%             | 2033-03-05      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| METRO AG                                                                           | METRO AG 4% 03/05/2030 REGS                                                                             | CUSIP: N/A<br>LEI: 5299006EQ03K3SSUYS12       | Long             | DBT              | CORP              | DE        |      675000 | PA      | $837316.20      | 0.00%             | 2030-03-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.899%/VAR 03/03/2029                                                                 | CUSIP: 404280EQ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     6458000 | PA      | $6563377.25     | 0.01%             | 2029-03-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                                                                          | OLIN CORP 6.625% 04/01/2033 144A                                                                        | CUSIP: 680665AN6<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |      525000 | PA      | $512647.49      | 0.00%             | 2033-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1                                        | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 4.41% 11/15/2027 144A                                       | CUSIP: 92887TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1207530 | PA      | $1209711.25     | 0.00%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST 2025                                                        | JOHN DEERE OWNER TRUST 2025 4.23% 03/15/2028 REGS                                                       | CUSIP: 47800DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11268753 | PA      | $11287473.72    | 0.01%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                                       | ARI FLEET LEASE TRUST 2025-A 4.38% 01/17/2034 144A                                                      | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5208001 | PA      | $5225624.72     | 0.01%             | 2034-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1                        | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.52% 10/15/2027 144A                       | CUSIP: 39154GAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9004027 | PA      | $9031796.69     | 0.01%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    22300000 | NC      | $-261973.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                                             | CCG RECEIVABLES TRUST. 4.48% 10/14/2032 144A                                                            | CUSIP: 12515XAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11561251 | PA      | $11619158.54    | 0.01%             | 2032-10-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                            | NEW FORTRESS ENERGY TERM B 1LN 10/30/2028                                                               | CUSIP: N/A<br>LEI: 254900EICTYTCHA5X705       | Long             | LON              | CORP              | US        |     1129575 | PA      | $536118.89      | 0.00%             | 2028-10-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1                                    | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1 4.8% 12/11/2037 144A                                    | CUSIP: 36271NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      750000 | PA      | $768529.05      | 0.00%             | 2037-12-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHEVRON PHIL CHEM LLC /CHEV LP                                                     | CHEVRON PHIL CHEM LLC /CHEV LP 4.75% 05/15/2030 144A                                                    | CUSIP: 166754AX9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2309000 | PA      | $2358944.32     | 0.00%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALUMINA LTD                                                                        | ALUMINA LTD 6.375% 09/15/2032 144A                                                                      | CUSIP: 02220AAB3<br>LEI: 2138002VD9MW2WT8HR38 | Long             | DBT              | CORP              | AU        |     1220000 | PA      | $1266651.58     | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 5.962% 02/15/2055 144A                                              | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7300000 | PA      | $7413594.13     | 0.01%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WALKER and DUNLOP INC                                                              | WALKER and DUNLOP INC 6.625% 04/01/2033 144A                                                            | CUSIP: 93148PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      400000 | PA      | $395365.17      | 0.00%             | 2033-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                                       | ARI FLEET LEASE TRUST 2025-A 4.7% 01/17/2034 144A                                                       | CUSIP: 04033CAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1250000 | PA      | $1272005.63     | 0.00%             | 2034-01-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXV LTD                                                | BENEFIT STREET PARTNERS CLO XXV LTD A1R TSFR3M+100 01/15/2035 144A                                      | CUSIP: 08186YAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5893000 | PA      | $5894137.35     | 0.01%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TR 2025-N1                                                | CARVANA AUTO RECEIVABLES TR 2025-N1 A3 4.91% 08/10/2029 144A                                            | CUSIP: 14688XAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6600000 | PA      | $6654323.94     | 0.01%             | 2029-08-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 6.75% 03/15/2032                                                                   | CUSIP: 682691AJ9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     1190000 | PA      | $1199237.97     | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW GOLD INC                                                                       | NEW GOLD INC 6.875% 04/01/2032 144A                                                                     | CUSIP: 644535AJ5<br>LEI: 5493005G0GNCHP0H6L96 | Long             | DBT              | CORP              | CA        |      405000 | PA      | $430406.46      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3704                                                                  | CUSIP: 3142GUDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5960754 | PA      | $6316438.52     | 0.01%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3700                                                                  | CUSIP: 3142GUDE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1713083 | PA      | $1828152.99     | 0.00%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3703                                                                  | CUSIP: 3142GUDH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5261102 | PA      | $5588189.56     | 0.01%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2025-VTT                                                   | WELLS FARGO COML MTG TR 2025-VTT A VAR 03/15/2038 144A                                                  | CUSIP: 94990GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8466000 | PA      | $8546682.67     | 0.01%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 03/01/2055#CC0116                                                                          | CUSIP: 3140Y6DW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15070230 | PA      | $15765657.83    | 0.02%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 03/01/2055#CC0136                                                                        | CUSIP: 3140Y6EJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10473634 | PA      | $11098606.59    | 0.01%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC 6.75% 04/15/2033                                                                  | CUSIP: 15089QBA1<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      425000 | PA      | $435752.93      | 0.00%             | 2033-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5% 03/01/2032 144A                                                                             | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    13403000 | PA      | $13883687.07    | 0.01%             | 2032-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.2% 03/01/2035 144A                                                                           | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    36002000 | PA      | $37278719.48    | 0.04%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.65% 05/01/2045 144A                                                                          | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     1556000 | PA      | $1592385.57     | 0.00%             | 2045-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.7% 05/01/2055 144A                                                                           | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     3104000 | PA      | $3147622.31     | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 4.8% 03/01/2030 144A                                                                           | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    15997000 | PA      | $16444830.10    | 0.02%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.8% 05/01/2065 144A                                                                           | CUSIP: 571676BD6<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      388000 | PA      | $397394.66      | 0.00%             | 2065-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC 6.5% 04/15/2030                                                                   | CUSIP: 15089QAZ7<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      615000 | PA      | $630111.17      | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                                                | AXON ENTERPRISE INC 6.125% 03/15/2030 144A                                                              | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |      515000 | PA      | $530772.39      | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                                                | AXON ENTERPRISE INC 6.25% 03/15/2033 144A                                                               | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |      475000 | PA      | $492346.53      | 0.00%             | 2033-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                                                           | ACADIA HEALTHCARE CO INC 7.375% 03/15/2033 144A                                                         | CUSIP: 00404AAQ2<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |      260000 | PA      | $268410.48      | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANKERS HEALTHCARE GROUP SECURITIZATION TRUST                                      | BANKERS HEALTHCARE GROUP SECURITIZATION TRUST 4.82% 04/17/2036 144A                                     | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1810520 | PA      | $1838747.99     | 0.00%             | 2036-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 5.5% 03/20/2054#787292                                                                          | CUSIP: 3622AC7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3786285 | PA      | $3905026.00     | 0.00%             | 2054-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 12/20/2054#787741                                                                          | CUSIP: 3622ADP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3904651 | PA      | $4034425.12     | 0.00%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 01/20/2055#787767                                                                          | CUSIP: 3622ADQU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3210574 | PA      | $3309253.39     | 0.00%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INC                                                | PUBLIC SVC ENTERPRISE GRP INC 4.9% 03/15/2030                                                           | CUSIP: 744573BA3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |     2250000 | PA      | $2316515.22     | 0.00%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 03/15/2028                                                                             | CUSIP: 91282CMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   117825400 | PA      | $118948423.34   | 0.13%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LAKESIDE PK CLO LTD / LAKESIDE PK CLO LLC                                          | LAKESIDE PK CLO LTD / LLC A TSFR3M+115 04/15/2038 144A                                                  | CUSIP: 51218YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8302000 | PA      | $8302000.00     | 0.01%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CZ030007 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      300000 | NC      | $48076.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEXT ABS 2025-1 LLC                                                                | DEXT ABS 2025-1 LLC 4.59% 08/16/2027 144A                                                               | CUSIP: 252154AB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    16763319 | PA      | $16801257.81    | 0.02%             | 2027-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY EATON VANCE CLO 2025-21 LTD / LLC                                   | MORGAN STANLEY EATON VANCE CLO 2025-21 LTD / LLC A1 TSFR3M+117 04/15/2038 144A                          | CUSIP: 617921AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13700000 | PA      | $13700000.00    | 0.01%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                             | STANDARD CHARTERED PLC 3.864%/VAR 03/17/2033 REGS                                                       | CUSIP: N/A<br>LEI: U4LOSYZ7YG4W3S5F2G91       | Long             | DBT              | CORP              | GB        |      900000 | PA      | $1082783.46     | 0.00%             | 2033-03-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| RCI BANQUE S A                                                                     | RCI BANQUE S A 4.75%/VAR 03/24/2037 REGS                                                                | CUSIP: N/A<br>LEI: 96950001WI712W7PQG45       | Long             | DBT              | CORP              | FR        |      400000 | PA      | $487497.00      | 0.00%             | 2037-03-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 4.57% 01/18/2040 144A                                                  | CUSIP: 96328GCE5<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    16024190 | PA      | $16189468.60    | 0.02%             | 2040-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                        | WAYFAIR LLC 7.75% 09/15/2030 144A                                                                       | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1367093.17     | 0.00%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                                       | ROCKIES EXPRESS PIPELINE LLC 6.75% 03/15/2033 144A                                                      | CUSIP: 77340RAU1<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      345000 | PA      | $363431.28      | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                | AMERICAN TOWER CORP 4.9% 03/15/2030                                                                     | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     7500000 | PA      | $7707203.10     | 0.01%             | 2030-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CZ030007 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      600000 | NC      | $96153.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     4300000 | NC      | $-50515.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESSEX WATER SERVS FIN PLC                                                         | WESSEX WATER SERVS FIN PLC 6.125% 09/19/2034 REGS                                                       | CUSIP: N/A<br>LEI: 213800B9BFRCA1YMEI57       | Long             | DBT              | CORP              | GB        |      850000 | PA      | $1187854.32     | 0.00%             | 2034-09-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIG COMBIBLOC PURCHASECO SARL                                                      | SIG COMBIBLOC PURCHASECO SARL 3.75% 03/19/2030 REGS                                                     | CUSIP: N/A<br>LEI: 549300Q95MWZB4BXB866       | Long             | DBT              | CORP              | LU        |      350000 | PA      | $420957.33      | 0.00%             | 2030-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO LTD                                                                  | MAGNETITE CLO LTD A1 TSFR3M+115 04/15/2038 144A                                                         | CUSIP: 55956CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8033000 | PA      | $8034871.69     | 0.01%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PBF HLDG CO LLC / PBF FIN CORP                                                     | PBF HLDG CO LLC / PBF FIN CORP 9.875% 03/15/2030 144A                                                   | CUSIP: 69318FAM0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      650000 | PA      | $689896.35      | 0.00%             | 2030-03-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                          | STELLANTIS FINANCE US INC 5.75% 03/18/2030 144A                                                         | CUSIP: 85855CAK6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |     9868000 | PA      | $10109454.27    | 0.01%             | 2030-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC                                                              | WILLIAMS SCOTSMAN INC 6.625% 04/15/2030 144A                                                            | CUSIP: 96949VAN3<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |      800000 | PA      | $828837.60      | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CZ030008 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     2000000 | NC      | $160777.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     1400000 | NC      | $-16446.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                     | EUROPEAN UNION 3.375% 12/12/2035 REGS                                                                   | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | LU        |     6900000 | PA      | $8434401.39     | 0.01%             | 2035-12-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2025-HB16                                                                     | CFMT 2025-HB16 A VAR 03/25/2035 144A                                                                    | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1904403 | PA      | $1874656.59     | 0.00%             | 2035-03-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2                                      | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2 4.67% 08/15/2029                                          | CUSIP: 80287NAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    29300000 | PA      | $29481539.87    | 0.03%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TR 2025-A                                                | CARMAX SELECT RECEIVABLES TR 2025-A 4.77% 09/17/2029                                                    | CUSIP: 14319UAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3500000 | PA      | $3535661.85     | 0.00%             | 2029-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 12/01/2053#SD4621                                                                        | CUSIP: 3132DSD25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3759832 | PA      | $3980660.07     | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 01/01/2054#SD4622                                                                        | CUSIP: 3132DSD33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9789956 | PA      | $10342926.54    | 0.01%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 12/01/2053#FS6525                                                                        | CUSIP: 3140XNHB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4061886 | PA      | $4300454.72     | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 6.5% 07/01/2054#FA0028                                                                   | CUSIP: 3140W0A62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5422066 | PA      | $5728322.74     | 0.01%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 08/01/2054#FS8620                                                                        | CUSIP: 3140XQSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7710194 | PA      | $8163040.84     | 0.01%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0443                                                                        | CUSIP: 3140QKP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    27093313 | PA      | $23910474.75    | 0.03%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATGASOLINE LLC                                                                    | NATGASOLINE TERM B 1LN 03/29/2030                                                                       | CUSIP: 63232EAD9<br>LEI: 549300OHXDYMQYZOWC24 | Long             | LON              | CORP              | US        |      210816 | PA      | $211606.19      | 0.00%             | 2030-03-29      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY562349 11/18/64 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1800000 | NC      | $272045.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMO 2025-5C9 MTG TR                                                                | BMO 2025-5C9 MTG TR 5.7785% 04/15/2058                                                                  | CUSIP: 096933AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    31400000 | PA      | $33137148.48    | 0.04%             | 2058-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| INSULET CORP                                                                       | INSULET CORP 6.5% 04/01/2033 144A                                                                       | CUSIP: 45784PAL5<br>LEI: 549300TZTYD2PYN92D43 | Long             | DBT              | CORP              | US        |      395000 | PA      | $410829.23      | 0.00%             | 2033-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES LVIII CLO LTD / ARES LVIII CLO LLC                                            | ARES LVIII CLO LTD / ARES LVIII CLO LLC A1R2 TSFR3M+124 04/15/2038 144A                                 | CUSIP: 04018AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11529000 | PA      | $11520030.44    | 0.01%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                                     | 1261229 BC LTD 10% 04/15/2032 144A                                                                      | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     1210000 | PA      | $1251300.51     | 0.00%             | 2032-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BANK 2025-BNK49                                                                    | BANK 2025-BNK49 6.025% 03/15/2058                                                                       | CUSIP: 05494FCA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $7519565.20     | 0.01%             | 2058-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-SPOT                                             | BX COMMERCIAL MORTGAGE TRUST 2025-SPOT TSFR1M+144.34 04/15/2040 144A                                    | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    32119610 | PA      | $32159759.39    | 0.03%             | 2040-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                          | SUNOCO LP 6.25% 07/01/2033 144A                                                                         | CUSIP: 86765KAD1<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      200000 | PA      | $205985.20      | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                            | ALABAMA POWER CO 5.1% 04/02/2035                                                                        | CUSIP: 010392GC6<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     8723000 | PA      | $9041641.25     | 0.01%             | 2035-04-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                                               | NEXTERA ENERGY OPERATING PARTNERS LP 8.375% 01/15/2031 144A                                             | CUSIP: 98380MAA3<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      350000 | PA      | $370597.64      | 0.00%             | 2031-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CAPSTONE COPPER CORP                                                               | CAPSTONE COPPER CORP 6.75% 03/31/2033 144A                                                              | CUSIP: 14071LAA6<br>LEI: 549300III6KGKKC42W63 | Long             | DBT              | CORP              | CA        |      620000 | PA      | $640730.32      | 0.00%             | 2033-03-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 03/31/2032                                                                             | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    85700000 | PA      | $87952972.44    | 0.09%             | 2032-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                                     | BAUSCH HEALTH TERM B 1LN 10/08/2030                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | CA        |      860912 | PA      | $837477.89      | 0.00%             | 2030-10-08      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FLAT 2025-30A                                                                      | FLAT 2025-30A A1 TSFR3M+116 04/15/2038 144A                                                             | CUSIP: 33882MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11507000 | PA      | $11507000.00    | 0.01%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FLATIRON RR CLO 30 LTD                                                             | FLATIRON RR CLO 30 LTD E TSFR3M+525 04/15/2038 144A                                                     | CUSIP: 33882NAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      200000 | PA      | $201337.60      | 0.00%             | 2038-04-15      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#CB2095                                                                          | CUSIP: 3140QMKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7606063 | PA      | $6882597.89     | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#CB2539                                                                        | CUSIP: 3140QMZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15156683 | PA      | $13338231.23    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 09/01/2051#FM8642                                                                        | CUSIP: 3140XCS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8378911 | PA      | $7368398.49     | 0.01%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 10/01/2051#FM9068                                                                        | CUSIP: 3140XDCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5119076 | PA      | $4485708.54     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.375% 05/30/2030 144A                                                      | CUSIP: 05401AAZ4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    15782000 | PA      | $16323382.26    | 0.02%             | 2030-05-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                            | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 5% 03/27/2030 144A                                              | CUSIP: 29449WAT4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    12965000 | PA      | $13280255.51    | 0.01%             | 2030-03-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLENCORE FDG LLC                                                                   | GLENCORE FDG LLC 5.186% 04/01/2030 144A                                                                 | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     4520000 | PA      | $4677068.73     | 0.01%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                                | CLYDESDALE ACQUISITION HOLDINGS INC 6.75% 04/15/2032 144A                                               | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |      605000 | PA      | $609568.11      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BW REAL ESTATE INC                                                                 | BW REAL ESTATE INC 9.5%/VAR PERP 144A                                                                   | CUSIP: 05614HAA7<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      410000 | PA      | $428903.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCHAEFFLER AG                                                                      | SCHAEFFLER AG 5.375% 04/01/2031 REGS                                                                    | CUSIP: N/A<br>LEI: 549300Q7E782X7GC1P43       | Long             | DBT              | CORP              | DE        |      400000 | PA      | $502130.80      | 0.00%             | 2031-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5%/VAR 01/31/2056                                  | CUSIP: 00774MBQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     1225000 | PA      | $1269934.23     | 0.00%             | 2056-01-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FA0995                                                                          | CUSIP: 3140W1C92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4521099 | PA      | $3801755.73     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2% 03/01/2052#                                                                           | CUSIP: 3140W04U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8166695 | PA      | $6829026.99     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2018-1                                                              | TOWD PT MTG TR 2018-1 3.25% 01/25/2058 144A                                                             | CUSIP: 89176EAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6426920 | PA      | $6319974.77     | 0.01%             | 2058-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2.5% 04/01/2052#FA0063                                                                   | CUSIP: 3140W0B95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10128728 | PA      | $8907183.79     | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                               | ROMANIA REPUBLIC OF 5.875% 07/11/2032 REGS                                                              | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     1125000 | PA      | $1423015.65     | 0.00%             | 2032-07-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.75% 04/01/2028                                                                     | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     6305000 | PA      | $6366945.30     | 0.01%             | 2028-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 5% 04/01/2030                                                                        | CUSIP: 24703TAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3232000 | PA      | $3323981.62     | 0.00%             | 2030-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORTITUDE GROUP HOLDINGS LLC                                                       | FORTITUDE GROUP HOLDINGS LLC 6.25% 04/01/2030 144A                                                      | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |    10817000 | PA      | $11235156.45    | 0.01%             | 2030-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT FUNDING 14-R LTD                                                        | OHA CREDIT FUNDING 14-R LTD A TSFR3M+123 04/20/2038 144A                                                | CUSIP: 67706QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7584000 | PA      | $7596930.72     | 0.01%             | 2038-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7110                                                                        | CUSIP: 3138WG3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      873279 | PA      | $851307.99      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7111                                                                        | CUSIP: 3138WG3V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      982871 | PA      | $957813.95      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7126                                                                        | CUSIP: 3138WG4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1009514 | PA      | $984458.93      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7140                                                                        | CUSIP: 3138WG5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      857150 | PA      | $835309.11      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#BC8289                                                                        | CUSIP: 3140F4F76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      708281 | PA      | $690680.65      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 05/01/2031#AS7145                                                                        | CUSIP: 3138WG5F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      890438 | PA      | $868346.39      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 04/01/2031#AS6933                                                                        | CUSIP: 3138WGV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      787743 | PA      | $768196.60      | 0.00%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 06/01/2031#AS7347                                                                        | CUSIP: 3138WHEV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1268960 | PA      | $1236621.35     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 06/01/2031#AS7325                                                                        | CUSIP: 3138WHD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      804879 | PA      | $784364.81      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 06/01/2031#AS7346                                                                        | CUSIP: 3138WHEU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      783531 | PA      | $764090.35      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14                                                                   | BANK5 2025-5YR14 5.646% 04/15/2058                                                                      | CUSIP: 06604MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8000000 | PA      | $8437613.60     | 0.01%             | 2058-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITYCON TREASURY BV                                                                | CITYCON TREASURY BV 5.375% 07/08/2031 REGS                                                              | CUSIP: N/A<br>LEI: 549300WAE0CGQ0IE1H63       | Long             | DBT              | CORP              | NL        |      300000 | PA      | $342974.85      | 0.00%             | 2031-07-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                   | LPL HOLDINGS INC 4.9% 04/03/2028                                                                        | CUSIP: 50212YAN4<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     3189000 | PA      | $3225902.92     | 0.00%             | 2028-04-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2055#CC0241                                                                        | CUSIP: 3140Y6HT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16813186 | PA      | $17361224.87    | 0.02%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    11300000 | NC      | $-132749.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.1% 04/15/2030                                                                             | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     4791000 | PA      | $4892833.38     | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.35% 04/15/2032                                                                            | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    17604000 | PA      | $18053834.66    | 0.02%             | 2032-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.6% 04/15/2035                                                                             | CUSIP: 704326AC1<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    14647000 | PA      | $15015310.53    | 0.02%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     3300000 | NC      | $265283.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     7100000 | NC      | $-83408.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     3000000 | NC      | $-35243.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                       | AUTOZONE INC 5.165% 06/15/2030                                                                          | CUSIP: 053332BM3<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     1476000 | PA      | $1529841.62     | 0.00%             | 2030-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                                                  | JAPAN TOBACCO INC 4.85% 05/15/2028 144A                                                                 | CUSIP: 471105AC0<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |     4109000 | PA      | $4192615.15     | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                                                  | JAPAN TOBACCO INC 5.21% 06/15/2030 144A                                                                 | CUSIP: 471105AD8<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |    10408000 | PA      | $10868761.02    | 0.01%             | 2030-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                                                  | JAPAN TOBACCO INC 5.856% 06/15/2035 144A                                                                | CUSIP: 471105AE6<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |     8260000 | PA      | $8938907.16     | 0.01%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+120 12/25/2054                                                   | CUSIP: 3136BTXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    38465232 | PA      | $38747197.21    | 0.04%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.994%/VAR 04/12/2029                                                                    | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    11745000 | PA      | $11959043.11    | 0.01%             | 2029-04-12      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.192%/VAR 04/17/2031                                                                    | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    14386000 | PA      | $14902657.22    | 0.02%             | 2031-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.664%/VAR 04/17/2036                                                                    | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    10117000 | PA      | $10691603.11    | 0.01%             | 2036-04-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.103%/VAR 04/22/2031                                                             | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    14073000 | PA      | $14594652.19    | 0.02%             | 2031-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.572%/VAR 04/22/2036                                                             | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    16715000 | PA      | $17675407.46    | 0.02%             | 2036-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTST LINE CO                                                      | TRANS-ALLEGHENY INTST LINE CO 5.2% 01/15/2031 144A                                                      | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3410000 | PA      | $3524538.87     | 0.00%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 10YR 1.5% 12/01/2031#SA0063                                                                        | CUSIP: 3132CJB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12198548 | PA      | $11642326.21    | 0.01%             | 2031-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1                                     | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.83% 10/16/2028                                         | CUSIP: 30185AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1310715 | PA      | $1314030.23     | 0.00%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1                                     | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.69% 04/15/2030                                         | CUSIP: 30185AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9175000 | PA      | $9268462.97     | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.099%/VAR 05/22/2036                                                                    | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |      400000 | PA      | $486165.88      | 0.00%             | 2036-05-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                                 | VENTURE GLOBAL PLAQUEMINES LNG LLC 7.5% 05/01/2033 144A                                                 | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      965000 | PA      | $1070502.49     | 0.00%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                                 | VENTURE GLOBAL PLAQUEMINES LNG LLC 7.75% 05/01/2035 144A                                                | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      940000 | PA      | $1066173.38     | 0.00%             | 2035-05-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 4.97%/VAR 04/23/2029                                                             | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     7235000 | PA      | $7376195.37     | 0.01%             | 2029-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.15%/VAR 04/23/2031                                                             | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    29061000 | PA      | $30084963.75    | 0.03%             | 2031-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.605%/VAR 04/23/2036                                                            | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    16834000 | PA      | $17704818.61    | 0.02%             | 2036-04-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 7.375% 04/25/2030                                                                  | CUSIP: 195325ER2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    14080000 | PA      | $14789632.00    | 0.02%             | 2030-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2052#CB3109                                                                        | CUSIP: 3140QNN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16334960 | PA      | $14370037.33    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030007 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     2800000 | NC      | $448715.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 04/30/2030                                                                             | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    27500000 | PA      | $27921093.75    | 0.03%             | 2030-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 04/30/2032                                                                                 | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   204580000 | PA      | $208503780.98   | 0.22%             | 2032-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QXO BUILDING PRODUCTS INC                                                          | QXO BUILDING PRODUCTS INC 6.75% 04/30/2032 144A                                                         | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |      595000 | PA      | $616251.02      | 0.00%             | 2032-04-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2025-B                                     | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2025-B 4.58% 09/15/2027 144A                                    | CUSIP: 44935DAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    19063419 | PA      | $19132447.26    | 0.02%             | 2027-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-2                                                                       | CARMX 2025-2 4.59% 07/17/2028                                                                           | CUSIP: 14320AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3685916 | PA      | $3696971.31     | 0.00%             | 2028-07-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                                           | DELL EQUIP FIN TR 2025-1 4.68% 07/22/2027 144A                                                          | CUSIP: 24703UAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8369719 | PA      | $8392502.31     | 0.01%             | 2027-07-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                                           | DELL EQUIP FIN TR 2025-1 4.61% 02/24/2031 144A                                                          | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8000000 | PA      | $8096604.80     | 0.01%             | 2031-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2055#SL0430                                                                          | CUSIP: 31427MPQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4733158 | PA      | $4954531.26     | 0.01%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                        | NATIONWIDE BUILDING SOC(UNGTD) 4%/VAR 07/30/2035 REGS                                                   | CUSIP: N/A<br>LEI: 549300XFX12G42QIKN82       | Long             | DBT              | CORP              | GB        |      500000 | PA      | $603504.73      | 0.00%             | 2035-07-30      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                            | JANE STREET GRP/JSG FIN 6.75% 05/01/2033 144A                                                           | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      575000 | PA      | $590055.90      | 0.00%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 5.65% 11/01/2032                                                                  | CUSIP: 595112CG6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     7400000 | PA      | $7887692.49     | 0.01%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                              | MICRON TECHNOLOGY INC 6.05% 11/01/2035                                                                  | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     7400000 | PA      | $8038481.03     | 0.01%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP REC 4.075 04/24/30                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    12620000 | NC      | $484971.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP PAY 4.075 04/24/30                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    12620000 | NC      | $332417.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN-SOUTHERN GLOBAL FUNDING                                                    | WESTERN-SOUTHERN GLOBAL FUNDING 4.9% 05/01/2030 144A                                                    | CUSIP: 95954A2A0<br>LEI: 635400PFYEGVSGK4VB37 | Long             | DBT              | CORP              | US        |      888000 | PA      | $910613.91      | 0.00%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 01/01/2055#SL0002                                                                        | CUSIP: 31427MAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10739359 | PA      | $11082705.03    | 0.01%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 5.5% 02/01/2055#FA0629                                                                   | CUSIP: 3140W0VX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15333280 | PA      | $15804450.33    | 0.02%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 6% 06/01/2054#RJ1709                                                                          | CUSIP: 3142GR3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    16595805 | PA      | $17330514.58    | 0.02%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 10/01/2051#QC9148                                                                        | CUSIP: 3133AUEV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      476567 | PA      | $417603.22      | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 04/01/2055#SL1111                                                                        | CUSIP: 31427NGV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11016321 | PA      | $11378849.48    | 0.01%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP REC 4.03 04/25/30                                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    81400000 | NC      | $3030954.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP PAY 4.03 04/25/30                                                                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    81400000 | NC      | $2197825.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMO 2025-5C10 MORTGAGE TRUST                                                       | BMO 2025-5C10 MORTGAGE TRUST 5.5784% 05/15/2058                                                         | CUSIP: 05615BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    23850000 | PA      | $25058760.93    | 0.03%             | 2058-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CZ030007 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     1150000 | NC      | $184293.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                       | ALPHABET INC 3.375% 05/06/2037                                                                          | CUSIP: 02079KAR8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      290000 | PA      | $336973.06      | 0.00%             | 2037-05-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                       | ALPHABET INC 3.875% 05/06/2045                                                                          | CUSIP: 02079KAS6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      300000 | PA      | $340525.20      | 0.00%             | 2045-05-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                       | ALPHABET INC 4% 05/06/2054                                                                              | CUSIP: 02079KAT4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      300000 | PA      | $332479.07      | 0.00%             | 2054-05-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FISERV FUNDING UNLTD CO                                                            | FISERV FUNDING UNLTD CO 3.5% 06/15/2032                                                                 | CUSIP: 337735AB0<br>LEI: 254900RNWK5SE9A0I712 | Long             | DBT              | CORP              | IE        |      733000 | PA      | $854599.37      | 0.00%             | 2032-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2025-X1                                             | AFFIRM ASSET SECURITIZATION TR 2025-X1 A 5.24% 04/15/2030 144A                                          | CUSIP: 00834MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2258598 | PA      | $2261520.79     | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5517 HF SOFR30A+135 03/25/2055                                           | CUSIP: 3137HKGX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     9885723 | PA      | $9964138.90     | 0.01%             | 2055-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 07/01/2050#CA6328                                                                        | CUSIP: 3140QEA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31240 | PA      | $27657.58       | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2050#CA6709                                                                        | CUSIP: 3140QEN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10312738 | PA      | $9130234.34     | 0.01%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 05/15/2035                                                                              | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   194731400 | PA      | $199728998.33   | 0.21%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.75% 05/15/2055                                                            | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   104793100 | PA      | $106647446.39   | 0.11%             | 2055-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+160 08/25/2054                                                       | CUSIP: 3136BVVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    18617310 | PA      | $18864542.44    | 0.02%             | 2054-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+100 10/25/2054                                                   | CUSIP: 3137HFYT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     7274344 | PA      | $7304032.92     | 0.01%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+ 12/25/2054                                                      | CUSIP: 3136BTF81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     9639947 | PA      | $9695124.30     | 0.01%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                    | PENNYMAC FINANCIAL SERVICES INC 6.875% 05/15/2032 144A                                                  | CUSIP: 70932MAG2<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      605000 | PA      | $608461.21      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-A                      | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-A 4.63% 07/20/2027 144A                     | CUSIP: 858928AB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    19056646 | PA      | $19110986.47    | 0.02%             | 2027-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 03/01/2037#FS7773                                                                          | CUSIP: 3140XPT74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      559500 | PA      | $522687.54      | 0.00%             | 2037-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 05/01/2055#CC0404                                                                          | CUSIP: 3140Y6NW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    21687352 | PA      | $22688132.45    | 0.02%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#CB3114                                                                          | CUSIP: 3140QNN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    23700811 | PA      | $21764942.88    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2052#CB3239                                                                          | CUSIP: 3140QNS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20185151 | PA      | $18574287.31    | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                                             | BOFA AUTO TRUST 2025-1 4.52% 11/22/2027 144A                                                            | CUSIP: 05594BAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8250965 | PA      | $8264002.01     | 0.01%             | 2027-11-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                                             | BOFA AUTO TRUST 2025-1 4.35% 11/20/2029 144A                                                            | CUSIP: 05594BAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8700000 | PA      | $8762391.18     | 0.01%             | 2029-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 06/01/2054#FS8226                                                                        | CUSIP: 3140XQD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14205113 | PA      | $15034989.78    | 0.02%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 6.05% 05/15/2055                                                                           | CUSIP: 20030NEQ0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    24500000 | PA      | $25086883.29    | 0.03%             | 2055-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                                           | BUILDERS FIRSTSOURCE INC 6.75% 05/15/2035 144A                                                          | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |      665000 | PA      | $693970.52      | 0.00%             | 2035-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-4                                                                       | VERUS 2025-4 A1 5.448% 05/25/2070 144A                                                                  | CUSIP: 92540UAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2088514 | PA      | $2110261.29     | 0.00%             | 2070-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 56 FC SOFR30A+150 11/25/2053                                             | CUSIP: 3136BQNC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    20669712 | PA      | $20917770.80    | 0.02%             | 2053-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 10/25/2053                                                   | CUSIP: 3137HAT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    12458477 | PA      | $12640519.05    | 0.01%             | 2053-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.623%/VAR 05/09/2029                                                       | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    38563000 | PA      | $39110328.90    | 0.04%             | 2029-05-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 4.95% 06/15/2030                                                               | CUSIP: 02666TAK3<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     2538000 | PA      | $2589839.16     | 0.00%             | 2030-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 12/01/2052#RA8306                                                                          | CUSIP: 3133KQGP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2468205 | PA      | $2579788.26     | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2053#FS5067                                                                          | CUSIP: 3140XLTZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3826760 | PA      | $3996174.21     | 0.00%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2052#SD3489                                                                          | CUSIP: 3132DQ2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14063922 | PA      | $11799869.98    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS7527                                                                          | CUSIP: 3140XPLH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10090538 | PA      | $8494512.61     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 07/01/2051#CB1142                                                                          | CUSIP: 3140QLHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26733631 | PA      | $24524981.48    | 0.03%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2052#FS8772                                                                        | CUSIP: 3140XQXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    25103787 | PA      | $21997773.59    | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 5.24%/VAR 05/13/2031                                                                  | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     9220000 | PA      | $9551603.75     | 0.01%             | 2031-05-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BCRED BSL STATIC CLO 2025-1 LTD / LLC                                              | BCRED BSL STATIC CLO 2025-1 A AR LTD / LLC AR TSFR3M+125 07/15/2035 144A                                | CUSIP: 05556KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8617135 | PA      | $8625993.22     | 0.01%             | 2035-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORPORATION                                                             | FAIR ISAAC CORPORATION 6% 05/15/2033 144A                                                               | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |     1020000 | PA      | $1030991.71     | 0.00%             | 2033-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CZ030007 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     2100000 | NC      | $336536.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+155 11/25/2053                                                   | CUSIP: 3136BQPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    24069255 | PA      | $24375457.07    | 0.03%             | 2053-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT FUNDING 22 LTD                                                          | OHA CREDIT FUNDING 22 LTD A1 TSFR3M+ 07/20/2038 144A                                                    | CUSIP: 67121HAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6319000 | PA      | $6331701.19     | 0.01%             | 2038-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RCO VIII MORTGAGE LLC 2025-3                                                       | RCO VIII MORTGAGE LLC 2025-3 VAR 05/25/2030 144A                                                        | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6440822 | PA      | $6449834.86     | 0.01%             | 2030-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 3.543%/VAR 08/14/2031 REGS                                                                 | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |     1503000 | PA      | $1799847.57     | 0.00%             | 2031-08-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+150 11/25/2053                                                   | CUSIP: 3136BQVT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    16168623 | PA      | $16363927.27    | 0.02%             | 2053-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2025-1                                                    | AUTONATION FINANCE TRUST 2025-1 4.72% 04/10/2028 144A                                                   | CUSIP: 05330QAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4921452 | PA      | $4931008.10     | 0.01%             | 2028-04-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL CORP                                                         | PINNACLE WEST CAPITAL CORP 4.9% 05/15/2028                                                              | CUSIP: 723484AM3<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |     1765000 | PA      | $1799265.52     | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL CORP                                                         | PINNACLE WEST CAPITAL CORP 5.15% 05/15/2030                                                             | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |     3419000 | PA      | $3542243.84     | 0.00%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STORAGE TECHNOLOGY PTE LTD                                            | SEAGATE DATA STORAGE TECHNOLOGY PTE LTD 5.875% 07/15/2030 144A                                          | CUSIP: 81180LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      360000 | PA      | $370495.44      | 0.00%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                            | AEP TRANSMISSION CO LLC 5.375% 06/15/2035                                                               | CUSIP: 00115AAS8<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5225113.30     | 0.01%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                      | CARNIVAL CORP 5.875% 06/15/2031 144A                                                                    | CUSIP: 143658BZ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      810000 | PA      | $846467.82      | 0.00%             | 2031-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CROWN AMERICAS LLC                                                                 | CROWN AMERICAS LLC 5.875% 06/01/2033 144A                                                               | CUSIP: 228180AC9<br>LEI: RPPGGRL1J75WGF2DFO04 | Long             | DBT              | CORP              | US        |     1440000 | PA      | $1479496.32     | 0.00%             | 2033-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H4 MTG TR                                                               | CROSS 2025-H4 MTG TR A1 VAR 06/25/2070 144A                                                             | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12901729 | PA      | $13067308.57    | 0.01%             | 2070-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2025-NQM5                                                 | BRAVO RESIDENTIAL FDG TR 2025-NQM5 A1 VAR 02/25/2065 144A                                               | CUSIP: 10569RAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15959245 | PA      | $16132995.13    | 0.02%             | 2065-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM INC 6.375% 05/31/2033 144A                                                                    | CUSIP: 893647BY2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     1240000 | PA      | $1265584.92     | 0.00%             | 2033-05-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENPRO INC                                                                          | ENPRO INC 6.125% 06/01/2033 144A                                                                        | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |      610000 | PA      | $629549.28      | 0.00%             | 2033-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 12/20/2054#787773                                                                            | CUSIP: 3622ADQ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4043720 | PA      | $4082021.51     | 0.00%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                     | MCDONALDS CORP 3.5% 05/21/2032 REGS                                                                     | CUSIP: N/A<br>LEI: UE2136O97NLB5BYP9H04       | Long             | DBT              | CORP              | US        |     1225000 | PA      | $1471100.76     | 0.00%             | 2032-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                                                           | AGREE LP 5.6% 06/15/2035                                                                                | CUSIP: 008513AF0<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |    16159000 | PA      | $17052997.16    | 0.02%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PEACHTREE CORNERS FUNDING TRUST II                                                 | PEACHTREE CORNERS FUNDING TRUST II 6.012% 05/15/2035 144A                                               | CUSIP: 70470BAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    24600000 | PA      | $25885724.90    | 0.03%             | 2035-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALA TRUST 2025-OANA                                                                | ALA TRUST 2025-OANA A VAR 06/15/2040 144A                                                               | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    69558000 | PA      | $69906972.49    | 0.07%             | 2040-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SLAM 2025-1                                                                        | SLAM 2025-1 5.807% 05/15/2050 144A                                                                      | CUSIP: 78450TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10592688 | PA      | $10947130.00    | 0.01%             | 2050-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                                                     | EUROPEAN UNION 3.75% 10/12/2045 REGS                                                                    | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | LU        |     1200000 | PA      | $1436228.18     | 0.00%             | 2045-10-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                              | TRUIST FINANCIAL CORP 5.071%/VAR 05/20/2031                                                             | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    11367000 | PA      | $11731985.96    | 0.01%             | 2031-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                                  | HERC HOLDINGS INC 7% 06/15/2030 144A                                                                    | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |      605000 | PA      | $633989.82      | 0.00%             | 2030-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                                  | HERC HOLDINGS INC 7.25% 06/15/2033 144A                                                                 | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |      575000 | PA      | $607813.53      | 0.00%             | 2033-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM8 TRUST                                                                | OBX 2025-NQM8 Trust A1 VAR 03/25/2065 144A                                                              | CUSIP: 67449AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3967018 | PA      | $4011005.39     | 0.00%             | 2065-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2                                          | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2 A1 VAR 09/25/2065 144A                                        | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9861104 | PA      | $9984619.49     | 0.01%             | 2065-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 5% 05/15/2045                                                               | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17000000 | PA      | $17970859.46    | 0.02%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM3                                                                     | MSRM 2025-NQM3 VAR 05/25/2070 144A                                                                      | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12114487 | PA      | $12259314.55    | 0.01%             | 2070-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4                                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 XA VAR 05/15/2058                                        | CUSIP: 949931AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15980183 | PA      | $665742.42      | 0.00%             | 2058-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4                                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 XB CSTR 05/15/2058                                       | CUSIP: 949931AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    40000000 | PA      | $871900.00      | 0.00%             | 2058-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FORDF 2025-1 A1                                                                    | FORDF 2025-1 A1 4.63% 04/15/2030                                                                        | CUSIP: 34529BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4985000 | PA      | $5075037.57     | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORDF 2025-1 A1                                                                    | FORDF 2025-1 A1 4.84% 04/15/2030                                                                        | CUSIP: 34529BAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2515000 | PA      | $2552606.29     | 0.00%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                                                 | AVIS BUDGET RENTCAR FDG AE LLC 4.8% 08/20/2029 144A                                                     | CUSIP: 05377RKL7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |     4510000 | PA      | $4589337.21     | 0.00%             | 2029-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SHURGARD LUXEMBOURG SARL                                                           | SHURGARD LUXEMBOURG SARL 4% 05/27/2035 REGS                                                             | CUSIP: N/A<br>LEI: 54930064DJ4U15OBV665       | Long             | DBT              | CORP              | LU        |      800000 | PA      | $955452.72      | 0.00%             | 2035-05-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                                                 | AVIS BUDGET RENTCAR FDG AE LLC 5.12% 08/20/2031 144A                                                    | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |     9957000 | PA      | $10311698.21    | 0.01%             | 2031-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FIN NETH III B V                                               | TEVA PHARMACEUTICAL FIN NETH III B V 6% 12/01/2032                                                      | CUSIP: 88167AAT8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $212230.40      | 0.00%             | 2032-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                                      | COREWEAVE INC 9.25% 06/01/2030 144A                                                                     | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |     1065000 | PA      | $1043114.04     | 0.00%             | 2030-06-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS IV BV                                      | TEVA PHARMACEUTICAL FINANCE NETHERLANDS IV BV 5.75% 12/01/2030                                          | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |     1050000 | PA      | $1089544.05     | 0.00%             | 2030-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERD 2025-1A A2                                                                    | VERD 2025-1A A2 4.85% 03/13/2028 144A                                                                   | CUSIP: 92340GAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3276795 | PA      | $3290872.71     | 0.00%             | 2028-03-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIP FIN RECEIVABLES XV LLC                                                  | AMUR EQUIP FIN RECEIVABLES XV LLC 4.7% 09/22/2031 144A                                                  | CUSIP: 03237FAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2763726 | PA      | $2793715.60     | 0.00%             | 2031-09-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 5.115%/VAR 05/23/2031                                                                 | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     9410000 | PA      | $9704721.01     | 0.01%             | 2031-05-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                         | DAVITA INC 6.75% 07/15/2033 144A                                                                        | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     1290000 | PA      | $1339385.07     | 0.00%             | 2033-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                                           | SNAM SPA 5.75% 05/28/2035 144A                                                                          | CUSIP: 83304JAB3<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |      977000 | PA      | $1032489.14     | 0.00%             | 2035-05-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC                                                             | CACI INTERNATIONAL INC 6.375% 06/15/2033 144A                                                           | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |      790000 | PA      | $813298.92      | 0.00%             | 2033-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTYS LP and RHP FIN CORP                                                | RHP HOTEL PPTYS LP and RHP FIN CORP 6.5% 06/15/2033 144A                                                | CUSIP: 749571AL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      440000 | PA      | $457067.60      | 0.00%             | 2033-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CZ030005 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    11300000 | NC      | $-14218.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     4300000 | NC      | $345671.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX TR 2025-TAIL                                                                    | BX TR 2025-TAIL A VAR 06/15/2035 144A                                                                   | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8702000 | PA      | $8702000.00     | 0.01%             | 2035-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-53 FG SOFR30A+80 08/25/2052                                           | CUSIP: 3136BNS31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    16638285 | PA      | $16585480.00    | 0.02%             | 2052-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-56 FJ SOFR30A+80 09/25/2052                                           | CUSIP: 3136BNY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    35707172 | PA      | $35593848.42    | 0.04%             | 2052-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-67 FA SOFR30A+80 10/25/2052                                           | CUSIP: 3136BPBP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    41688159 | PA      | $41555744.91    | 0.04%             | 2052-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-64 GF SOFR30A+80 10/25/2052                                           | CUSIP: 3136BPDD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    11604912 | PA      | $11564076.29    | 0.01%             | 2052-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FLUXYS SA                                                                          | FLUXYS SA 4% 11/28/2030 REGS                                                                            | CUSIP: N/A<br>LEI: 529900UEWUHSPPJQ1R79       | Long             | DBT              | CORP              | BE        |     1700000 | PA      | $2063551.94     | 0.00%             | 2030-11-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                | AMERICAN TOWER CORP 3.625% 05/30/2032                                                                   | CUSIP: 03027XCQ1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     1150000 | PA      | $1384644.07     | 0.00%             | 2032-05-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 25-3A                                          | EXETER AUTOMOBILE RECEIVABLES TRUST 25-3A 4.78% 07/16/2029                                              | CUSIP: 30166XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14532000 | PA      | $14631308.78    | 0.02%             | 2029-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-P1                                      | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-P1 4.58% 06/15/2029 144A                                     | CUSIP: 96043LAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6000000 | PA      | $6053018.40     | 0.01%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OHIO EDISON CO                                                                     | OHIO EDISON CO 4.95% 12/15/2029 144A                                                                    | CUSIP: 677347CJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4124000 | PA      | $4237528.52     | 0.00%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMURFIT KAPPA TREASURY                                                             | SMURFIT KAPPA TREASURY 5.438% 04/03/2034                                                                | CUSIP: 83272GAE1<br>LEI: 635400B3DOXSWFOWJT40 | Long             | DBT              | CORP              | IE        |    10500000 | PA      | $10943874.90    | 0.01%             | 2034-04-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMURFIT WESTROCK FIN                                                               | SMURFIT WESTROCK FIN 5.418% 01/15/2035                                                                  | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |     6624000 | PA      | $6874842.20     | 0.01%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2% 01/25/2045                                                            | CUSIP: 3137FU4N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     6928654 | PA      | $6622965.72     | 0.01%             | 2045-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 05/31/2032                                                                             | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   338481000 | PA      | $347277511.92   | 0.37%             | 2032-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                                       | AMPRION GMBH 3.875% 06/05/2036 REGS                                                                     | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |      900000 | PA      | $1079687.93     | 0.00%             | 2036-06-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 5.45% 07/15/2030                                                               | CUSIP: 37045XFJ0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3135380.94     | 0.00%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FLORIDA GAS TRANSMISSION CO LLC                                                    | FLORIDA GAS TRANSMISSION CO LLC 5.75% 07/15/2035 144A                                                   | CUSIP: 340711BC3<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |    13350000 | PA      | $14080531.36    | 0.02%             | 2035-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     2900000 | NC      | $-34068.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873245 04/17/65 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |         999 | NC      | $-5.33          | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FLATIRON CLO 23 LLC                                                                | FLATIRON CLO 23-1A AR LLC TSFR3M+124 04/17/2036 144A                                                    | CUSIP: 33883DAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8102000 | PA      | $8115546.54     | 0.01%             | 2036-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS 7.05%/VAR PERP                                                                            | CUSIP: 404280FA2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | EP               | CORP              | GB        |      815000 | PA      | $853872.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 5.1% 07/15/2032                                                             | CUSIP: 92277GBB2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    14363000 | PA      | $14849231.64    | 0.02%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-5                                                  | VERUS SECURITIZATION TRUST 2025-5 A1 VAR 06/25/2070 144A                                                | CUSIP: 92540XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    16815441 | PA      | $16987753.39    | 0.02%             | 2070-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM10                                                                     | OBX 2025-NQM10 A1 STEP 05/25/2056 144A                                                                  | CUSIP: 67121LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17497699 | PA      | $17687300.96    | 0.02%             | 2065-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNE 2023-36A                                                                     | MAGNE 2023-36A AR TSFR3M+132 07/25/2038 144A                                                            | CUSIP: 559922AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11611000 | PA      | $11660137.75    | 0.01%             | 2038-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     8200000 | NC      | $-96331.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 4.62% 04/25/2030                                                             | CUSIP: 3136BV4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    77705000 | PA      | $79932654.71    | 0.09%             | 2030-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                                          | IQVIA INC 6.25% 06/01/2032 144A                                                                         | CUSIP: 46266TAG3<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |     1140000 | PA      | $1172690.64     | 0.00%             | 2032-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RIVIAN HOLDCO and RIVIAN LLC and RIVIAN AUTOMOTIVE LLC                             | RIVIAN HOLDCO and RIVIAN LLC and RIVIAN AUTOMOTIVE LLC 10% 01/15/2031 144A                              | CUSIP: 76954LAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      410000 | PA      | $387811.32      | 0.00%             | 2031-01-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| RALPH LAUREN CORP                                                                  | RALPH LAUREN CORP 5% 06/15/2032                                                                         | CUSIP: 751212AD3<br>LEI: HO1QNWM0IXBZ0QSMMO20 | Long             | DBT              | CORP              | US        |     7300000 | PA      | $7597574.86     | 0.01%             | 2032-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JH NORTH AMERICA HOLDINGS INC                                                      | JH NORTH AMERICA HOLDINGS INC 6.125% 07/31/2032 144A                                                    | CUSIP: 46593WAB1<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |      830000 | PA      | $851873.82      | 0.00%             | 2032-07-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORP                        | ALLIED UNVL HOLDCO LLC / ALLIED UNVL FIN CORP 6.875% 06/15/2030 144A                                    | CUSIP: 019576AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      590000 | PA      | $614102.68      | 0.00%             | 2030-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL FUNDING                                                   | EQUITABLE AMERICA GLOBAL FUNDING 4.95% 06/09/2030 144A                                                  | CUSIP: 29446Q2B8<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |    16856000 | PA      | $17221323.29    | 0.02%             | 2030-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL FUNDING                                                   | EQUITABLE AMERICA GLOBAL FUNDING 4.65% 06/09/2028 144A                                                  | CUSIP: 29446Q2A0<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |     3603000 | PA      | $3644132.75     | 0.00%             | 2028-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-B                                                      | OPORTUN ISSUANCE TRUST 2025-B 4.88% 05/09/2033 144A                                                     | CUSIP: 68378QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12300000 | PA      | $12372063.24    | 0.01%             | 2033-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                    | PHILIP MORRIS INTL INC 3.25% 06/06/2032                                                                 | CUSIP: 718172DW6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     2575000 | PA      | $3043709.64     | 0.00%             | 2032-06-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 06/01/2055#CC0577                                                                          | CUSIP: 3140Y6UB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    33145327 | PA      | $34729223.04    | 0.04%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3                                                                     | PRET 2025-RPL3 A1 STEP 4.15% 04/25/2065 144A                                                            | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    13771544 | PA      | $13581414.45    | 0.01%             | 2065-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROCKET COMPANIES INC                                                               | ROCKET COS INC 6.125% 08/01/2030 144A                                                                   | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1025000 | PA      | $1051602.85     | 0.00%             | 2030-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROCKET COMPANIES INC                                                               | ROCKET COS INC 6.375% 08/01/2033 144A                                                                   | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1430000 | PA      | $1477933.40     | 0.00%             | 2033-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-2                                                                        | SCLP 2025-2 4.82% 06/25/2034 144A                                                                       | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    15571634 | PA      | $15654109.36    | 0.02%             | 2034-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2025-BNK50                                                                    | BANK 2025-BNK50 5.354% 05/15/2068                                                                       | CUSIP: 064908AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10200000 | PA      | $10711804.38    | 0.01%             | 2068-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                                                               | ZF EUROPE FINANCE BV 7% 06/12/2030 REGS                                                                 | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |      400000 | PA      | $507833.86      | 0.00%             | 2030-06-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON POWER NETWORKS PLC                                                          | LONDON POWER NETWORKS PLC 3.837% 06/11/2037 REGS                                                        | CUSIP: N/A<br>LEI: 213800JDI3GTKPG4XI38       | Long             | DBT              | CORP              | GB        |      750000 | PA      | $895106.58      | 0.00%             | 2037-06-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUBLICIS GROUPE SA                                                                 | PUBLICIS GROUPE SA 3.375% 06/12/2032 REGS                                                               | CUSIP: N/A<br>LEI: 2138004KW8BV57III342       | Long             | DBT              | CORP              | FR        |      900000 | PA      | $1064983.30     | 0.00%             | 2032-06-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 4.9% 09/15/2030                                                                          | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     9737000 | PA      | $9999262.88     | 0.01%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 5.65% 02/15/2036                                                                         | CUSIP: 87612GAQ4<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    20671000 | PA      | $21493129.91    | 0.02%             | 2036-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6.5% 06/01/2055#RJ4396                                                                  | CUSIP: 3142GU3E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17228063 | PA      | $18315300.10    | 0.02%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC / ACRISURE FINANCE INC                                                | ACRISURE LLC / ACRISURE FINANCE INC 6.75% 07/01/2032 144A                                               | CUSIP: 004961AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      205000 | PA      | $201053.38      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTF 2025-A                                                                       | WESTF 2025-A 5.582% 06/15/2050 144A                                                                     | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    18047423 | PA      | $18479292.20    | 0.02%             | 2050-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2052#SD2072                                                                          | CUSIP: 3132DPJR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4953219 | PA      | $4165121.90     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| X AI LLC                                                                           | X.AI TERM B 1LN 06/28/2030                                                                              | CUSIP: 98402XAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      134437 | PA      | $139262.17      | 0.00%             | 2030-06-28      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| X AI LLC                                                                           | X.AI TERM 1LN 06/28/2030                                                                                | CUSIP: 98402XAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      289061 | PA      | $327301.13      | 0.00%             | 2030-06-28      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     3300000 | NC      | $265283.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                             | SAMMONS FINANCIAL GROUP GLOBAL FUNDING 4.95% 06/12/2030 144A                                            | CUSIP: 79587J2C6<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |    20600000 | PA      | $20965279.61    | 0.02%             | 2030-06-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WHIRLPOOL CORP                                                                     | WHIRLPOOL CORP 6.125% 06/15/2030                                                                        | CUSIP: 963320BD7<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |      230000 | PA      | $231032.24      | 0.00%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WHIRLPOOL CORP                                                                     | WHIRLPOOL CORP 6.5% 06/15/2033                                                                          | CUSIP: 963320BE5<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |     1115000 | PA      | $1112709.34     | 0.00%             | 2033-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 11/25/2053                                                   | CUSIP: 3137HAXC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    39635919 | PA      | $40081747.64    | 0.04%             | 2053-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2023-53 FP SOFR30A+155 11/25/2053                                        | CUSIP: 3136BQTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    38531563 | PA      | $39021387.85    | 0.04%             | 2053-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VEOLIA ENVIRONNEMENT SA                                                            | VEOLIA ENVIRONNEMENT SA 3.324% 06/17/2032 REGS                                                          | CUSIP: N/A<br>LEI: 969500LENY69X51OOT31       | Long             | DBT              | CORP              | FR        |     2200000 | PA      | $2618415.21     | 0.00%             | 2032-06-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 4.818%/VAR 06/13/2029                                                          | CUSIP: 539439BD0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     5000000 | PA      | $5084624.00     | 0.01%             | 2029-06-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GLOBAL PARTNERS LP / GLP FIN CORP                                                  | GLOBAL PARTNERS LP / GLP FIN CORP 7.125% 07/01/2033 144A                                                | CUSIP: 37954FAL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      155000 | PA      | $160372.61      | 0.00%             | 2033-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4                           | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4 5.588% 06/25/2070 144A                         | CUSIP: 617945AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5804672 | PA      | $5881307.13     | 0.01%             | 2070-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                  | EURO-BOBL FUTURE MAR26 OEH6                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |           6 | NC      | $6250.31        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 3.375% 06/20/2031                                                                    | CUSIP: 756109CU6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |      900000 | PA      | $1072239.17     | 0.00%             | 2031-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                                | BROWN and BROWN INC 4.9% 06/23/2030                                                                     | CUSIP: 115236AK7<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     7661000 | PA      | $7787887.84     | 0.01%             | 2030-06-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                                | BROWN and BROWN INC 5.25% 06/23/2032                                                                    | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     4899000 | PA      | $4991208.19     | 0.01%             | 2032-06-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                                | BROWN and BROWN INC 5.55% 06/23/2035                                                                    | CUSIP: 115236AM3<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     5476000 | PA      | $5586929.36     | 0.01%             | 2035-06-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BROWN and BROWN INC                                                                | BROWN and BROWN INC 6.25% 06/23/2055                                                                    | CUSIP: 115236AN1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     5558000 | PA      | $5676168.14     | 0.01%             | 2055-06-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SANTANDER MTG ASSET RECEIVABLES TR 2025-NQM3                                       | SANTANDER MTG ASSET RECEIVABLES TR 2025-NQM3 A1 5.816% 05/25/2065 144A                                  | CUSIP: 80263AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14691713 | PA      | $14882252.83    | 0.02%             | 2065-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                                                           | EUROPEAN INVESTMENT BANK 2.875% 06/18/2035 REGS                                                         | CUSIP: N/A<br>LEI: 5493006YXS1U5GIHE750       | Long             | DBT              | CORP              | LU        |     1715000 | PA      | $2037222.66     | 0.00%             | 2035-06-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                                                               | VOLKSWAGEN BANK GMBH 3.5% 06/19/2031 REGS                                                               | CUSIP: N/A<br>LEI: 529900GJD3OQLRZCKW37       | Long             | DBT              | CORP              | DE        |      700000 | PA      | $836914.47      | 0.00%             | 2031-06-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                  | EURO-BUND FUTURE MAR26 RXH6                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          11 | NC      | $28916.99       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1                                            | ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1 4.82% 07/14/2038 144A                                           | CUSIP: 68270DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2000000 | PA      | $2038125.20     | 0.00%             | 2038-07-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5330 FA SOFR30A+105 08/25/2053                                           | CUSIP: 3137HAFW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     8048180 | PA      | $8103072.04     | 0.01%             | 2053-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5425 FK SOFR30A+120 06/25/2054                                           | CUSIP: 3137HCYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     5671419 | PA      | $5723733.75     | 0.01%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+105 04/25/2055                                                   | CUSIP: 3137HKUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     7255423 | PA      | $7296473.14     | 0.01%             | 2055-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                | AFFIRM MASTER TRUST 4.67% 07/15/2033 144A                                                               | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    23835000 | PA      | $24004979.30    | 0.03%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 4.9% 06/20/2030                                                                            | CUSIP: 29250NCJ2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    11871000 | PA      | $12229033.28    | 0.01%             | 2030-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 5.55% 06/20/2035                                                                           | CUSIP: 29250NCK9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     9900000 | PA      | $10380785.18    | 0.01%             | 2035-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XX LTD                                                            | SIXTH STREET CLO XX LTD 2021-20A A1R TSFR3M+132 07/17/2038 144A                                         | CUSIP: 83012QAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9562000 | PA      | $9597637.57     | 0.01%             | 2038-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                              | LEVEL 3 FINANCING INC 6.875% 06/30/2033 144A                                                            | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     1470000 | PA      | $1522442.25     | 0.00%             | 2033-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUPERNOVA INVEST GMBH                                                              | SUPERNOVA INVEST GMBH 5% 06/24/2030 REGS                                                                | CUSIP: N/A<br>LEI: 5299008Z5M2L56PLUX74       | Long             | DBT              | CORP              | AT        |      275000 | PA      | $336935.97      | 0.00%             | 2030-06-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                             | UNITEDHEALTH GROUP INC 4.65% 01/15/2031                                                                 | CUSIP: 91324PFP2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    11510000 | PA      | $11764838.19    | 0.01%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                             | UNITEDHEALTH GROUP INC 5.3% 06/15/2035                                                                  | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     7470000 | PA      | $7794793.81     | 0.01%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                             | UNITEDHEALTH GROUP INC 5.95% 06/15/2055                                                                 | CUSIP: 91324PFR8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     5201000 | PA      | $5386166.21     | 0.01%             | 2055-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PROOFPOINT INC                                                                     | PROOFPOINT TERM 1LN 08/31/2028                                                                          | CUSIP: N/A<br>LEI: 529900C5FODDK0WSR085       | Long             | LON              | CORP              | US        |     1747413 | PA      | $1670142.16     | 0.00%             | 2028-08-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BEACH ACQUISITION BIDCO LLC                                                        | SKECHERS TERM B 1LN 09/13/2032                                                                          | CUSIP: 07337FAB1<br>LEI: 254900F2FNX3GBTB6202 | Long             | LON              | CORP              | US        |       60000 | PA      | $60075.00       | 0.00%             | 2032-09-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2054#FS8627                                                                        | CUSIP: 3140XQSR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6820105 | PA      | $7205222.23     | 0.01%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES CLO                                                                           | ARES CLO AR2 TSFR3M+131 07/15/2038 144A                                                                 | CUSIP: 04017WAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    21989000 | PA      | $22070117.42    | 0.02%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 06/30/2032                                                                                 | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    82300000 | PA      | $83849554.28    | 0.09%             | 2032-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 06/30/2030                                                                             | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   224000000 | PA      | $227491250.56   | 0.24%             | 2030-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0506                                                                        | CUSIP: 3140QKR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    34468476 | PA      | $30419226.48    | 0.03%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 06/20/2055#MB0421                                                                            | CUSIP: 3618N5PF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31734 | PA      | $30540.18       | 0.00%             | 2055-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| X.AI LLC / X.AI CO ISSUER CO                                                       | X.AI LLC / X.AI CO ISSUER CO 12.5% 06/30/2030 144A                                                      | CUSIP: 983984AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      925000 | PA      | $1053493.60     | 0.00%             | 2030-06-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                                            | CAN 10YR BOND FUT JUN26 CNM6                                                                            | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |          54 | NC      | $16525.07       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL BANK OF CANADA                                                               | ROYAL BANK OF CANADA 3.125%/VAR 09/27/2031 REGS                                                         | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Long             | DBT              | CORP              | CA        |     1440000 | PA      | $1712853.13     | 0.00%             | 2031-09-27      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 7.45%/VAR PERP 144A                                                                         | CUSIP: 05602XQQ4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | EP               | CORP              | FR        |      615000 | PA      | $649772.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                        | IMPERIAL BRANDS FINANCE PLC 4.5% 06/30/2028 144A                                                        | CUSIP: 45262BAJ2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     3100000 | PA      | $3132398.29     | 0.00%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TELUS CORPORATION                                                                  | TELUS CORPORATION 6.625%/VAR 10/15/2055                                                                 | CUSIP: 87971MCL5<br>LEI: 894500WE70KKZRQMBU11 | Long             | DBT              | CORP              | CA        |      330000 | PA      | $340763.94      | 0.00%             | 2055-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TELUS CORPORATION                                                                  | TELUS CORPORATION 7%/VAR 10/15/2055                                                                     | CUSIP: 87971MCM3<br>LEI: 894500WE70KKZRQMBU11 | Long             | DBT              | CORP              | CA        |      495000 | PA      | $522351.23      | 0.00%             | 2055-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                                 | ATHENE HOLDING LTD T5Y+NA 06/28/2055                                                                    | CUSIP: 04686JAM3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1059459.01     | 0.00%             | 2055-06-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1% 01/25/2051                                                            | CUSIP: 3137F85N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     1472899 | PA      | $1171495.88     | 0.00%             | 2051-01-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LN FDG 2025-2 LTD / PALMER SQUARE LN FDG 2025-2 LLC                  | PALMER SQUARE LN FDG LTD 2025-2A A1 TSFR3M+94 07/15/2033 144A                                           | CUSIP: 69704AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    22149597 | PA      | $22163130.30    | 0.02%             | 2033-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FINANCE CORP                         | DELEK LOGISTICS PARTNERS LP / DELEK LOGISTICS FINANCE CORP 7.375% 06/30/2033 144A                       | CUSIP: 24665FAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      335000 | PA      | $346491.17      | 0.00%             | 2033-06-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                                                 | PRPM 2025-RCF3 A1 LLC VAR 07/25/2055 144A                                                               | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7672568 | PA      | $7711313.25     | 0.01%             | 2055-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHAMPION IRON CANADA INC                                                           | CHAMPION IRON CANADA INC 7.875% 07/15/2032 144A                                                         | CUSIP: 15853BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      410000 | PA      | $436070.26      | 0.00%             | 2032-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                         | MIZUHO FINL GROUP INC 4.711%/VAR 07/08/2031                                                             | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    20356000 | PA      | $20756721.70    | 0.02%             | 2031-07-08      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 4.625% 06/30/2030                                                                      | CUSIP: 969457CR9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     9576000 | PA      | $9741072.24     | 0.01%             | 2030-06-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.3% 09/30/2035                                                                        | CUSIP: 969457CS7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8214478.56     | 0.01%             | 2035-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                         | MIZUHO FINL GROUP INC 5.323%/VAR 07/08/2036                                                             | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    10000000 | PA      | $10363614.90    | 0.01%             | 2036-07-08      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                           | WARNERMEDIA HOLDINGS INC 5.05% 03/15/2042                                                               | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     1505000 | PA      | $1079837.50     | 0.00%             | 2042-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 32 LTD                                                                | FLATIRON CLO 32 LTD 32A A1 TSFR3M+129 10/22/2038 144A                                                   | CUSIP: 33882RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11629000 | PA      | $11661630.97    | 0.01%             | 2038-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                           | WARNERMEDIA HOLDINGS INC 3.755% 03/15/2027                                                              | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     1531000 | PA      | $1526238.59     | 0.00%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2025-1                                                      | MARLETTE FUNDING TRUST 2025-1A A 4.75% 07/16/2035 144A                                                  | CUSIP: 570920AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1549895 | PA      | $1552180.12     | 0.00%             | 2035-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                       | DISCOVERY COMMUNICATIONS LLC 3.95% 03/20/2028                                                           | CUSIP: 25470DBS7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     6489000 | PA      | $6449092.65     | 0.01%             | 2028-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                                 | VENTURE GLOBAL PLAQUEMINES LNG LLC 6.5% 01/15/2034 144A                                                 | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      820000 | PA      | $862983.58      | 0.00%             | 2034-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                                 | VENTURE GLOBAL PLAQUEMINES LNG LLC 6.75% 01/15/2036 144A                                                | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      820000 | PA      | $873473.02      | 0.00%             | 2036-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCWEN LOAN INVESTMENT TRUST                                                        | OCWEN LOAN INVESTMENT TRUST HB1 A VAR 06/25/2038 144A                                                   | CUSIP: 68278EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5186066 | PA      | $5106454.65     | 0.01%             | 2038-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                           | WARNERMEDIA HOLDINGS INC 4.279% 03/15/2032                                                              | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      345000 | PA      | $316537.50      | 0.00%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                   | HILTON DOMESTIC OPERATING CO INC 5.75% 09/15/2033 144A                                                  | CUSIP: 432833AS0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     1245000 | PA      | $1274456.70     | 0.00%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2055#CC0736                                                                        | CUSIP: 3140Y6ZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5123879 | PA      | $5452042.77     | 0.01%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2055#CC0718                                                                          | CUSIP: 3140Y6YQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14966813 | PA      | $15677345.58    | 0.02%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                                               | CENT TRUST 2025-CITY A VAR 07/10/2040 144A                                                              | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    23210000 | PA      | $23793501.72    | 0.03%             | 2040-07-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FS9709                                                                          | CUSIP: 3140XRYF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    23429535 | PA      | $21581720.18    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2055#CC0730                                                                          | CUSIP: 3140Y6Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    38757718 | PA      | $39990732.97    | 0.04%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#SL0417                                                                          | CUSIP: 31427MPB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15456064 | PA      | $14111511.93    | 0.02%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#FA1625                                                                          | CUSIP: 3140W1YX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17645926 | PA      | $16110873.08    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STORAGE TECHNOLOGY PTE LTD                                            | SEAGATE DATA STORAGE TECHNOLOGY PTE LTD 8.25% 12/15/2029 144A                                           | CUSIP: 81180LAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     2115000 | PA      | $2231661.29     | 0.00%             | 2029-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 5.725% 03/15/2035                                                                      | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    19712000 | PA      | $20395423.91    | 0.02%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                                               | CENT TRUST 2025-CITY VAR 07/10/2040 144A                                                                | CUSIP: 12517TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   258988000 | PA      | $1693159.95     | 0.00%             | 2040-07-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-6                                                  | VERUS SECURITIZATION TRUST 2025-6 A1 STEP 07/25/2070 144A                                               | CUSIP: 92540YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12081620 | PA      | $12212902.10    | 0.01%             | 2070-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6% 04/01/2055#RJ4028                                                                    | CUSIP: 3142GUPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4579360 | PA      | $4787816.63     | 0.01%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XVII CLO LTD                                                             | CEDAR FDG XVII CLO LTD AR TSFR3M+135 07/20/2038 144A                                                    | CUSIP: 15033PAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    21114000 | PA      | $21185808.71    | 0.02%             | 2038-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                                                             | LOGICOR FINANCING SARL 3.75% 07/14/2032 REGS                                                            | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |      370000 | PA      | $440900.21      | 0.00%             | 2032-07-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                      | CARNIVAL CORP 5.75% 08/01/2032 144A                                                                     | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      330000 | PA      | $342473.67      | 0.00%             | 2032-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 4.6% 07/15/2030                                                                            | CUSIP: 11135FCK5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    10250000 | PA      | $10480340.77    | 0.01%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 4.9% 07/15/2032                                                                            | CUSIP: 11135FCL3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    10200000 | PA      | $10505708.38    | 0.01%             | 2032-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 4.9% 10/10/2030 144A                                                        | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    10000000 | PA      | $10142261.20    | 0.01%             | 2030-10-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 3.678% 07/16/2033 REGS                                                                 | CUSIP: N/A<br>LEI: 3538007PR116187GD960       | Long             | DBT              | CORP              | JP        |      600000 | PA      | $722026.76      | 0.00%             | 2033-07-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 4.62% 07/16/2028 144A                                                                  | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     3778000 | PA      | $3835075.38     | 0.00%             | 2028-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 4.567% 07/16/2027 144A                                                                 | CUSIP: 62954WAP0<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     3278000 | PA      | $3307736.15     | 0.00%             | 2027-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 4.876% 07/16/2030 144A                                                                 | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    13593000 | PA      | $13945378.27    | 0.01%             | 2030-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 5.171% 07/16/2032 144A                                                                 | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    16350000 | PA      | $16903329.45    | 0.02%             | 2032-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 5.502% 07/16/2035 144A                                                                 | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     6100000 | PA      | $6373026.48     | 0.01%             | 2035-07-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GULFSTREAM NATURAL GAS SYSTEM LLC                                                  | GULFSTREAM NAT GAS SYS LLC 5.6% 07/23/2035 144A                                                         | CUSIP: 402740AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8514000 | PA      | $8868709.08     | 0.01%             | 2035-07-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENFRAGEN ENERGIA SUR SAU/ ENFRAGEN CHILE SPA/ ENFRAGEN SPAIN SAU                   | ENFRAGEN ENERGIA SUR SAU/ ENFRAGEN CHILE SPA/ ENFRAGEN SPAIN SAU 8.499% 06/30/2032 144A                 | CUSIP: 29281MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |      205000 | PA      | $214012.83      | 0.00%             | 2032-06-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2025-C35                                                              | BBCMS MTG TR 2025-C35 A5 VAR 07/15/2058                                                                 | CUSIP: 07337DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15070000 | PA      | $16193760.86    | 0.02%             | 2058-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2025-44                                                                    | OCP CLO 2025-44 LTD A TSFR3M+130 10/24/2038 144A                                                        | CUSIP: 67570UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12276000 | PA      | $12304234.80    | 0.01%             | 2038-10-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXII LTD                                               | BENEFIT STREET PARTNERS CLO XXII LTD AR2 TSFR3M+115 04/20/2035 144A                                     | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10670000 | PA      | $10683294.82    | 0.01%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ACCENTRO EAST HOLDING GMBH                                                         | ACCENTRO EAST HOLDING GMBH PIK 6% 06/30/2027                                                            | CUSIP: N/A<br>LEI: 89450079WA652Y9PWZ14       | Long             | DBT              | CORP              | DE        |      100000 | PA      | $118160.00      | 0.00%             | 2027-06-30      | Fixed         | 0.06%                 | No            |                  3 | On Loan: No      |
| MACYS RETAIL HOLDINGS LLC                                                          | MACYS RETAIL HOLDINGS LLC 7.375% 08/01/2033 144A                                                        | CUSIP: 55617LAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      325000 | PA      | $340480.23      | 0.00%             | 2033-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2025-CP1                                                           | NYMT LOAN TRUST 2025-CP1 A1 3.75% 11/25/2069 144A                                                       | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11482322 | PA      | $11244478.24    | 0.01%             | 2069-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD / AIRCASTLE IRELAND DAC                                              | AIRCASTLE LTD / AIRCASTLE IRELAND DAC 5% 09/15/2030 144A                                                | CUSIP: 00929JAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    10500000 | PA      | $10735872.21    | 0.01%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                                    | ALLEGRO CLO LTD 2021-1A A1R TSFR3M+134 07/20/2038 144A                                                  | CUSIP: 01750WAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8250000 | PA      | $8276796.00     | 0.01%             | 2038-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                       | UNIVISION COMMUNICATIONS INC 9.375% 08/01/2032 144A                                                     | CUSIP: 914906BA9<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      415000 | PA      | $439139.03      | 0.00%             | 2032-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-3                                                                       | CARMX 2025-3 4.42% 08/15/2028                                                                           | CUSIP: 14290FAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4552274 | PA      | $4561844.04     | 0.00%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                                               | VERIZON MASTER TRUST 4.62% 06/21/2033 144A                                                              | CUSIP: 92348KEK5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10000000 | PA      | $10301937.00    | 0.01%             | 2033-06-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE PLC                                                        | YORKSHIRE WATER FINANCE PLC 6% 07/22/2033 REGS                                                          | CUSIP: N/A<br>LEI: 213800O8BDOGHJMTCP32       | Long             | DBT              | CORP              | GB        |      850000 | PA      | $1178526.16     | 0.00%             | 2033-07-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REACH ABS TR 2025-2                                                                | REACH ABS TR 2025-2 4.93% 08/18/2032 144A                                                               | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14708145 | PA      | $14775465.31    | 0.02%             | 2032-08-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                                 | CONAGRA BRANDS INC 5% 08/01/2030                                                                        | CUSIP: 205887CK6<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6633736.98     | 0.01%             | 2030-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AECOM                                                                              | AECOM 6% 08/01/2033 144A                                                                                | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |     1240000 | PA      | $1266984.88     | 0.00%             | 2033-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FA2169                                                                          | CUSIP: 3140W2MT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10443830 | PA      | $8788660.26     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.296%/VAR 07/23/2036                                                                     | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | Long             | DBT              | CORP              | US        |      600000 | PA      | $720275.24      | 0.00%             | 2036-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FUNDING LLC                                                           | JERSEY MIKES FDG LLC 5.61% 08/16/2055 144A                                                              | CUSIP: 476681AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8586850 | PA      | $8904280.08     | 0.01%             | 2055-08-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC T5Y+289 6.875%/VAR PERP                                                                   | CUSIP: 17327CBC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EP               | CORP              | US        |      825000 | PA      | $845749.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 4.41% 05/18/2040 144A                                                  | CUSIP: 96328GCK1<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     2474000 | PA      | $2498624.96     | 0.00%             | 2040-05-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NA                                                     | MORGAN STANLEY PRIVATE BANK NA 4.734%/VAR 07/18/2031                                                    | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     6130000 | PA      | $6242158.10     | 0.01%             | 2031-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTIONS INC                                                    | STANDARD BUILDING SOLUTIONS INC 6.25% 08/01/2033 144A                                                   | CUSIP: 853191AC8<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |      415000 | PA      | $422740.58      | 0.00%             | 2033-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SYMETRA LIFE INSURANCE CO                                                          | SYMETRA LIFE INSURANCE CO 6.55% 10/01/2055 144A                                                         | CUSIP: 87151KAA7<br>LEI: 2CKADF5K7JYB5EG0VY36 | Long             | DBT              | CORP              | US        |     3667000 | PA      | $3811257.51     | 0.00%             | 2055-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2                                     | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 4.43% 08/15/2030                                         | CUSIP: 30185EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8795000 | PA      | $8865643.20     | 0.01%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2                                     | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 4.54% 06/15/2029                                         | CUSIP: 30185EAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1416057 | PA      | $1419672.27     | 0.00%             | 2029-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 07/20/2055#MB0485                                                                          | CUSIP: 3618N5RF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6003816 | PA      | $6086565.10     | 0.01%             | 2055-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORPORATION                                               | OLYMPUS WATER US HOLDING CORPORATION 6.75% 08/01/2032 144A                                              | CUSIP: 46150DAA0<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |      210000 | PA      | $206726.15      | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT VAR 06/25/2030                                                           | CUSIP: 3137HMC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18082000 | PA      | $18458959.07    | 0.02%             | 2030-06-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                                      | COREWEAVE INC 9% 02/01/2031 144A                                                                        | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      700000 | PA      | $675406.40      | 0.00%             | 2031-02-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC NV                                                      | GOLDEN NUGGET TERM B 1LN 01/29/2029                                                                     | CUSIP: 31556PAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1225451 | PA      | $1217436.58     | 0.00%             | 2029-01-29      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 6.25%/VAR PERP                                                              | CUSIP: 06055HAK9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |     1475000 | PA      | $1517719.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                                | AMERICAN EXPRESS CO 4.918%/VAR 07/20/2033                                                               | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     6899000 | PA      | $7067140.36     | 0.01%             | 2033-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT VAR 07/25/2030                                                           | CUSIP: 3137HMCE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    21856000 | PA      | $22262545.64    | 0.02%             | 2030-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-1A                                                                 | RCKT TRUST 2025-1A 4.9% 07/25/2034 144A                                                                 | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3143599 | PA      | $3151060.76     | 0.00%             | 2034-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP REC 3.837 07/22/26                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    64790000 | NC      | $1975027.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP PAY 3.837 07/22/26                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    64790000 | NC      | $449726.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-3                                      | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-3 4.38% 01/15/2030                                          | CUSIP: 80288JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    33220000 | PA      | $33423246.60    | 0.04%             | 2030-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAIN CAP CR CLO 2023-2 LTD / BAIN CAP CR CLO 2023-2 LLC                            | BAIN CAP CR CLO 2023-2 LTD / BAIN CAP CR CLO 2023-2 LLC A1R TSFR3M+ 07/18/2038 144A                     | CUSIP: 05684GAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    13075000 | PA      | $13123887.43    | 0.01%             | 2038-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-2                                       | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-2 4.51% 05/15/2029 144A                                      | CUSIP: 96041KAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    13722000 | PA      | $13830547.88    | 0.01%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| C and S WHOLESALE GROCERS INC                                                      | C and S WHOLESALE GROCERS TERM B 1LN 9/20/2030                                                          | CUSIP: 12676AAB1<br>LEI: 54930093F8X1FEZBGJ91 | Long             | LON              | CORP              | US        |      508725 | PA      | $498550.50      | 0.00%             | 2030-09-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 07/31/2032                                                                                 | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   359120000 | PA      | $365783360.27   | 0.39%             | 2032-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST 2025-2                                                           | T-MOBILE US TRUST 2025-2 4.34% 04/22/2030 144A                                                          | CUSIP: 87268MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7500000 | PA      | $7586325.75     | 0.01%             | 2030-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                                | US LBM TERM B 1LN 06/06/2031                                                                            | CUSIP: 50179JAK4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | LON              | CORP              | US        |      213905 | PA      | $184582.88      | 0.00%             | 2031-06-06      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 4.95%/VAR 08/04/2031                                                     | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |     8600000 | PA      | $8758839.33     | 0.01%             | 2031-08-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT K545 A2 4.29% 07/25/2030                                                 | CUSIP: 3137HMCK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7513000 | PA      | $7661494.45     | 0.01%             | 2030-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 6.125% 05/15/2030                                                                  | CUSIP: 682691AL4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      390000 | PA      | $391531.53      | 0.00%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                                | LBM ACQUISITION LLC 9.5% 06/15/2031 144A                                                                | CUSIP: 52109SAB5<br>LEI: 549300FAEB3VWZL4NI86 | Long             | DBT              | CORP              | US        |      415000 | PA      | $387070.50      | 0.00%             | 2031-06-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SCG 2025-FLWR                                                                      | SCG 2025-FLWR 5.65% 08/15/2030 144A                                                                     | CUSIP: 78438AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12800000 | PA      | $12831927.04    | 0.01%             | 2042-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BHG 2025-2CON                                                                      | BHG 2025-2CON 4.84% 09/17/2036 144A                                                                     | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7539904 | PA      | $7660741.31     | 0.01%             | 2036-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC                                                              | HIGHTOWER TERM B 1LN 02/03/2032                                                                         | CUSIP: 43117LAP8<br>LEI: 254900MKOSB7RTMA9K12 | Long             | LON              | CORP              | US        |      124375 | PA      | $122432.26      | 0.00%             | 2032-02-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.75% 08/15/2055                                                            | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   183340000 | PA      | $186691684.38   | 0.20%             | 2055-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 08/15/2035                                                                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   352699400 | PA      | $361461775.72   | 0.39%             | 2035-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.625% 08/15/2028                                                                             | CUSIP: 91282CNU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   153949000 | PA      | $154826989.62   | 0.17%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XIX LTD                                                           | SIXTH STREET CLO XIX LTD A1R TSFR3M+128 07/17/2038 144A                                                 | CUSIP: 83012KAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7550000 | PA      | $7578614.50     | 0.01%             | 2038-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM14 A1                                                                  | OBX 2025-NQM14 STEP 08/25/2064 144A                                                                     | CUSIP: 673924AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5795251 | PA      | $5836675.85     | 0.01%             | 2065-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SW FINANCE I PLC                                                                   | SW FINANCE I PLC 6.875% 08/07/2032 REGS                                                                 | CUSIP: N/A<br>LEI: 549300BHN1HB5BNG2R96       | Long             | DBT              | CORP              | GB        |     1200000 | PA      | $1706652.09     | 0.00%             | 2032-08-07      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCCU AUTO RECEIVABLES TRUST 2025-1                                                 | OCCU AUTO RECEIVABLES TRUST 2025-1 4.81% 11/15/2029 144A                                                | CUSIP: 67098SAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5700000 | PA      | $5752907.40     | 0.01%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                         | FISERV INC 4.55% 02/15/2031                                                                             | CUSIP: 337738BP2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    31900000 | PA      | $31799531.91    | 0.03%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                              | LEVEL 3 FINANCING INC 7% 03/31/2034 144A                                                                | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      115000 | PA      | $119547.61      | 0.00%             | 2034-03-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                         | FISERV INC 5.25% 08/11/2035                                                                             | CUSIP: 337738BQ0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     6600000 | PA      | $6602744.61     | 0.01%             | 2035-08-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC REIT                                                       | MILLROSE PROPERTIES INC REIT 6.375% 08/01/2030 144A                                                     | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1040000 | PA      | $1066936.00     | 0.00%             | 2030-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2020-5 LTD                                                 | BAIN CAPITAL CREDIT CLO 2020-5 LTD ARR TSFR3M+115 04/20/2034 144A                                       | CUSIP: 05683FBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10140000 | PA      | $10149592.44    | 0.01%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 08/01/2055#RJ4642                                                                          | CUSIP: 3142GVEQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    38122790 | PA      | $39932627.50    | 0.04%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                           | MSCI INC 5.25% 09/01/2035                                                                               | CUSIP: 55354GAR1<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    18852000 | PA      | $18875783.31    | 0.02%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                                   | KILROY REALTY LP 5.875% 10/15/2035                                                                      | CUSIP: 49427RAT9<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |     3943000 | PA      | $3886999.07     | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                                  | HEALTHPEAK OP LLC 4.75% 01/15/2033                                                                      | CUSIP: 42250GAB9<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    22285000 | PA      | $22397170.88    | 0.02%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HOWARD MIDSTREAM ENERGY PARTNERS LLC                                               | HOWARD MIDSTREAM ENERGY PARTNERS LLC 6.625% 01/15/2034 144A                                             | CUSIP: 442722AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      470000 | PA      | $485735.72      | 0.00%             | 2034-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2052#SD2298                                                                          | CUSIP: 3132DPRT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4480946 | PA      | $3773592.91     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 08/01/2050#BQ0233                                                                          | CUSIP: 3140KKHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2420462 | PA      | $2026989.26     | 0.00%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS3863                                                                          | CUSIP: 3140XKJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14866333 | PA      | $12519563.34    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 03/01/2052#FS9368                                                                          | CUSIP: 3140XRMS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13399461 | PA      | $11280061.15    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NEXUS BUYER LLC                                                                    | INTRAFI NETWORK TERM B 1LN 07/31/2031                                                                   | CUSIP: 65343UAJ1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      274325 | PA      | $261843.21      | 0.00%             | 2031-07-31      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                         | FIRST QUANTUM MINERALS LTD 7.25% 02/15/2034 144A                                                        | CUSIP: 335934AX3<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |      235000 | PA      | $245885.60      | 0.00%             | 2034-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                             | EXTRA SPACE STORAGE LP 4.95% 01/15/2033                                                                 | CUSIP: 30225VAV9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    10409000 | PA      | $10575220.49    | 0.01%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 4.93% 07/25/2055 144A                                                      | CUSIP: 25755TAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10440000 | PA      | $10629876.46    | 0.01%             | 2055-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP CDS 12/20/30 AVLN B                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DCR              | CORP              | US        |     2100000 | NC      | $2008.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP CDS 12/20/30 CMZB B                                                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |     1750000 | NC      | $9081.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PENNYMAC FINANCIAL SERVICES INC                                                    | PENNYMAC FINANCIAL SERVICES INC 6.75% 02/15/2034 144A                                                   | CUSIP: 70932MAH0<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      835000 | PA      | $825530.35      | 0.00%             | 2034-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                           | SNAP INC 6.875% 03/15/2034 144A                                                                         | CUSIP: 83304AAM8<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |      525000 | PA      | $523397.81      | 0.00%             | 2034-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                                          | BALL CORP 5.5% 09/15/2033                                                                               | CUSIP: 058498BA3<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |      625000 | PA      | $643173.13      | 0.00%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                               | WR GRACE HOLDING LLC 6.625% 08/15/2032 144A                                                             | CUSIP: 92943GAF8<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |      750000 | PA      | $758720.25      | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP CDS 12/20/30 HEIGR B                                                                          | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |     2130000 | NC      | $-518892.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC                                          | SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC 4.911% 09/01/2027                                             | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |     8200000 | PA      | $8288569.43     | 0.01%             | 2027-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 08/01/2055#CC0888                                                                        | CUSIP: 3140Y67A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6789648 | PA      | $7212296.96     | 0.01%             | 2055-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 08/01/2055#CC0887                                                                        | CUSIP: 3140Y66Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5196127 | PA      | $5526076.86     | 0.01%             | 2055-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2052#CB2856                                                                        | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      457468 | PA      | $403440.46      | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 12/20/30 ALVGR B                                                                          | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     2700000 | NC      | $-24779.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH BOW CANADIAN INFRASTRUCTURE HOLDINGS LTD                                     | SOUTH BOW CANADIAN INFRASTRUCTURE HOLDINGS LTD 7.5%/VAR 03/01/2055                                      | CUSIP: 836720AJ1<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |      157000 | PA      | $166645.77      | 0.00%             | 2055-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.8 08/10/26                                                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    87870000 | NC      | $778400.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.8 08/10/26                                                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    87870000 | NC      | $2547815.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5% 09/15/2032                                                                           | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     1227000 | PA      | $1258881.30     | 0.00%             | 2032-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 6.2% 09/15/2055                                                                         | CUSIP: 126650EL0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     8290000 | PA      | $8498153.94     | 0.01%             | 2055-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION LLC                                                       | FIRSTENERGY TRANSMISSION LLC 4.75% 01/15/2033                                                           | CUSIP: 33767BAK5<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    13738000 | PA      | $13853530.12    | 0.01%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6.5%/VAR 02/15/2056                                                                  | CUSIP: 29273VBG4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      635000 | PA      | $641626.86      | 0.00%             | 2056-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 6.75%/VAR 02/15/2056                                                                 | CUSIP: 29273VBH2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      210000 | PA      | $214649.61      | 0.00%             | 2056-02-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM INC 6.25% 01/31/2034 144A                                                                     | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      140000 | PA      | $144829.72      | 0.00%             | 2034-01-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2055#FA2138                                                                        | CUSIP: 3140W2LU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9332212 | PA      | $9918237.44     | 0.01%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-C                                                      | OPORTUN ISSUANCE TRUST 2025-C 4.49% 07/08/2033 144A                                                     | CUSIP: 68378RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8200000 | PA      | $8222281.04     | 0.01%             | 2033-07-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM INC 6.75% 01/31/2034 144A                                                                     | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      715000 | PA      | $742013.67      | 0.00%             | 2034-01-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-3                                                  | SOFI CONSUMER LOAN PROGRAM 2025-3 4.47% 08/15/2034 144A                                                 | CUSIP: 83390JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    19743037 | PA      | $19798615.37    | 0.02%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                    | NXP B V/NXP FDG LLC/NXP USA INC 4.85% 08/19/2032                                                        | CUSIP: 62954HBG2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     8338000 | PA      | $8482491.87     | 0.01%             | 2032-08-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                    | NXP B V/NXP FDG LLC/NXP USA INC 5.25% 08/19/2035                                                        | CUSIP: 62954HBH0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    29120000 | PA      | $29746033.99    | 0.03%             | 2035-08-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                          | INVITATION HOMES OPERATING PARTNERSHIP LP 4.95% 01/15/2033                                              | CUSIP: 46188BAH5<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    13634000 | PA      | $13729355.79    | 0.01%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SFUEL 25-BA                                                                        | SFUEL 25-BA 4.27% 01/22/2029 144A                                                                       | CUSIP: 858933AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    30643000 | PA      | $30851528.68    | 0.03%             | 2029-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                          | BLOCK INC 5.625% 08/15/2030 144A                                                                        | CUSIP: 852234AT0<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      390000 | PA      | $395113.29      | 0.00%             | 2030-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                          | BLOCK INC 6% 08/15/2033 144A                                                                            | CUSIP: 852234AU7<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      310000 | PA      | $315017.66      | 0.00%             | 2033-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CIFC FDG 2019-V LTD / CIFC FDG 2019-V LLC                                          | CIFC FDG 2019-V LTD / CIFC FDG 2019-V LLC A1R2 TSFR3M+127 10/15/2038 144A                               | CUSIP: 12554XAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11640000 | PA      | $11655329.88    | 0.01%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-B41 MTG TR                                                          | BENCHMARK 2025-B41 MTG TR 5.40721% 07/15/2068                                                           | CUSIP: 081935AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7648000 | PA      | $8121177.94     | 0.01%             | 2068-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 28 LTD / FLATIRON CLO 28 LLC                                          | FLATIRON CLO 28 LTD / FLATIRON CLO 28 LLC A1R TSFR3M+108 07/15/2036 144A                                | CUSIP: 33884EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13800000 | PA      | $13825378.20    | 0.01%             | 2036-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 3.788%/VAR 08/26/2037 REGS                                                  | CUSIP: N/A<br>LEI: MSFSBD3QN1GSN7Q6C537       | Long             | DBT              | CORP              | AU        |     1000000 | PA      | $1188535.99     | 0.00%             | 2037-08-26      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ASSURANT INC                                                                       | ASSURANT INC 5.55% 02/15/2036                                                                           | CUSIP: 04621XAQ1<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |     4267000 | PA      | $4335299.56     | 0.00%             | 2036-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.875% 08/15/2045                                                           | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    37948000 | PA      | $39471849.38    | 0.04%             | 2045-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5% 08/01/2040#DE8061                                                                          | CUSIP: 3140BL5X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1066377 | PA      | $1083055.59     | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5% 04/01/2040#DD7442                                                                          | CUSIP: 3140B8HU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      190525 | PA      | $193505.29      | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MHP 2025-MHIL2                                                                     | MHP 2025-MHIL2 A 5.85/VAR 09/15/2030 144A                                                               | CUSIP: 59317DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6192000 | PA      | $6197142.46     | 0.01%             | 2040-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.7% 12/01/2055         | CUSIP: 161175CT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5000000 | PA      | $4876705.90     | 0.01%             | 2055-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TR 2025-4                                            | EXETER AUTOMOBILE RECEIVABLES TR 2025-4 4.4% 05/15/2030                                                 | CUSIP: 30167KAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    13175000 | PA      | $13281276.14    | 0.01%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TR 2025-4                                            | EXETER AUTOMOBILE RECEIVABLES TR 2025-4 4.53% 03/15/2028                                                | CUSIP: 30167KAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3538658 | PA      | $3543572.37     | 0.00%             | 2028-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FIN CORP                                                                 | BUNGE LTD FIN CORP 4.9% 04/21/2027                                                                      | CUSIP: 120568BM1<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |     8282000 | PA      | $8370095.47     | 0.01%             | 2027-04-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO 43 LTD                                                 | BENEFIT STREET PARTNERS CLO 43 LTD A TSFR3M+ 10/20/2038 144A                                            | CUSIP: 08179QAA8<br>LEI: 254900TPMKEES6UQHQ33 | Long             | ABS-CBDO         | CORP              | KY        |    12249000 | PA      | $12273498.00    | 0.01%             | 2038-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TR                                                           | UPX HIL 2025-1 ISSUER TR 6.22% 01/25/2047 144A                                                          | CUSIP: 916925AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5393000 | PA      | $5493080.06     | 0.01%             | 2047-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2053#SD6787                                                                          | CUSIP: 3132DURG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      992924 | PA      | $972473.67      | 0.00%             | 2053-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 6.184% 08/29/2031                                                              | CUSIP: 345397H30<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      725000 | PA      | $1011446.06     | 0.00%             | 2031-08-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.625% 08/31/2030                                                                             | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   216113300 | PA      | $217236075.59   | 0.23%             | 2030-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2053#FS9322                                                                          | CUSIP: 3140XRLC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    34424169 | PA      | $33778626.10    | 0.04%             | 2053-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEACE PARK CLO LTD                                                                 | PEACE PARK CLO LTD 2021-1A AR TSFR3M+125 10/20/2038 144A                                                | CUSIP: 70470MAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    14148000 | PA      | $14133951.04    | 0.02%             | 2038-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XVIII LTD                                                         | SIXTH STREET CLO XVIII LTD 2021-18A A1R TSFR3M+125 10/17/2038 144A                                      | CUSIP: 83012HAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11630000 | PA      | $11671274.87    | 0.01%             | 2038-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.804 08/25/26                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     4060000 | NC      | $120893.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.804 08/25/26                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     4060000 | NC      | $38910.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEMPRA                                                                             | SEMPRA 6.375%/VAR 04/01/2056                                                                            | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     1050000 | PA      | $1075118.10     | 0.00%             | 2056-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY885802 12/15/56 S                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     2800000 | NC      | $-372492.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 3.632%/VAR 09/03/2034 REGS                                                            | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |     1150000 | PA      | $1365403.26     | 0.00%             | 2034-09-03      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VIER GAS TRANSPORT GMBH                                                            | VIER GAS TRANSPORT GMBH 3.625% 09/08/2033 REGS                                                          | CUSIP: N/A<br>LEI: 529900AGED6PJE9AVL37       | Long             | DBT              | CORP              | DE        |     1100000 | PA      | $1312726.40     | 0.00%             | 2033-09-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                                            | KODIAK GAS SERVICES LLC 6.75% 10/01/2035 144A                                                           | CUSIP: 50012LAE4<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |      505000 | PA      | $527670.56      | 0.00%             | 2035-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                                            | KODIAK GAS SERVICES LLC 6.5% 10/01/2033 144A                                                            | CUSIP: 50012LAD6<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |      340000 | PA      | $350615.14      | 0.00%             | 2033-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| IHG FINANCE LLC                                                                    | IHG FINANCE LLC 3.375% 09/10/2030 REGS                                                                  | CUSIP: N/A<br>LEI: 213800DXTXQ1YC8UP313       | Long             | DBT              | CORP              | US        |      425000 | PA      | $507850.14      | 0.00%             | 2030-09-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                       | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6.75% 03/15/2034 144A                      | CUSIP: 87470LAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      340000 | PA      | $349419.36      | 0.00%             | 2034-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTURY CMNTYS INC                                                                 | CENTURY COMMUNITIES INC 6.625% 09/15/2033 144A                                                          | CUSIP: 156504AN2<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |      420000 | PA      | $426768.30      | 0.00%             | 2033-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                          | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO 6.75% 09/15/2032 144A                                         | CUSIP: 18060TAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      210000 | PA      | $217985.25      | 0.00%             | 2032-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 4.7% 01/15/2031                                                          | CUSIP: 72650RBR2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8697000 | PA      | $8833490.54     | 0.01%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 5.6% 01/15/2036                                                          | CUSIP: 72650RBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    12797000 | PA      | $13119219.89    | 0.01%             | 2036-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL CORP                                                       | SOUTHERN CO GAS CAP 5.1% 09/15/2035                                                                     | CUSIP: 8426EPAK4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     7546000 | PA      | $7685346.25     | 0.01%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                               | CLEVELAND-CLIFFS INC 7.625% 01/15/2034 144A                                                             | CUSIP: 18589GAA3<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      420000 | PA      | $431033.89      | 0.00%             | 2034-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 25-K761 A2 4.4% 06/25/2032                                               | CUSIP: 3137HN4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    17700000 | PA      | $18131138.37    | 0.02%             | 2032-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TACO BELL FDG LLC                                                                  | TACO BELL FDG LLC 4.821% 08/25/2055 144A                                                                | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    19920075 | PA      | $20145853.11    | 0.02%             | 2055-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                          | SUNOCO LP 7.875%/VAR PERP 144A                                                                          | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | EP               | CORP              | US        |     1345000 | PA      | $1390393.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                          | SUNOCO LP 5.625% 03/15/2031 144A                                                                        | CUSIP: 86765KAF6<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      630000 | PA      | $635415.95      | 0.00%             | 2031-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                          | SUNOCO LP 5.875% 03/15/2034 144A                                                                        | CUSIP: 86765KAG4<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      420000 | PA      | $421677.48      | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.85% 02/15/2033                                                       | CUSIP: 11120VAP8<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     6561000 | PA      | $6618823.27     | 0.01%             | 2033-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SIERRA PACIFIC POWER CO                                                            | SIERRA PACIFIC POWER CO 6.375%/VAR 12/15/2055                                                           | CUSIP: 826418BR5<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |     1055000 | PA      | $1049085.99     | 0.00%             | 2055-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 7 LP                                                         | PK ALIFT LOAN FUNDING 7 LP 4.75% 03/15/2043 144A                                                        | CUSIP: 69291NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4977604 | PA      | $5010051.76     | 0.01%             | 2043-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 08/01/2055#CC0868                                                                          | CUSIP: 3140Y66E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20957911 | PA      | $21939766.36    | 0.02%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                                                 | AVIS BUDGET RENTCAR FDG AE LLC 4.17% 02/20/2030 144A                                                    | CUSIP: 05377RKW3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |     4620000 | PA      | $4640513.26     | 0.00%             | 2030-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+110 FB 11/25/2054                                                | CUSIP: 3137HHF97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    14186261 | PA      | $14267718.51    | 0.02%             | 2054-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTH WEST WATER FINANCE PLC                                                       | SOUTH WEST WATER FINANCE PLC 5.25% 09/15/2031 REGS                                                      | CUSIP: N/A<br>LEI: 213800OV68U446W4NV89       | Long             | DBT              | CORP              | GB        |     1025000 | PA      | $1399578.67     | 0.00%             | 2031-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                              | UBER TECHNOLOGIES INC 4.15% 01/15/2031                                                                  | CUSIP: 90353TAT7<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    13670000 | PA      | $13616466.91    | 0.01%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                              | UBER TECHNOLOGIES INC 4.8% 09/15/2035                                                                   | CUSIP: 90353TAU4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     9457000 | PA      | $9413790.40     | 0.01%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 4.95% 09/15/2035                                                                   | CUSIP: 26441CCJ2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     3815000 | PA      | $3822562.44     | 0.00%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP                       | ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FIN CORP 5.75% 10/15/2033 144A                          | CUSIP: 03690AAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      550000 | PA      | $558333.00      | 0.00%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                            | BANK OF NOVA SCOTIA 4.338%/VAR 09/15/2031                                                               | CUSIP: 06418GAW7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     7090000 | PA      | $7115248.77     | 0.01%             | 2031-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT VAR 05/25/2030                                                           | CUSIP: 3137HN4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6600000 | PA      | $6743703.78     | 0.01%             | 2030-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.87474%/VAR 03/25/2030                                                  | CUSIP: 3137HN4S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    32072752 | PA      | $32072729.36    | 0.03%             | 2030-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINL SVC US CORP                                                        | STELLANTIS FINL SVC US CORP 4.95% 09/15/2028 144A                                                       | CUSIP: 85855FAA1<br>LEI: 5493000KNKFDOC1BOW59 | Long             | DBT              | CORP              | US        |     8503000 | PA      | $8572983.94     | 0.01%             | 2028-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINL SVC US CORP                                                        | STELLANTIS FINL SVC US CORP 5.4% 09/15/2030 144A                                                        | CUSIP: 85855FAB9<br>LEI: 5493000KNKFDOC1BOW59 | Long             | DBT              | CORP              | US        |     6780000 | PA      | $6855180.30     | 0.01%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                                   | UWM HOLDINGS LLC 6.25% 03/15/2031 144A                                                                  | CUSIP: 903522AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      425000 | PA      | $410623.27      | 0.00%             | 2031-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    50000000 | NC      | $-587385.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2025-VI LTD                                                           | CIFC FUNDING 2025-VI LTD A1 TSFR3M+125 10/23/2038 144A                                                  | CUSIP: 171933AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7723000 | PA      | $7739063.84     | 0.01%             | 2038-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN ELECTRIC CO INC                                                           | HAWAIIAN ELECTRIC CO INC 6% 10/01/2033 144A                                                             | CUSIP: 419866AV0<br>LEI: 549300PQE8D806LWQV52 | Long             | DBT              | CORP              | US        |      310000 | PA      | $315972.77      | 0.00%             | 2033-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-B                                             | CARMAX SELECT RECEIVABLES TRUST 2025-B 4.12% 03/15/2030                                                 | CUSIP: 14320BAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11150000 | PA      | $11205516.97    | 0.01%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2025-A                                                | WORLD OMNI SELECT AUTO TRUST 2025-A 4.14% 05/15/2030                                                    | CUSIP: 98164UAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1100000 | PA      | $1102462.90     | 0.00%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2025-A                                                | WORLD OMNI SELECT AUTO TRUST 2025-A 4.08% 08/15/2031                                                    | CUSIP: 98164UAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9295000 | PA      | $9343978.14     | 0.01%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                | AFFIRM MASTER TRUST 4.45% 10/16/2034 144A                                                               | CUSIP: 00833BAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    47100000 | PA      | $47450395.74    | 0.05%             | 2034-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NAVIGATOR AIRCRAFT ABS LTD                                                         | NAVIGATOR AIRCRAFT ABS LTD 1 A 0% 10/15/2050 144A                                                       | CUSIP: 63943GAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    20803013 | PA      | $21029913.49    | 0.02%             | 2050-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P3                                             | CARVANA AUTO RECEIVABLES TR 2025-P3 A3 4.04% 11/11/2030                                                 | CUSIP: 14688AAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7600000 | PA      | $7643997.92     | 0.01%             | 2030-11-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 02/01/2054#CB8013                                                                        | CUSIP: 3140QT3X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1022317 | PA      | $1081642.76     | 0.00%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INVESCO U S CLO 2021-3 LTD / INVESCO U S CLO 2021-3 LLC                            | INVESCO CLO 2021-3A A1R TSFR3M+108 10/22/2034 144A                                                      | CUSIP: 46151VAA9<br>LEI: 5493000BVI47XOSBML18 | Long             | ABS-CBDO         | CORP              | KY        |     7000000 | PA      | $7008918.00     | 0.01%             | 2034-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PROLOGIS EURO FINANCE LLC                                                          | PROLOGIS EURO FINL LLC 3.25% 09/22/2032                                                                 | CUSIP: 74341EAT9<br>LEI: 549300MI5D1784PRQH06 | Long             | DBT              | CORP              | US        |      690000 | PA      | $815244.11      | 0.00%             | 2032-09-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CBRE EUROPE LOGISTICS PARTNERS SCA SICAV-SIF                                       | CBRE EUROPE LOGISTICS PARTNERS SCA SICAV-SIF 3.5% 09/22/2032 REGS                                       | CUSIP: N/A<br>LEI: 529900ZG3L6Z4K64S041       | Long             | DBT              | CORP              | LU        |     1000000 | PA      | $1175571.47     | 0.00%             | 2032-09-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOPBUILD CORP                                                                      | TOPBUILD CORP 5.625% 01/31/2034 144A                                                                    | CUSIP: 89055FAD5<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |      680000 | PA      | $685815.25      | 0.00%             | 2034-01-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE and MANUFACTURING INC                                                | AMERICAN AXLE and MFG INC 6.375% 10/15/2032 144A                                                        | CUSIP: 02406PBC3<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |      325000 | PA      | $330761.16      | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE and MANUFACTURING INC                                                | AMERICAN AXLE and MFG INC 7.75% 10/15/2033 144A                                                         | CUSIP: 02406PBD1<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |      610000 | PA      | $619967.88      | 0.00%             | 2033-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP                             | USA COMPRESSION PARTNERS LP / USA COMPRESSION FIN CORP 6.25% 10/01/2033 144A                            | CUSIP: 91740PAH1<br>LEI: 549300ZWL4J1LYMOWK56 | Long             | DBT              | CORP              | US        |      477000 | PA      | $485086.58      | 0.00%             | 2033-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                                                 | RWE FINANCE US LLC 5.125% 09/18/2035 144A                                                               | CUSIP: 749983AC6<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |     5093000 | PA      | $5105799.52     | 0.01%             | 2035-09-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.565 09/15/26                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    88000000 | NC      | $1657379.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.565 09/15/26                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    88000000 | NC      | $1651869.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                          | TORONTO DOMINION BANK 3.357% 09/22/2032 REGS                                                            | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | Long             | DBT              | CORP              | CA        |     1300000 | PA      | $1538417.91     | 0.00%             | 2032-09-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                                                  | SOUTHERN POWER CO 4.25% 10/01/2030                                                                      | CUSIP: 843646AX8<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |     7399000 | PA      | $7435665.89     | 0.01%             | 2030-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                                                  | SOUTHERN POWER CO 4.9% 10/01/2035                                                                       | CUSIP: 843646AY6<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |     7734000 | PA      | $7706023.42     | 0.01%             | 2035-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 05/01/2054#FS7963                                                                        | CUSIP: 3140XPZ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      999722 | PA      | $1056189.57     | 0.00%             | 2054-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 02/01/2054#FS7160                                                                        | CUSIP: 3140XN5W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1432385 | PA      | $1514679.09     | 0.00%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 04/01/2054#SD5901                                                                        | CUSIP: 3132DTRW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      750360 | PA      | $792743.12      | 0.00%             | 2054-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                                        | AUST 10Y BOND FUT MAR26 XMH6                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |          19 | NC      | $11831.99       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HAVN TR 2025-MOB                                                                   | HAVN TR 2025-MOB A TSFR1M+175 10/15/2027 144A                                                           | CUSIP: 40408XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5244000 | PA      | $5234167.50     | 0.01%             | 2035-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US ULTRA BOND CBT FUT JUN26 WNM6                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        1630 | NC      | $2192994.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 10YR ULTRA FUT JUN26 UXYM6                                                                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         679 | NC      | $720279.81      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 4.389% 04/25/2035                                                        | CUSIP: 3136BXNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    23000000 | PA      | $23293084.40    | 0.02%             | 2035-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.887 09/17/30                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    61280000 | NC      | $1883277.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.887 09/17/30                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    61280000 | NC      | $2016362.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VALEO                                                                              | VALEO 4.625% 03/23/2032 REGS                                                                            | CUSIP: N/A<br>LEI: 5493006IH2N2WMIBB742       | Long             | DBT              | CORP              | FR        |      400000 | PA      | $480668.47      | 0.00%             | 2032-03-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 10YR NOTE FUT (CBT)JUN26 TYM6                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -593 | NC      | $-246901.97     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 10YR NOTE FUT (CBT)JUN26 TYM6                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         249 | NC      | $219354.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US LONG BOND(CBT) FUT JUN26 USM6                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          89 | NC      | $105555.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 09/30/2032                                                                             | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   152259600 | PA      | $153877358.25   | 0.16%             | 2032-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 03/01/2055#FA1084                                                                        | CUSIP: 3140W1F24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    44317597 | PA      | $46917063.35    | 0.05%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5% 09/01/2054#SL1682                                                                          | CUSIP: 31427N2Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      925305 | PA      | $941120.01      | 0.00%             | 2054-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                              | MINERAL RESOURCES LTD 7% 04/01/2031 144A                                                                | CUSIP: 603051AF0<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |      230000 | PA      | $241962.37      | 0.00%             | 2031-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 4.8% 02/15/2036                                                                            | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    17350000 | PA      | $17392833.85    | 0.02%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 4.15% 02/15/2029                                                                     | CUSIP: 24703DBR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    24423000 | PA      | $24510411.63    | 0.03%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 4.375% 11/15/2030                             | CUSIP: 00774MBR5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     4113000 | PA      | $4123853.30     | 0.00%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 4.5% 02/15/2031                                                                      | CUSIP: 24703DBS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    32702000 | PA      | $32860782.60    | 0.04%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 4.75% 10/06/2032                                                                     | CUSIP: 24703DBT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    15962000 | PA      | $16111316.37    | 0.02%             | 2032-10-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 5.1% 02/15/2036                                                                      | CUSIP: 24703DBU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    34440000 | PA      | $34566697.18    | 0.04%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                      | AEP TEXAS INC 5.85% 10/15/2055                                                                          | CUSIP: 00108WAU4<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    12751000 | PA      | $12745865.04    | 0.01%             | 2055-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SCIENCE APPLICATIONS INTERNATIONAL CORP                                            | SCIENCE APPLICATIONS INTERNATIONAL CORP 5.875% 11/01/2033 144A                                          | CUSIP: 808625AB3<br>LEI: 549300LZPNZIXQGZPZ48 | Long             | DBT              | CORP              | US        |      610000 | PA      | $606239.23      | 0.00%             | 2033-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATIONAL HEALTH INVESTORS INC                                                      | NATIONAL HEALTH INVESTORS INC 5.35% 02/01/2033                                                          | CUSIP: 63633DAG9<br>LEI: 549300ZPKZIG6DKDEC02 | Long             | DBT              | CORP              | US        |     3761000 | PA      | $3803589.30     | 0.00%             | 2033-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS INC                                                           | NORTHERN OIL AND GAS INC 7.875% 10/15/2033 144A                                                         | CUSIP: 665531AL3<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |      750000 | PA      | $766740.75      | 0.00%             | 2033-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CROSSCOUNTRY INTERMEDIATE HOLDCO LLC                                               | CROSSCOUNTRY INTERMEDIATE HOLDCO LLC 6.5% 10/01/2030 144A                                               | CUSIP: 22757VAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      425000 | PA      | $423313.56      | 0.00%             | 2030-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                                                        | STARWOOD PPTY TR INC 5.25% 10/15/2028 144A                                                              | CUSIP: 85571BBF1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |      510000 | PA      | $512452.08      | 0.00%             | 2028-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 2% 05/01/2052#FA0659                                                                     | CUSIP: 3140W0WV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1450845 | PA      | $1221364.29     | 0.00%             | 2052-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C12 MTG TR                                                               | BMO 2025-5C12 MTG TR VAR 10/15/2058                                                                     | CUSIP: 09663VAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20300000 | PA      | $683354.84      | 0.00%             | 2058-10-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES LLC                                                            | UNITI GROUP TERM B 1LN 10/6/2032                                                                        | CUSIP: 97381JAK9<br>LEI: 549300L3SXBFJVGRCF66 | Long             | LON              | CORP              | US        |      750000 | PA      | $750000.00      | 0.00%             | 2032-10-06      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GILDAN ACTIVEWEAR INC                                                              | GILDAN ACTIVEWEAR INC 4.7% 10/07/2030 144A                                                              | CUSIP: 375916AF0<br>LEI: 549300SB3IBI34M00Z45 | Long             | DBT              | CORP              | CA        |     1720000 | PA      | $1731026.85     | 0.00%             | 2030-10-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                               | ENEL FINANCE INTL NV 5% 09/30/2035 144A                                                                 | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    10000000 | PA      | $9989612.50     | 0.01%             | 2035-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                               | ENEL FINANCE INTL NV 4.375% 09/30/2030 144A                                                             | CUSIP: 29278GBG2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    17235000 | PA      | $17323056.20    | 0.02%             | 2030-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 4.5% 10/15/2030                                                              | CUSIP: 12713UAA4<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     2765000 | PA      | $2777071.22     | 0.00%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                     | AMERICAN ELEC PWR CO INC 5.80%/VAR 03/15/2056                                                           | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |      430000 | PA      | $432091.09      | 0.00%             | 2056-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                     | AMERICAN ELEC PWR CO INC 6.05%/VAR 03/15/2056                                                           | CUSIP: 02557TAF6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |      430000 | PA      | $431511.45      | 0.00%             | 2056-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.421% 05/25/2030                                                        | CUSIP: 3137HN6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    38837000 | PA      | $39752562.86    | 0.04%             | 2030-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                                                 | AVIS BUDGET RENTCAR FDG AE LLC 4.4% 02/20/2032 144A                                                     | CUSIP: 05377RLA0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |    11850000 | PA      | $11948494.83    | 0.01%             | 2032-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 4.45% 09/26/2030                                                                            | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    10372000 | PA      | $10172377.07    | 0.01%             | 2030-09-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 4.8% 09/26/2032                                                                             | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    15178000 | PA      | $14830806.89    | 0.02%             | 2032-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 5.2% 09/26/2035                                                                             | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    13817000 | PA      | $13352097.33    | 0.01%             | 2035-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 5.875% 09/26/2045                                                                           | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    17411000 | PA      | $15775501.37    | 0.02%             | 2045-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 5.95% 09/26/2055                                                                            | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    18208000 | PA      | $16022924.74    | 0.02%             | 2055-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 6.1% 09/26/2065                                                                             | CUSIP: 68389XDT9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    19925000 | PA      | $17265496.88    | 0.02%             | 2065-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES LLC                                                            | WINDSTREAM SERVICES LLC 7.5% 10/15/2033 144A                                                            | CUSIP: 97382BAB5<br>LEI: 549300L3SXBFJVGRCF66 | Long             | DBT              | CORP              | US        |      425000 | PA      | $442183.60      | 0.00%             | 2033-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CO LLC                                                     | NISSAN MOTOR ACCEPTANCE CO LLC 6.125% 09/30/2030 144A                                                   | CUSIP: 65480CAL9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      650000 | PA      | $651504.75      | 0.00%             | 2030-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                       | ALIMENTATION COUCHE-TARD INC 5.077% 09/29/2035 144A                                                     | CUSIP: 01626PAX4<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    22000000 | PA      | $22342477.52    | 0.02%             | 2035-09-29      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG ENERGY INC 5.75% 01/15/2034 144A                                                                    | CUSIP: 629377DC3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     1065000 | PA      | $1079561.75     | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                     | NRG ENERGY INC 6% 01/15/2036 144A                                                                       | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     1490000 | PA      | $1516325.32     | 0.00%             | 2036-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 5YR NOTE (CBT) FUT JUN26 FVM6                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         541 | NC      | $353185.09      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 2YR NOTE (CBT) FUT JUN26 TUM6                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       14324 | NC      | $4176987.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 2YR NOTE (CBT) FUT JUN26 TUM6                                                                        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -21 | NC      | $-6270.50       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CLEAN HARBORS INC                                                                  | CLEAN HARBORS INC 5.75% 10/15/2033 144A                                                                 | CUSIP: 184496AR8<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |      425000 | PA      | $435045.30      | 0.00%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC                                          | FLATIRON CLO 20 LTD / LLC 20-1A A1R2 TSFR3M+124 11/20/2038 144A                                         | CUSIP: 33883MAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    23429000 | PA      | $23459012.55    | 0.03%             | 2038-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-8R LTD                                                                | OCP CLO 2020-8R LTD AR2 TSFR3M+122 10/17/2038 144A                                                      | CUSIP: 670898AW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11479000 | PA      | $11492935.51    | 0.01%             | 2038-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                               | EXTENDED STAY AMERICA TRUST 2025-ESH VAR 10/15/2042 144A                                                | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    32203000 | PA      | $32243253.75    | 0.03%             | 2042-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                               | EXTENDED STAY AMERICA TRUST 2025-ESH B TSFR1M+160 10/15/2042 144A                                       | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8175000 | PA      | $8190314.23     | 0.01%             | 2042-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                               | EXTENDED STAY AMERICA TRUST 2025-ESH C TSFR1M+185 10/15/2042 144A                                       | CUSIP: 30227TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2440000 | PA      | $2446115.86     | 0.00%             | 2042-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873245 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |         999 | NC      | $5.32           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                                                      | P3 GROUP SARL 3.75% 04/02/2033 REGS                                                                     | CUSIP: N/A<br>LEI: 529900GR62MT0O5VW110       | Long             | DBT              | CORP              | LU        |      600000 | PA      | $710613.93      | 0.00%             | 2033-04-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO/THE                                                                    | CHEMOURS CO/THE TERM 1LN B3 10/15/2032                                                                  | CUSIP: 16384YAM9<br>LEI: 549300M1BOLNXL8DOV14 | Long             | LON              | CORP              | US        |      615000 | PA      | $612847.50      | 0.00%             | 2032-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SESI LLC                                                                           | SESI LLC 7.875% 09/30/2030 144A                                                                         | CUSIP: 78412FAX2<br>LEI: XDZ56K6RXS5J1ESBZS35 | Long             | DBT              | CORP              | US        |      440000 | PA      | $449256.11      | 0.00%             | 2030-09-30      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| WBI OPERATING LLC                                                                  | WBI OPERATING LLC 6.25% 10/15/2030 144A                                                                 | CUSIP: 92944BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      550000 | PA      | $560582.00      | 0.00%             | 2030-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WBI OPERATING LLC                                                                  | WBI OPERATING LLC 6.5% 10/15/2033 144A                                                                  | CUSIP: 92944BAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      550000 | PA      | $558937.50      | 0.00%             | 2033-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                                                 | VIKING CRUISES LTD 5.875% 10/15/2033 144A                                                               | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |     1060000 | PA      | $1081369.60     | 0.00%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WOLFSPEED INC/DE                                                                   | WOLFSPEED INC/DE PIK VAR 06/23/2030 144A                                                                | CUSIP: 977852AK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      225857 | PA      | $241395.96      | 0.00%             | 2030-06-23      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                                      | LONG GILT FUTURE JUN26 G M6                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |         -33 | NC      | $-60560.41      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TRANSOCEAN INTERNATIONAL LTD                                                       | TRANSOCEAN INTERNATIONAL LTD 7.875% 10/15/2032 144A                                                     | CUSIP: 893814AA1<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |       85000 | PA      | $91266.37       | 0.00%             | 2032-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                                   | ALTICE FRANCE SA 6.5% 04/15/2032 144A                                                                   | CUSIP: 02090DAD0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      784909 | PA      | $751712.05      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC                                                               | ALPHA GENERATION LLC 6.25% 01/15/2034 144A                                                              | CUSIP: 02073LAC5<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |      595000 | PA      | $604226.67      | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| 180 MEDICAL INC                                                                    | 180 MEDICAL INC 5.3% 10/08/2035 144A                                                                    | CUSIP: 682357AB4<br>LEI: 254900ZB648OPWVFVX59 | Long             | DBT              | CORP              | US        |     3926000 | PA      | $3944825.17     | 0.00%             | 2035-10-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 4.891% 08/20/2055 144A                                                                | CUSIP: 233046AU5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |    13321612 | PA      | $13459592.43    | 0.01%             | 2055-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 0% 08/20/2055 144A                                                                    | CUSIP: 233046AW1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |     9241838 | PA      | $9372617.82     | 0.01%             | 2055-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROCKET COMPANIES INC                                                               | ROCKET COS INC 6.5% 08/01/2029 144A                                                                     | CUSIP: 77311WAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      670000 | PA      | $688337.23      | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 08/01/2055#RJ4643                                                                          | CUSIP: 3142GVER8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    51364056 | PA      | $53770405.35    | 0.06%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 08/01/2055#FA2563                                                                          | CUSIP: 3140W2Z53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14521239 | PA      | $15172750.47    | 0.02%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 03/01/2056 #TBA                                                                              | CUSIP: 21H020634<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   371025000 | PA      | $314269268.65   | 0.34%             | 2056-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 03/01/2056 #TBA                                                                              | CUSIP: 21H020634<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -410025000 | PA      | $-347303434.75  | -0.37%            | 2056-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 03/01/2056 #TBA                                                                            | CUSIP: 21H022630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   355825000 | PA      | $313923119.17   | 0.34%             | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 03/01/2056 #TBA                                                                            | CUSIP: 21H022630<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -151150000 | PA      | $-133350606.23  | -0.14%            | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 03/01/2056 #TBA                                                                              | CUSIP: 21H040632<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    20000000 | PA      | $19236718.00    | 0.02%             | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 03/01/2056 #TBA                                                                              | CUSIP: 21H040632<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -20000000 | PA      | $-19236718.00   | -0.02%            | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 03/01/2056 #TBA                                                                            | CUSIP: 21H042638<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -4800000 | PA      | $-4741896.48    | -0.01%            | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 03/01/2056 #TBA                                                                            | CUSIP: 21H042638<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4800000 | PA      | $4741896.48     | 0.01%             | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 03/01/2056 #TBA                                                                              | CUSIP: 21H050631<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    35075000 | PA      | $35198309.67    | 0.04%             | 2056-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 03/01/2056 #TBA                                                                              | CUSIP: 21H050631<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -35075000 | PA      | $-35198309.67   | -0.04%            | 2056-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 03/01/2056 #TBA                                                                            | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -1463950000 | PA      | $-1482799673.81 | -1.59%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 03/01/2056 #TBA                                                                            | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  1652125000 | PA      | $1673397596.29  | 1.79%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 03/01/2056 #TBA                                                                              | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  1151900000 | PA      | $1175266752.26  | 1.26%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 03/01/2056 #TBA                                                                              | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -991800000 | PA      | $-1011919059.72 | -1.08%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 03/01/2056 #TBA                                                                            | CUSIP: 21H062636<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   145150000 | PA      | $150846629.48   | 0.16%             | 2056-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 03/01/2056 #TBA                                                                            | CUSIP: 21H062636<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -145150000 | PA      | $-150846629.48  | -0.16%            | 2056-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 5% 03/01/2041 #TBA                                                                            | CUSIP: 01F050437<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -488700000 | PA      | $-496125943.11  | -0.53%            | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 5% 03/01/2041 #TBA                                                                            | CUSIP: 01F050437<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   741475000 | PA      | $752741935.07   | 0.81%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 03/01/2056 #TBA                                                                            | CUSIP: 01F020638<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -757725000 | PA      | $-627520642.67  | -0.67%            | 2056-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 03/01/2056 #TBA                                                                            | CUSIP: 01F020638<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  1153550000 | PA      | $955328697.56   | 1.02%             | 2056-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 03/01/2056 #TBA                                                                          | CUSIP: 01F022634<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    24275000 | PA      | $21021581.97    | 0.02%             | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 03/01/2056 #TBA                                                                          | CUSIP: 01F022634<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -20225000 | PA      | $-17514376.74   | -0.02%            | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3% 03/01/2056 #TBA                                                                            | CUSIP: 01F030637<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -49100000 | PA      | $-44399057.98   | -0.05%            | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3% 03/01/2056 #TBA                                                                            | CUSIP: 01F030637<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    38850000 | PA      | $35130415.53    | 0.04%             | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 03/01/2056 #TBA                                                                          | CUSIP: 01F032633<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -64100000 | PA      | $-60409243.79   | -0.06%            | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 03/01/2056 #TBA                                                                          | CUSIP: 01F032633<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    64100000 | PA      | $60409243.79    | 0.06%             | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4% 03/01/2056 #TBA                                                                            | CUSIP: 01F040636<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -82125000 | PA      | $-79824859.43   | -0.09%            | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4% 03/01/2056 #TBA                                                                            | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    84925000 | PA      | $82546437.59    | 0.09%             | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4.5% 03/01/2056 #TBA                                                                          | CUSIP: 01F042632<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -22625000 | PA      | $-22372235.76   | -0.02%            | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4.5% 03/01/2056 #TBA                                                                          | CUSIP: 01F042632<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     9225000 | PA      | $9121939.22     | 0.01%             | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5% 03/01/2056 #TBA                                                                            | CUSIP: 01F050635<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |     -300000 | PA      | $-301359.36     | -0.00%            | 2056-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5% 03/01/2056 #TBA                                                                            | CUSIP: 01F050635<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     6150000 | PA      | $6177866.88     | 0.01%             | 2056-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5.5% 03/01/2056 #TBA                                                                          | CUSIP: 01F052631<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -122775000 | PA      | $-124750916.30  | -0.13%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5.5% 03/01/2056 #TBA                                                                          | CUSIP: 01F052631<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   155650000 | PA      | $158154999.97   | 0.17%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 03/01/2056 #TBA                                                                            | CUSIP: 01F060634<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -601425000 | PA      | $-616907002.64  | -0.66%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 03/01/2056 #TBA                                                                            | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   809250000 | PA      | $830081875.35   | 0.89%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6.5% 03/01/2056 #TBA                                                                          | CUSIP: 01F062630<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -119200000 | PA      | $-123786410.72  | -0.13%            | 2056-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6.5% 03/01/2056 #TBA                                                                          | CUSIP: 01F062630<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   124100000 | PA      | $128874946.06   | 0.14%             | 2056-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                           | LUXCO 3                                                                                                 | CUSIP: N/A<br>LEI: 5299000JVHXKJPOE6H40       | Long             | EC               | CORP              | LU        |        5999 | NS      | $109019.87      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 25-3A                                    | SFS AUTO RECEIVABLES SECURITIZATION TRUST 25-3A 4.12% 04/21/2031 144A                                   | CUSIP: 78398KAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2640000 | PA      | $2661099.67     | 0.00%             | 2031-04-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2025-5 LTD                                                       | PALMER SQUARE CLO 2025-5 LTD A TSFR3M+121 10/20/2038 144A                                               | CUSIP: 696914AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12518000 | PA      | $12536526.64    | 0.01%             | 2038-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2050#RA3990                                                                        | CUSIP: 3133KKNF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3135765 | PA      | $2764445.62     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#FA2675                                                                          | CUSIP: 3140W26M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2169476 | PA      | $2003800.26     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2052#FA2751                                                                        | CUSIP: 3140W3BV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    22539088 | PA      | $19834918.37    | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 07/01/2052#SL0488                                                                          | CUSIP: 31427MRJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14708411 | PA      | $13465669.39    | 0.01%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2051#SL2248                                                                          | CUSIP: 31427PQA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1305315 | PA      | $1204408.19     | 0.00%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2052#SL2250                                                                          | CUSIP: 31427PQC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1709117 | PA      | $1572722.07     | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-4                                                                        | SCLP 2025-4 4.24% 08/25/2035 144A                                                                       | CUSIP: 83405UAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3278280 | PA      | $3284606.84     | 0.00%             | 2035-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GTC FINANCE DAC                                                                    | GTC FINANCE DAC 6.5% 10/15/2030 REGS                                                                    | CUSIP: N/A<br>LEI: 213800BQ2YULQCB6M521       | Long             | DBT              | CORP              | IE        |     1600000 | PA      | $1767673.60     | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2025-2                                                | DELL EQUIPMENT FINANCE TRUST 2025-2 4.1% 02/22/2028 144A                                                | CUSIP: 24703VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    60112000 | PA      | $60244216.34    | 0.06%             | 2028-02-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 4.95% 11/15/2035                                                                       | CUSIP: 87264ADX0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    20360000 | PA      | $20547276.57    | 0.02%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE INC                                                            | CRH AMER FIN INC 4.4% 02/09/2031                                                                        | CUSIP: 12636YAH5<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |    19890000 | PA      | $20038255.49    | 0.02%             | 2031-02-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                                         | VMED O2 UK FINANCING I PLC 6.75% 01/15/2033 144A                                                        | CUSIP: 92858RAE0<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      340000 | PA      | $322317.30      | 0.00%             | 2033-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2025-2                                                | DELL EQUIPMENT FINANCE TRUST 2025-2 4.12% 03/24/2031 144A                                               | CUSIP: 24703VAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11500000 | PA      | $11579492.60    | 0.01%             | 2031-03-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2021-III LTD                                                          | CIFC FUNDING 2021-III LTD A1R TSFR3M+ 10/15/2038 144A                                                   | CUSIP: 12564DAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    21027000 | PA      | $21029355.02    | 0.02%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT K548 A2 VAR 09/25/2030                                                   | CUSIP: 3137HNN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    33150000 | PA      | $33847926.84    | 0.04%             | 2030-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| RR 16 LTD                                                                          | RR 16 LTD A1R TSFR3M+105 07/15/2036 144A                                                                | CUSIP: 74971CAJ2<br>LEI: 549300FLUOZC8QYYKL96 | Long             | ABS-CBDO         | CORP              | KY        |    10300000 | PA      | $10300978.50    | 0.01%             | 2036-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DZ BANK AG DEUTSCHE ZENTRAL GE NOSSENSCHAFTSBANK                                   | DZ BANK AG DEUT ZENT GENOSBANK 3.706%/VAR 10/15/2035 REGS                                               | CUSIP: N/A<br>LEI: 529900HNOAA1KXQJUQ27       | Long             | DBT              | CORP              | DE        |      500000 | PA      | $593754.00      | 0.00%             | 2035-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3                                     | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-3 A3 4.4% 12/16/2030                                       | CUSIP: 30185FAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9320000 | PA      | $9372831.35     | 0.01%             | 2030-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA                                           | INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA VAR 11/05/2037 144A                                            | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18991000 | PA      | $19384202.96    | 0.02%             | 2037-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                                                            | TALEN ENERGY SUPPLY LLC 6.25% 02/01/2034 144A                                                           | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |      935000 | PA      | $951450.99      | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC                                                            | TALEN ENERGY SUPPLY LLC 6.5% 02/01/2036 144A                                                            | CUSIP: 87422VAN8<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |      980000 | PA      | $1007604.63     | 0.00%             | 2036-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2054#DB5271                                                                        | CUSIP: 3140AE2D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      151538 | PA      | $154855.40      | 0.00%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 12/01/2054#QX1072                                                                        | CUSIP: 31425VFN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      287037 | PA      | $295764.85      | 0.00%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2025-4                                                     | CARMAX AUTO OWNER TRUST 2025-4 3.97% 12/16/2030                                                         | CUSIP: 14320HAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    13400000 | PA      | $13466977.22    | 0.01%             | 2030-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 09/01/2054#DC3239                                                                        | CUSIP: 3140AQS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      189431 | PA      | $193150.41      | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 12/01/2054#DC7012                                                                        | CUSIP: 3140AUYJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2780869 | PA      | $2846346.34     | 0.00%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2055#DE2032                                                                        | CUSIP: 3140BEHJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2275493 | PA      | $2320686.99     | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 12/01/2054#QX0513                                                                        | CUSIP: 31425USB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10093900 | PA      | $10331568.62    | 0.01%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 04/01/2055#SL0810                                                                        | CUSIP: 31427M3U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      692753 | PA      | $707392.29      | 0.00%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 05/01/2055#QY3801                                                                        | CUSIP: 31426NGK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      877927 | PA      | $895981.05      | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+165 06/25/2054                                                       | CUSIP: 3136BVZE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    31015611 | PA      | $31446581.74    | 0.03%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF SOFR30A+165 08/25/2054                                                       | CUSIP: 3136BVUM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    30559841 | PA      | $30988812.43    | 0.03%             | 2054-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF5 LLC                                                                 | PRPM 2025-RCF5 LLC 4.839% 10/25/2055 144A                                                               | CUSIP: 69384AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3402978 | PA      | $3408491.78     | 0.00%             | 2055-10-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2053#BX9136                                                                        | CUSIP: 3140NEEJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56710 | PA      | $57794.76       | 0.00%             | 2053-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-D                                                      | OPORTUN ISSUANCE TRUST 2025-D 4.53% 02/08/2033 144A                                                     | CUSIP: 68379HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    26700000 | PA      | $26783085.06    | 0.03%             | 2033-02-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STONEWEG EREIT LUX FINCO SARL                                                      | STONEWEG EREIT LUX FINCO SARL 4.125% 02/22/2033 REGS                                                    | CUSIP: N/A<br>LEI: 213800VKBKU9G6DF2O19       | Long             | DBT              | CORP              | LU        |     1700000 | PA      | $2018419.50     | 0.00%             | 2033-02-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP CDS 12/20/30 UCGIM B                                                                          | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |     1900000 | NC      | $-9810.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WULF COMPUTE LLC                                                                   | WULF COMPUTE LLC 7.75% 10/15/2030 144A                                                                  | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1690000 | PA      | $1789733.66     | 0.00%             | 2030-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 12/20/30 SOCGEN B                                                                         | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     1650000 | NC      | $-1926.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873245 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     6091624 | NC      | $32475.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CZ030005 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    28000000 | NC      | $-35232.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2025-4                                                     | CARMAX AUTO OWNER TRUST 2025-4 4.42% 07/15/2031                                                         | CUSIP: 14320HAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3000000 | PA      | $3052869.30     | 0.00%             | 2031-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NORTHUMBRIAN WATER FINANCE PLC                                                     | NORTHUMBRIAN WATER FINANCE PLC 5.375% 07/22/2032 REGS                                                   | CUSIP: N/A<br>LEI: 213800JTFA6F3S7XX781       | Long             | DBT              | CORP              | GB        |      700000 | PA      | $956395.14      | 0.00%             | 2032-07-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 12/20/30 DB B                                                                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     1600000 | NC      | $15044.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 12/20/30 ASSGEN B                                                                         | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     2150000 | NC      | $-8233.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP CDS 12/20/30 ISPIM B                                                                          | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |     1800000 | NC      | $-14589.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 12/20/30 BMW B                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |     3550000 | NC      | $-109182.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONDI FINANCE LTD                                                                  | MONDI FINANCE LTD 3.375% 05/23/2031 REGS                                                                | CUSIP: N/A<br>LEI: 213800BJV32JT6IRCS96       | Long             | DBT              | CORP              | GB        |      470000 | PA      | $556687.64      | 0.00%             | 2031-05-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2025-46 LTD / LLC                                                          | OCP CLO 2025-46 LTD / LLC A TSFR3M+120 10/15/2038 144A                                                  | CUSIP: 671023AA7<br>LEI: 213800J27YESIODUZS34 | Long             | ABS-CBDO         | CORP              | KY        |     7990000 | PA      | $8003654.91     | 0.01%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM19 TR                                                                  | OBX 2025-NQM19 TR VAR 10/25/2065 144A                                                                   | CUSIP: 67449LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11849506 | PA      | $11886850.54    | 0.01%             | 2065-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GGAM MASTER TR INTERNATIONA LTD / LLC                                              | GGAM MASTER TR INTERNATIONA LTD / LLC 5.923% 09/30/2060 144A                                            | CUSIP: 36173XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    29406100 | PA      | $30064676.21    | 0.03%             | 2060-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 10/20/2055#MB0683                                                                            | CUSIP: 3618N5XM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      860846 | PA      | $828474.11      | 0.00%             | 2055-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                                | COMMONSPIRIT HEALTH 4.352% 09/01/2030                                                                   | CUSIP: 20268JAY9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     4520000 | PA      | $4540048.82     | 0.00%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CZ030008 12/17/57 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     1700000 | NC      | $136660.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKTL 2025-2                                                                       | RCKTL 2025-2 4.48% 11/25/2034 144A                                                                      | CUSIP: 74939HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5487914 | PA      | $5493428.91     | 0.01%             | 2034-11-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                               | BEIGNET INVESTOR LLC 6.581% 05/30/2049 144A                                                             | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    21000000 | PA      | $22304558.22    | 0.02%             | 2049-05-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-3                                       | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-3 4.22% 06/15/2029 144A                                      | CUSIP: 96043QAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1900000 | PA      | $1907858.97     | 0.00%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                                | COMMONSPIRIT HEALTH 4.975% 09/01/2035                                                                   | CUSIP: 20268JBD4<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     2873000 | PA      | $2887965.86     | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 2.6% 02/15/2033                                                                            | CUSIP: 11135FCR0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    23971000 | PA      | $21338643.57    | 0.02%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 2.45% 02/15/2031                                                                           | CUSIP: 11135FCQ2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    63916000 | PA      | $59080321.89    | 0.06%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.5% 02/15/2041                                                                            | CUSIP: 11135FCV1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    20866000 | PA      | $17285075.36    | 0.02%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.75% 02/15/2051                                                                           | CUSIP: 11135FCS8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1693000 | PA      | $1305326.57     | 0.00%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.419% 04/15/2033                                                                          | CUSIP: 11135FCU3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    10171000 | PA      | $9526650.16     | 0.01%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 1.95% 02/15/2028                                                                           | CUSIP: 11135FCP4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     2879000 | PA      | $2783164.19     | 0.00%             | 2028-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 08/01/2052#CB4354                                                                          | CUSIP: 3140QPZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1455726 | PA      | $1484246.86     | 0.00%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC             | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 5.75% 03/31/2034 144A            | CUSIP: 01309QAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      300000 | PA      | $298508.34      | 0.00%             | 2034-03-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC             | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 5.5% 03/31/2031 144A             | CUSIP: 01309QAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      380000 | PA      | $382557.40      | 0.00%             | 2031-03-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+70 09/25/2052                                                    | CUSIP: 3136BNY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    33112770 | PA      | $32923513.67    | 0.04%             | 2052-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 4.2% 10/27/2028                                                                | CUSIP: 37045XFL5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     4022000 | PA      | $4037361.71     | 0.00%             | 2028-10-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+55 07/25/2052                                                    | CUSIP: 3137H7ZT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     3142492 | PA      | $3115795.48     | 0.00%             | 2052-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+67 08/25/2052                                                    | CUSIP: 3137H8P62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     8616514 | PA      | $8552794.80     | 0.01%             | 2052-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+70 09/25/2052                                                    | CUSIP: 3137H8V81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     9302351 | PA      | $9190040.55     | 0.01%             | 2052-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+75 09/25/2052                                                    | CUSIP: 3137H8VP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    14544935 | PA      | $14480290.33    | 0.02%             | 2052-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+65 09/25/2052                                                    | CUSIP: 3137H8WP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     5553224 | PA      | $5517457.88     | 0.01%             | 2052-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 25-3A A1 0% 09/18/2040 144A                                            | CUSIP: 96328GCP0<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    10500000 | PA      | $10544921.10    | 0.01%             | 2040-09-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MSBAM 2025-5C2                                                                     | MSBAM 2025-5C2 A3 5.072% 11/15/2030                                                                     | CUSIP: 61779RBK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1890000 | PA      | $1959102.37     | 0.00%             | 2058-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                    | PHILIP MORRIS INTL INC 4% 10/29/2030                                                                    | CUSIP: 718172DY2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    11100000 | PA      | $11084565.78    | 0.01%             | 2030-10-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                    | PHILIP MORRIS INTL INC 4.25% 10/29/2032                                                                 | CUSIP: 718172DZ9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    11080000 | PA      | $11050305.82    | 0.01%             | 2032-10-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORP                                                               | KAISER ALUMINUM CORP 5.875% 03/01/2034 144A                                                             | CUSIP: 483007AM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      215000 | PA      | $217394.67      | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORPORATION NEW                                                           | AMPHENOL CORPORATION NEW 4.125% 11/15/2030                                                              | CUSIP: 032095AY7<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    11300000 | PA      | $11356789.73    | 0.01%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORPORATION NEW                                                           | AMPHENOL CORPORATION NEW 4.4% 02/15/2033                                                                | CUSIP: 032095AZ4<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    11100000 | PA      | $11127316.10    | 0.01%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PERNOD RICARD SA                                                                   | PERNOD RICARD SA 3.75% 02/04/2037 REGS                                                                  | CUSIP: N/A<br>LEI: 52990097YFPX9J0H5D87       | Long             | DBT              | CORP              | FR        |     1000000 | PA      | $1177316.70     | 0.00%             | 2037-02-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                           | LLOYDS BANKING GROUP PLC 4.425%/VAR 11/04/2031                                                          | CUSIP: 53944YBD4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    16286000 | PA      | $16364742.65    | 0.02%             | 2031-11-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.874 10/28/30                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    88530000 | NC      | $2804679.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.874 10/28/30                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    88530000 | NC      | $2894456.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT VAR K549 A2 09/25/2030                                                   | CUSIP: 3137HNNC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5510000 | PA      | $5630307.54     | 0.01%             | 2030-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ACCENTRO REAL ESTATE AG                                                            | ACCENTRO REAL ESTATE AG PIK 10% 12/30/2027                                                              | CUSIP: N/A<br>LEI: 391200VKLY50XNAFCM46       | Long             | DBT              | CORP              | DE        |      406630 | PA      | $514477.70      | 0.00%             | 2027-12-30      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.585 04/29/26                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    12340000 | NC      | $143847.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.585 04/29/26                                                                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    12340000 | NC      | $100950.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                 | META PLATFORMS INC 4.2% 11/15/2030                                                                      | CUSIP: 30303MAB8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    11286000 | PA      | $11385254.95    | 0.01%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                 | META PLATFORMS INC 4.6% 11/15/2032                                                                      | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    12207000 | PA      | $12411746.30    | 0.01%             | 2032-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                 | META PLATFORMS INC 4.875% 11/15/2035                                                                    | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    15550000 | PA      | $15704835.24    | 0.02%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                 | META PLATFORMS INC 5.5% 11/15/2045                                                                      | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     8850000 | PA      | $8743449.63     | 0.01%             | 2045-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                 | META PLATFORMS INC 5.625% 11/15/2055                                                                    | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     8850000 | PA      | $8662603.37     | 0.01%             | 2055-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                 | META PLATFORMS INC 5.75% 11/15/2065                                                                     | CUSIP: 30303M8Y1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     8850000 | PA      | $8621600.35     | 0.01%             | 2065-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                  | HSBC HOLDINGS PLC 4.619%/VAR 11/06/2031                                                                 | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    10672000 | PA      | $10794275.08    | 0.01%             | 2031-11-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                           | MSCI INC 5.15% 03/15/2036                                                                               | CUSIP: 55354GAS9<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    22955000 | PA      | $22746496.06    | 0.02%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 6% 02/01/2040#SB1539                                                                          | CUSIP: 3132CXV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6867122 | PA      | $7155943.94     | 0.01%             | 2040-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 6% 11/01/2038#SB8270                                                                          | CUSIP: 3132D6FK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3713767 | PA      | $3853715.14     | 0.00%             | 2038-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 6% 10/01/2038#MA5178                                                                          | CUSIP: 31418EXG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1117037 | PA      | $1159130.92     | 0.00%             | 2038-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      800000 | NC      | $133922.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 04/01/2056 #TBA                                                                              | CUSIP: 21H020642<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   153725000 | PA      | $130227687.95   | 0.14%             | 2056-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 04/01/2056 #TBA                                                                            | CUSIP: 21H022648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   151150000 | PA      | $133338801.42   | 0.14%             | 2056-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 04/01/2056 #TBA                                                                              | CUSIP: 21H040640<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -10000000 | PA      | $-9614453.00    | -0.01%            | 2056-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 04/01/2056 #TBA                                                                            | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -4800000 | PA      | $-4736084.16    | -0.01%            | 2056-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 04/01/2056 #TBA                                                                            | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4800000 | PA      | $4736084.16     | 0.01%             | 2056-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 04/01/2056 #TBA                                                                              | CUSIP: 21H050649<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    35075000 | PA      | $35150355.13    | 0.04%             | 2056-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 04/01/2056 #TBA                                                                            | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  1269775000 | PA      | $1284785264.23  | 1.38%             | 2056-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 04/01/2056 #TBA                                                                              | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   453500000 | PA      | $462380573.05   | 0.50%             | 2056-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 04/01/2056 #TBA                                                                            | CUSIP: 21H062644<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    57500000 | PA      | $59684798.75    | 0.06%             | 2056-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 5% 04/01/2041 #TBA                                                                            | CUSIP: 01F050445<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   488700000 | PA      | $495839564.91   | 0.53%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 04/01/2056 #TBA                                                                            | CUSIP: 01F020646<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   671600000 | PA      | $556247461.52   | 0.60%             | 2056-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 04/01/2056 #TBA                                                                          | CUSIP: 01F022642<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -37325000 | PA      | $-32324032.27   | -0.03%            | 2056-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 04/01/2056 #TBA                                                                          | CUSIP: 01F032641<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -22800000 | PA      | $-21478313.64   | -0.02%            | 2056-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4.5% 04/01/2056 #TBA                                                                          | CUSIP: 01F042640<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -3800000 | PA      | $-3754577.84    | -0.00%            | 2056-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4.5% 04/01/2056 #TBA                                                                          | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     3800000 | PA      | $3754577.84     | 0.00%             | 2056-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 04/01/2056 #TBA                                                                            | CUSIP: 01F060642<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    30600000 | PA      | $31384128.06    | 0.03%             | 2056-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANO HEALTH LLC                                                                    | CANO HEALTH TERM Initial Exchange Term Loans 1LN 06/28/2029                                             | CUSIP: 13781HAS9<br>LEI: 254900OGI2T8V1NXN639 | Long             | LON              | CORP              | US        |      151939 | PA      | $118512.39      | 0.00%             | 2029-06-28      | Variable      | 0.14%                 | No            |                  3 | On Loan: No      |
| GREATAMERICA LEASING RECEIV- ABLES FDG LLC                                         | GREATAMERICA LSNG REC FDS LLC 4.37% 05/15/2028 144A                                                     | CUSIP: 39154TCP1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4700000 | PA      | $4720893.85     | 0.01%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                       | ALPHABET INC 5.45% 11/15/2055                                                                           | CUSIP: 02079KBA4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    15350000 | PA      | $15257683.57    | 0.02%             | 2055-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                       | ALPHABET INC 5.7% 11/15/2075                                                                            | CUSIP: 02079KBB2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    15500000 | PA      | $15489804.88    | 0.02%             | 2075-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 10/01/2036#FA2627                                                                        | CUSIP: 3140W24M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2622174 | PA      | $2394523.57     | 0.00%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2037#FA3000                                                                        | CUSIP: 3140W3KN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2835386 | PA      | $2593655.80     | 0.00%             | 2037-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP IND                                                          | LINCOLN NATIONAL CORP IND 5.35% 11/15/2035                                                              | CUSIP: 534187BZ1<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |    11100000 | PA      | $10837047.77    | 0.01%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                              | TENET HEALTHCARE CORP 5.5% 11/15/2032 144A                                                              | CUSIP: 88033GDW7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      855000 | PA      | $865629.36      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMMUNITIES INC                                                    | TAYLOR MORRISON COMMUNITIES INC 5.75% 11/15/2032 144A                                                   | CUSIP: 87724RAK8<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |      335000 | PA      | $346152.82      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCP AEGIS CLO 2025-47 LTD                                                          | OCP AEGIS CLO 2025-47 LTD A1 TSFR3M+111 01/21/2038 144A                                                 | CUSIP: 67122UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10296000 | PA      | $10307891.88    | 0.01%             | 2038-01-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.36% 09/25/2032                                                         | CUSIP: 3137HNTK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    25900000 | PA      | $26406712.78    | 0.03%             | 2032-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIPHER COMPUTE LLC                                                                 | CIPHER COMPUTE LLC 7.125% 11/15/2030 144A                                                               | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      380000 | PA      | $396090.72      | 0.00%             | 2030-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                        | WAYFAIR LLC 6.75% 11/15/2032 144A                                                                       | CUSIP: 94419NAC1<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |      270000 | PA      | $275182.65      | 0.00%             | 2032-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BREAKWATER ENERGY HOLDINGS SARL                                                    | BREAKWATER ENERGY HOLDINGS SARL 9.25% 11/15/2030 144A                                                   | CUSIP: 10637BAA3<br>LEI: 984500969HAFA937F390 | Long             | DBT              | CORP              | LU        |      205000 | PA      | $218386.71      | 0.00%             | 2030-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 08/01/2055#SL2271                                                                        | CUSIP: 31427PQZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    19286614 | PA      | $19939385.12    | 0.02%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AXA LOGISTICS EUROPE MASTER SCA                                                    | AXA LOGISTICS EUROPE MASTER SCA 3.375% 05/13/2031 REGS                                                  | CUSIP: N/A<br>LEI: 213800IWFTNKN5BPH814       | Long             | DBT              | CORP              | LU        |      500000 | PA      | $595923.83      | 0.00%             | 2031-05-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 11/15/2055                                                           | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   197297700 | PA      | $196958594.58   | 0.21%             | 2055-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 11/15/2035                                                                                 | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   409350000 | PA      | $410821101.56   | 0.44%             | 2035-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 11/15/2028                                                                               | CUSIP: 91282CPK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   127797300 | PA      | $128161721.67   | 0.14%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                                         | MATTEL INC 5% 11/17/2030                                                                                | CUSIP: 577081BG6<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     2829000 | PA      | $2872434.71     | 0.00%             | 2030-11-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                              | TRANSCONTINENTAL GAS LINE LLC 5.1% 03/15/2036 144A                                                      | CUSIP: 893574AS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    12626000 | PA      | $12873048.78    | 0.01%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC                                                           | ALLISON TRANSMISSION INC 5.875% 12/01/2033 144A                                                         | CUSIP: 019736AH0<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |      425000 | PA      | $434018.20      | 0.00%             | 2033-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELP 2025-ELP                                                                       | ELP COML MTG TR 2025-ELP 4.71318% 11/13/2042 144A                                                       | CUSIP: 290154AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9257000 | PA      | $9329958.12     | 0.01%             | 2042-11-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                                | GLOBAL PAYMENTS INC 4.5% 11/15/2028                                                                     | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    18245000 | PA      | $18286964.23    | 0.02%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                                | GLOBAL PAYMENTS INC 4.875% 11/15/2030                                                                   | CUSIP: 37940XAW2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    15550000 | PA      | $15531766.23    | 0.02%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 4.35% 01/15/2029                                                                         | CUSIP: 87612GAR2<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     5296000 | PA      | $5339119.93     | 0.01%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 01/01/2054#RJ0718                                                                          | CUSIP: 3142GQYQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7359956 | PA      | $7843079.87     | 0.01%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 02/01/2054#FS7546                                                                          | CUSIP: 3140XPL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5053299 | PA      | $5383429.51     | 0.01%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 01/01/2054#FS6965                                                                          | CUSIP: 3140XNW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3453440 | PA      | $3672576.56     | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 01/01/2054#SD4777                                                                          | CUSIP: 3132DSJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4236094 | PA      | $4506217.50     | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 11/01/2053#FS6420                                                                          | CUSIP: 3140XND27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6788094 | PA      | $7244816.09     | 0.01%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 09/01/2053#FS5897                                                                          | CUSIP: 3140XMRT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4114418 | PA      | $4374211.69     | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 01/01/2054#SD4982                                                                          | CUSIP: 3132DSRB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    10959860 | PA      | $11655314.21    | 0.01%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 09/01/2054#CB9174                                                                          | CUSIP: 3140QVFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3257639 | PA      | $3480130.79     | 0.00%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 01/01/2053#QF6507                                                                          | CUSIP: 3133BUGQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23691 | PA      | $24985.00       | 0.00%             | 2053-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 7% 08/01/2054#BU4941                                                                     | CUSIP: 3140M6P31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      351009 | PA      | $374077.02      | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 07/01/2054#DC0787                                                                          | CUSIP: 3140AM2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      147546 | PA      | $158037.75      | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 08/01/2054#DB9800                                                                          | CUSIP: 3140AK3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      253945 | PA      | $272955.68      | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 12/01/2053#DA5760                                                                          | CUSIP: 3140A6MJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      476197 | PA      | $503824.77      | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 10/01/2053#QH2619                                                                          | CUSIP: 3133CE4C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      175430 | PA      | $184752.56      | 0.00%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 12/01/2053#DA5759                                                                          | CUSIP: 3140A6MH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1512715 | PA      | $1597382.11     | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 11/01/2053#DA3194                                                                          | CUSIP: 3140A3RQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      324369 | PA      | $343613.70      | 0.00%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 07/01/2054#QJ3375                                                                          | CUSIP: 3133CTXC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      144488 | PA      | $154022.21      | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 12/01/2053#QH7580                                                                          | CUSIP: 3133CLM52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      560093 | PA      | $591598.81      | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                          | SUNOCO LP 6.625% 08/15/2032 144A                                                                        | CUSIP: 86765KAL3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     1120000 | PA      | $1159307.52     | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BT FINANCE PLC                                                                     | BT FINANCE PLC 3.375% 11/17/2032 REGS                                                                   | CUSIP: N/A<br>LEI: 64882D4OUTP2YP126091       | Long             | DBT              | CORP              | GB        |      925000 | PA      | $1094402.37     | 0.00%             | 2032-11-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 4.75% 01/15/2033                                                             | CUSIP: 92343VHF4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     1932000 | PA      | $1959327.58     | 0.00%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 5.875% 11/30/2055                                                            | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    22080000 | PA      | $22227825.16    | 0.02%             | 2055-11-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 6% 11/30/2065                                                                | CUSIP: 92343VHK3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4015377.40     | 0.00%             | 2065-11-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARPENTER TECHNOLOGY CORP                                                          | CARPENTER TECHNOLOGY CORP 5.625% 03/01/2034 144A                                                        | CUSIP: 144285AN3<br>LEI: DX6I6ZD3X5WNNCDJKP85 | Long             | DBT              | CORP              | US        |      585000 | PA      | $596512.22      | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| APLD COMPUTECO LLC                                                                 | APLD COMPUTECO LLC 9.25% 12/15/2030 144A                                                                | CUSIP: 00202DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2415000 | PA      | $2534764.68     | 0.00%             | 2030-12-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                     | CANADIAN NATL RESOURCES LTD 5% 12/15/2029                                                               | CUSIP: 136385BD2<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     7200000 | PA      | $7430729.18     | 0.01%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA and N ZEAL BKG GRP LTD                                                   | AUSTRALIA and N ZEAL BKG GRP LTD 5.1454%/VAR 08/18/2036 REGS                                            | CUSIP: N/A<br>LEI: JHE42UYNWWTJB8YTTU19       | Long             | DBT              | CORP              | AU        |     1400000 | PA      | $1903577.18     | 0.00%             | 2036-08-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES HOLDING CO LLC                                                  | COLUMBIA PIPELINES HOLDING CO LLC 4.999% 11/17/2032 144A                                                | CUSIP: 19828AAF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    11933000 | PA      | $12173551.98    | 0.01%             | 2032-11-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                                | SCHWAB CHARLES CORP 4.343%/VAR 11/14/2031                                                               | CUSIP: 808513CK9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     5000000 | PA      | $5031662.90     | 0.01%             | 2031-11-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                               | COMMERCIAL METALS CO 5.75% 11/15/2033 144A                                                              | CUSIP: 201723AS2<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |      425000 | PA      | $433621.13      | 0.00%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                                                               | COMMERCIAL METALS CO 6% 12/15/2035 144A                                                                 | CUSIP: 201723AV5<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |      130000 | PA      | $133152.24      | 0.00%             | 2035-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                                               | NEXTERA ENERGY OPERATING PARTNERS LP 7.75% 04/15/2034 144A                                              | CUSIP: 98379YAA0<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      495000 | PA      | $513241.25      | 0.00%             | 2034-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 01/01/2054#SD4983                                                                          | CUSIP: 3132DSRC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6838995 | PA      | $7270288.93     | 0.01%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 06/01/2054#SD5670                                                                          | CUSIP: 3132DTJP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6334908 | PA      | $6761137.97     | 0.01%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 02/01/2054#SD5671                                                                          | CUSIP: 3132DTJQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3542971 | PA      | $3765297.41     | 0.00%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 08/01/2054#SD6167                                                                          | CUSIP: 3132DTZ86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2787942 | PA      | $2977264.69     | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 09/01/2054#SD6996                                                                          | CUSIP: 3132DUXZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3585583 | PA      | $3811703.84     | 0.00%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 01/01/2054#SD7218                                                                          | CUSIP: 3132DVAT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6654300 | PA      | $7091102.92     | 0.01%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 06/01/2054#SD7219                                                                          | CUSIP: 3132DVAU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6237353 | PA      | $6635091.28     | 0.01%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 12/01/2053#QH7568                                                                          | CUSIP: 3133CLMR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      776096 | PA      | $819534.02      | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 03/01/2054#QI3065                                                                          | CUSIP: 3133W9MN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      104700 | PA      | $111844.76      | 0.00%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 11/01/2053#DA3197                                                                          | CUSIP: 3140A3RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      431458 | PA      | $457743.45      | 0.00%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 11/01/2054#DC6582                                                                          | CUSIP: 3140AUJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105786 | PA      | $112945.33      | 0.00%             | 2054-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 7% 07/01/2054#BU4763                                                                     | CUSIP: 3140M6JH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207101 | PA      | $221957.35      | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 7% 06/01/2054#BU4772                                                                     | CUSIP: 3140M6JS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      225456 | PA      | $240978.02      | 0.00%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 09/01/2053#BX4447                                                                          | CUSIP: 3140N85H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      154658 | PA      | $164073.13      | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 10/01/2053#CB7313                                                                          | CUSIP: 3140QTDT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1951597 | PA      | $2079704.33     | 0.00%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 09/01/2054#CB9172                                                                          | CUSIP: 3140QVFN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1673727 | PA      | $1792746.71     | 0.00%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 12/01/2053#FS6922                                                                          | CUSIP: 3140XNVQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3252100 | PA      | $3458461.19     | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 01/01/2054#FS6964                                                                          | CUSIP: 3140XNW26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3018447 | PA      | $3216584.67     | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 01/01/2054#FS6771                                                                          | CUSIP: 3140XNQZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5335214 | PA      | $5671673.64     | 0.01%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7% 09/01/2054#CB9173                                                                          | CUSIP: 3140QVFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1142134 | PA      | $1221568.06     | 0.00%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ACUSHNET CO                                                                        | ACUSHNET CO 5.625% 12/01/2033 144A                                                                      | CUSIP: 005095AB0<br>LEI: 549300H805O14KEFES79 | Long             | DBT              | CORP              | US        |      275000 | PA      | $279885.65      | 0.00%             | 2033-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.163% 10/25/2030                                                        | CUSIP: 3137HNWH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    51000000 | PA      | $51755044.80    | 0.06%             | 2030-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                  | PIEDMONT OPERATING PARTNERSHIP LP 5.625% 01/15/2033                                                     | CUSIP: 720198AK6<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    13500000 | PA      | $13566402.45    | 0.01%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 11/15/2045                                                           | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    21966000 | PA      | $22110151.88    | 0.02%             | 2045-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO 44 LTD / LLC                                           | BENEFIT STREET PARTNERS CLO 44 LTD / LLC A1 TSFR3M+122 01/15/2039 144A                                  | CUSIP: 08187NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11362000 | PA      | $11384224.07    | 0.01%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2023-4 LTD                                                 | BAIN CAPITAL CREDIT CLO 2023-4 LTD A1R TSFR3M+123 01/21/2039 144A                                       | CUSIP: 05685EAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13272000 | PA      | $13325180.90    | 0.01%             | 2039-01-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NA                                                     | MORGAN STANLEY PRIVATE BANK NA 4.465%/VAR 11/19/2031                                                    | CUSIP: 61776NZW6<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    46326000 | PA      | $46611129.58    | 0.05%             | 2031-11-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NA                                                     | MORGAN STANLEY PRIVATE BANK NA 4.204%/VAR 11/17/2028                                                    | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    30780000 | PA      | $30894516.99    | 0.03%             | 2028-11-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                              | MOLINA HEALTHCARE INC 6.5% 02/15/2031 144A                                                              | CUSIP: 60855RAN0<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |      855000 | PA      | $857731.73      | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S/GENMAB FINANCE LLC                                                      | GENMAB A/S/GENMAB FINANCE LLC 7.25% 12/15/2033 144A                                                     | CUSIP: 37230JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |      125000 | PA      | $132651.88      | 0.00%             | 2033-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S/GENMAB FINANCE LLC                                                      | GENMAB A/S/GENMAB FINANCE LLC 6.25% 12/15/2032 144A                                                     | CUSIP: 37230JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |      425000 | PA      | $441167.00      | 0.00%             | 2032-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2025-6 LTD                                                          | CARLYLE US CLO 2025-6 LTD A1 TSFR3M+122 01/20/2039 144A                                                 | CUSIP: 14320LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12865000 | PA      | $12892093.69    | 0.01%             | 2039-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CORNELL UNIV NY REV                                                                | CORNELL UNIV NY REV 4.169% 06/15/2030                                                                   | CUSIP: 219207AD9<br>LEI: 549300ZZIJPNT0RZWP17 | Long             | DBT              | MUN               | US        |     2500000 | PA      | $2539685.75     | 0.00%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CORNELL UNIV NY REV                                                                | CORNELL UNIV NY REV 4.733% 06/15/2035                                                                   | CUSIP: 219207AF4<br>LEI: 549300ZZIJPNT0RZWP17 | Long             | DBT              | MUN               | US        |     3734000 | PA      | $3815549.81     | 0.00%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SMURFIT KAPPA TREASURY                                                             | SMURFIT KAPPA TREASURY 3.489% 11/24/2031                                                                | CUSIP: N/A<br>LEI: 635400B3DOXSWFOWJT40       | Long             | DBT              | CORP              | IE        |      250000 | PA      | $299298.16      | 0.00%             | 2031-11-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 4.65% 03/20/2031                                                                     | CUSIP: 15135UBA6<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     8552000 | PA      | $8660518.47     | 0.01%             | 2031-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 5.4% 03/20/2036                                                                      | CUSIP: 15135UBB4<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     3191000 | PA      | $3250396.64     | 0.00%             | 2036-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CROSSCOUNTRY INTERMEDIATE HOLDCO LLC                                               | CROSSCOUNTRY INTERMEDIATE HOLDCO LLC 6.75% 12/01/2032 144A                                              | CUSIP: 22757VAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      425000 | PA      | $420647.75      | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CLECO POWER LLC                                                                    | CLECO POWER LLC 5.3% 01/15/2036 144A                                                                    | CUSIP: 185508AJ7<br>LEI: TM1ZH54SJKLNHFCBFK92 | Long             | DBT              | CORP              | US        |     5294000 | PA      | $5414104.82     | 0.01%             | 2036-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBW INTERNATIONAL FINANCE BV                                                      | ENBW INTERNATIONAL FINANCE BV 5.7923% 02/26/2036 REGS                                                   | CUSIP: N/A<br>LEI: 724500CNCIO1ZTJ0X675       | Long             | DBT              | CORP              | NL        |     1260000 | PA      | $894141.40      | 0.00%             | 2036-02-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC          | ARDAGH METAL PACKAGING FINANCE USA LLC/ARDAGH METAL PACKAGING FINANCE PLC 6.25% 01/30/2031 144A         | CUSIP: 03969YAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      315000 | PA      | $322406.91      | 0.00%             | 2031-01-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEALTH                                                                   | ASCENSION HEALTH 4.294% 11/15/2030                                                                      | CUSIP: 04351LAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4545000 | PA      | $4593176.64     | 0.00%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VSP OPTICAL GROUP INC                                                              | VSP OPTICAL GROUP INC 5.45% 12/01/2035 144A                                                             | CUSIP: 91836LAA0<br>LEI: 549300PHX8USLM2BT742 | Long             | DBT              | CORP              | US        |     2440000 | PA      | $2482082.51     | 0.00%             | 2035-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DBR LAND HOLDINGS LLC                                                              | DBR LAND HOLDINGS LLC 6.25% 12/01/2030 144A                                                             | CUSIP: 24024BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      505000 | PA      | $520857.00      | 0.00%             | 2030-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR18                                                                   | BANK5 2025-5YR18 A1 4.284% 12/15/2058                                                                   | CUSIP: 06604CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2922397 | PA      | $2934484.63     | 0.00%             | 2058-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT 2025-3A                                                  | GREENSKY HOME IMPROVEMENT 2025-3A 4.52% 12/27/2060 144A                                                 | CUSIP: 39571WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3494075 | PA      | $3518880.08     | 0.00%             | 2060-12-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                                                | JAPAN GOVERNMENT OF 0% 03/02/2026                                                                       | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  1000000000 | PA      | $6403483.50     | 0.01%             | 2026-03-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 10YR 1.5% 05/01/2031#MA4331                                                                        | CUSIP: 31418DY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4972745 | PA      | $4757776.19     | 0.01%             | 2031-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.375% 11/30/2027                                                                             | CUSIP: 91282CPL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    26864800 | PA      | $26848009.50    | 0.03%             | 2027-11-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 11/30/2032                                                                              | CUSIP: 91282CPM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    50000000 | PA      | $50134765.50    | 0.05%             | 2032-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873245 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     5792036 | NC      | $30877.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UPG HI 2025-2 ISSUER TR                                                            | UPG HI 2025-2 ISSUER TR 5% 09/25/2047 144A                                                              | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    19552696 | PA      | $19698860.22    | 0.02%             | 2047-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SCMS 2025-BNC1                                                                     | SCMS 2025-BNC1 A2 4.6047% 04/15/2028 144A                                                               | CUSIP: 78398LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    32814000 | PA      | $32942640.72    | 0.04%             | 2057-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AMER INC                                                      | UNITED RENTALS NORTH AMER INC 5.375% 11/15/2033 144A                                                    | CUSIP: 911365BS2<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      425000 | PA      | $428465.29      | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2025-K551 AS 4.54% 10/25/2030                                            | CUSIP: 3137HNWW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    76787597 | PA      | $76755607.76    | 0.08%             | 2030-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT VAR 11/25/2030                                                           | CUSIP: 3137HNWV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11200000 | PA      | $11367296.64    | 0.01%             | 2030-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 06/01/2055#CC0594                                                                        | CUSIP: 3140Y6UU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9368868 | PA      | $9942556.22     | 0.01%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+52 03/25/2029                                                    | CUSIP: 3137HCTM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    33997855 | PA      | $33940207.76    | 0.04%             | 2029-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CSC SERVICEWORKS EAST LLC                                                          | CSC SERVICEWORKS TERM Initial FL1O 1LN 09/04/2030                                                       | CUSIP: 22946QAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      198253 | PA      | $202134.50      | 0.00%             | 2030-09-04      | Variable      | 0.09%                 | No            |                  3 | On Loan: No      |
| CSC SERVICEWORKS EAST LLC                                                          | CSC SERVICEWORKS TERM Exchange FLSO TL 1LN 09/04/2030                                                   | CUSIP: 22946QAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1155562 | PA      | $892671.63      | 0.00%             | 2030-09-04      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TR 2025-P4                                                | CARVANA AUTO RECEIVABLES TR 2025-P4 4.25% 11/10/2031                                                    | CUSIP: 14689AAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5000000 | PA      | $5062950.50     | 0.01%             | 2031-11-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     4100000 | NC      | $-48165.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 4.8% 03/01/2031                                                                 | CUSIP: 958667AH0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     1556000 | PA      | $1569181.34     | 0.00%             | 2031-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                                   | HILTON DOMESTIC OPERATING CO INC 5.5% 03/31/2034 144A                                                   | CUSIP: 432833AT8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      355000 | PA      | $358788.92      | 0.00%             | 2034-03-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                                                                | JAPAN GOVERNMENT OF 0% 03/23/2026                                                                       | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   265250000 | PA      | $1697879.24     | 0.00%             | 2026-03-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                                | AMERICAN TOWER CORP 4.7% 12/15/2032                                                                     | CUSIP: 03027XCR9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     9720000 | PA      | $9831839.29     | 0.01%             | 2032-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                                  | HERC HOLDINGS INC 5.75% 03/15/2031 144A                                                                 | CUSIP: 42704LAH7<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |      285000 | PA      | $288910.49      | 0.00%             | 2031-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                                  | HERC HOLDINGS INC 6% 03/15/2034 144A                                                                    | CUSIP: 42704LAK0<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |      260000 | PA      | $261386.58      | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC 7% 02/15/2031                                                                     | CUSIP: 15089QBC7<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     1075000 | PA      | $1107360.73     | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+120 09/25/2053                                                   | CUSIP: 3136BQY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    11641414 | PA      | $11725352.83    | 0.01%             | 2053-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 6.625%/VAR PERP                                                                           | CUSIP: 172967QJ3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EP               | CORP              | US        |      860000 | PA      | $889051.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN-SOUTHERN GLOBAL FUNDING                                                    | WESTERN-SOUTHERN GLOBAL FUNDING 4.7% 12/10/2032 144A                                                    | CUSIP: 95954A2C6<br>LEI: 635400PFYEGVSGK4VB37 | Long             | DBT              | CORP              | US        |     6750000 | PA      | $6776170.63     | 0.01%             | 2032-12-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTIONS INC                                                    | STANDARD BUILDING SOLUTIONS INC 5.875% 03/15/2034 144A                                                  | CUSIP: 853192AA0<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |      215000 | PA      | $214475.93      | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCWEN LOAN INVESTMENT TRUST                                                        | OCWEN LOAN INVESTMENT TRUST 25-HB2 A VAR 11/25/2038 144A                                                | CUSIP: 68278FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5493675 | PA      | $5325019.43     | 0.01%             | 2038-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-C                      | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-CA A3 4.41% 04/20/2029 144A                 | CUSIP: 85855EAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17070000 | PA      | $17191820.06    | 0.02%             | 2029-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC 7.375% 02/15/2034                                                                 | CUSIP: 15089QBD5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      515000 | PA      | $529067.23      | 0.00%             | 2034-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                               | ONEMAIN FINANCE CORP 6.75% 09/15/2033                                                                   | CUSIP: 682691AN0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      515000 | PA      | $511144.12      | 0.00%             | 2033-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                                 | VENTURE GLOBAL PLAQUEMINES LNG LLC 6.5% 06/15/2034 144A                                                 | CUSIP: 922966AF3<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      755000 | PA      | $792720.56      | 0.00%             | 2034-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                                 | VENTURE GLOBAL PLAQUEMINES LNG LLC 6.125% 12/15/2030 144A                                               | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      450000 | PA      | $467463.60      | 0.00%             | 2030-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TELUS CORPORATION                                                                  | TELUS CORPORATION 6.625%/VAR 06/09/2056                                                                 | CUSIP: 87971MCR2<br>LEI: 894500WE70KKZRQMBU11 | Long             | DBT              | CORP              | CA        |      345000 | PA      | $347789.20      | 0.00%             | 2056-06-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TELUS CORPORATION                                                                  | TELUS CORPORATION 6.375%/VAR 06/09/2056                                                                 | CUSIP: 87971MCQ4<br>LEI: 894500WE70KKZRQMBU11 | Long             | DBT              | CORP              | CA        |      520000 | PA      | $527678.32      | 0.00%             | 2056-06-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 12/01/2055#SL3475                                                                          | CUSIP: 31427Q2H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    28545038 | PA      | $29918023.44    | 0.03%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 25-1A A2I 5.5% 12/06/2055 144A                                         | CUSIP: 72703PAH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3085000 | PA      | $3134314.65     | 0.00%             | 2055-12-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 31 LTD                                                                | FLATIRON CLO 31 LTD A1 TSFR3M+120 01/18/2039 144A                                                       | CUSIP: 33883WAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11335000 | PA      | $11357091.92    | 0.01%             | 2039-01-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 6.875%/VAR PERP 144A                                                                        | CUSIP: 05602XQR2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | EP               | CORP              | FR        |      645000 | PA      | $648393.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                                        | MERCHANTS FLEET FUNDING LLC 4.66% 01/20/2039 144A                                                       | CUSIP: 588926AL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    29885000 | PA      | $30135457.22    | 0.03%             | 2039-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                                        | MERCHANTS FLEET FUNDING LLC 5.03% 01/20/2039 144A                                                       | CUSIP: 588926AM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      600000 | PA      | $607468.02      | 0.00%             | 2039-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.5% MAC 03/18/28                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -2387418000 | NC      | $-5928342.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ASURION LLC AND ASURION CO-ISSUER INC                                              | ASURION LLC AND ASURION CO-ISSUER INC 8% 12/31/2032 144A                                                | CUSIP: 045941AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      830000 | PA      | $871755.64      | 0.00%             | 2032-12-31      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV4.0% MAC 03/18/56                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    43494000 | NC      | $2056060.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV4.0% MAC 03/18/38                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -106000 | NC      | $-2383.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV4.0% MAC 03/18/35                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -105000 | NC      | $-1914.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.75% MAC 03/18/33                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    -1620000 | NC      | $-13788.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.5% MAC 03/18/30                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -551471000 | NC      | $-2901146.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.5% MAC 03/18/29                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -1269078000 | NC      | $-7604929.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.5% MAC 03/18/27                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      106000 | NC      | $8.19           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV4.0% MAC 03/18/41                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -104000 | NC      | $-2665.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT K763 A2 VAR 10/25/2032                                                   | CUSIP: 3137HPET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    26200000 | PA      | $26446471.26    | 0.03%             | 2032-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR19                                                                   | BANK5 2025-5YR19 5.27% 12/15/2058                                                                       | CUSIP: 05494RBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11739000 | PA      | $12288481.46    | 0.01%             | 2058-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEXT ABS 2025-2 LLC                                                                | DEXT ABS 2025-2 LLC 4.28% 04/17/2028 144A                                                               | CUSIP: 252153AB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6570000 | PA      | $6569299.64     | 0.01%             | 2028-04-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                                                                 | BAUSCH and LOMB TERM B 1LN 01/15/2031                                                                   | CUSIP: N/A<br>LEI: 549300NY6OZM39SO6475       | Long             | LON              | CORP              | CA        |     1432800 | PA      | $1432083.60     | 0.00%             | 2031-01-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR19                                                                   | BANK5 2025-5YR19 XB VAR 12/15/2030                                                                      | CUSIP: 05494RBS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    46717000 | PA      | $1336349.13     | 0.00%             | 2058-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| TRANSALTA CORP                                                                     | TRANSALTA CORP 5.875% 02/01/2034                                                                        | CUSIP: 89346DAL1<br>LEI: 984500EE2ADD850F1C96 | Long             | DBT              | CORP              | CA        |      435000 | PA      | $437718.75      | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     3400000 | NC      | $-39942.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WILLIS ENGINE SECURITIZATION TRUST 2025-B                                          | WILLIS ENGINE SECURITIZATION TRUST 2025-B A 0% 12/15/2050 144A                                          | CUSIP: 970910AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21602625 | PA      | $21839748.40    | 0.02%             | 2050-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM7                                      | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM7 A1FC VAR 10/26/2065 144A                                  | CUSIP: 64831YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    26050792 | PA      | $26145346.44    | 0.03%             | 2065-10-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES LXX CLO LTD / ARES LXX CLO LLC                                                | ARES LXX CLO LTD / ARES LXX CLO LLC A1R TSFR3M+125 01/25/2039 144A                                      | CUSIP: 039951AS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    11334000 | PA      | $11340267.70    | 0.01%             | 2039-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5% 12/01/2039#DC9250                                                                          | CUSIP: 3140AXH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      346616 | PA      | $352947.39      | 0.00%             | 2039-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT VAR 10/25/2030                                                           | CUSIP: 3137HPEY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    62485890 | PA      | $62485846.33    | 0.07%             | 2030-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                                        | AUST 10Y BOND FUT JUN26 XMM6                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |           3 | NC      | $-93.19         | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BMO MORTGAGE TRUST                                                                 | BMO MORTGAGE TRUST 5C13 A2 4.8342% 12/15/2058                                                           | CUSIP: 09664JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12600000 | PA      | $12863996.46    | 0.01%             | 2058-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO MORTGAGE TRUST                                                                 | BMO MORTGAGE TRUST 5.3161% 12/15/2058                                                                   | CUSIP: 09664JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20400000 | PA      | $21247205.88    | 0.02%             | 2058-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FLASH COMPUTE LLC                                                                  | FLASH COMPUTE LLC 7.25% 12/31/2030 144A                                                                 | CUSIP: 33853QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1045000 | PA      | $1069681.69     | 0.00%             | 2030-12-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 12/31/2032                                                                             | CUSIP: 91282CPQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    42517700 | PA      | $42936233.61    | 0.05%             | 2032-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.625% 12/31/2030                                                                             | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    67600000 | PA      | $67911594.09    | 0.07%             | 2030-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 05/01/2055#SL3009                                                                        | CUSIP: 31427QKX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3077528 | PA      | $3256117.79     | 0.00%             | 2055-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885799 12/15/56 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     6500000 | NC      | $-76360.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                              | AMRIZE FINANCE US LLC 4.7% 04/07/2028                                                                   | CUSIP: 43475RAQ9<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     1949000 | PA      | $1979172.64     | 0.00%             | 2028-04-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FREMF 2019-KF68 MTG TR                                                             | FREMF 2019-KF68 MTG TR SOFR30A+231.448 07/25/2026 144A                                                  | CUSIP: 30312LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      458375 | PA      | $454669.97      | 0.00%             | 2026-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    10000000 | NC      | $-117477.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885801 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     2500000 | NC      | $-508237.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2024-RPL1                                                | NEW RESIDENTIAL MTG LN TR 2024-RPL1 A VAR 01/25/2064 144A                                               | CUSIP: 64832AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7734233 | PA      | $7449531.30     | 0.01%             | 2064-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY885799 12/15/56 S                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     3000000 | NC      | $-35243.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     3000000 | NC      | $-35243.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 10/01/2055#FA3189                                                                          | CUSIP: 3140W3RK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    38567027 | PA      | $40397954.10    | 0.04%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 4.2285 01/02/31                                                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     8000000 | NC      | $216099.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 4.2285 01/02/31                                                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     8000000 | NC      | $326130.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.855 07/02/26                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     5500000 | NC      | $29133.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.855 07/02/26                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     5500000 | NC      | $168347.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                                | SUMITOMO MITSUI FINL GRP INC 4.494%/VAR 01/15/2032                                                      | CUSIP: 86562MED8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     7000000 | PA      | $7068998.02     | 0.01%             | 2032-01-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 4.6% 01/08/2031                                                                | CUSIP: 37045XFM3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    11050000 | PA      | $11151239.88    | 0.01%             | 2031-01-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 4.97% 04/06/2029                                                               | CUSIP: 345397J20<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     4866000 | PA      | $4897032.04     | 0.01%             | 2029-04-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2026-1                                       | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2026-1A A3 4.41% 07/16/2029 144A                                  | CUSIP: 96043BAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    33230000 | PA      | $33289737.57    | 0.04%             | 2029-07-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     9000000 | NC      | $-105729.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 5.401% 07/02/2037                                                            | CUSIP: 92343VHC1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      427000 | PA      | $439451.97      | 0.00%             | 2037-07-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORANGE                                                                             | ORANGE 4.25% 01/13/2031 144A                                                                            | CUSIP: 685218AD1<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |    14281000 | PA      | $14304270.46    | 0.02%             | 2031-01-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORANGE                                                                             | ORANGE 4.75% 01/13/2033 144A                                                                            | CUSIP: 685218AE9<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |    12609000 | PA      | $12756036.45    | 0.01%             | 2033-01-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORANGE                                                                             | ORANGE 5% 01/13/2036 144A                                                                               | CUSIP: 685218AF6<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |    11760000 | PA      | $11811710.84    | 0.01%             | 2036-01-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 5.7% 01/15/2056                                                                            | CUSIP: 11135FDD0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     6824000 | PA      | $7007359.92     | 0.01%             | 2056-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2050#FM5215                                                                          | CUSIP: 3140X8YM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2296148 | PA      | $1931529.95     | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9500                                                                          | CUSIP: 3140XDRW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4943245 | PA      | $4153645.73     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2051#FM5984                                                                          | CUSIP: 3140X9UJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1457743 | PA      | $1227171.09     | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2051#QB7563                                                                          | CUSIP: 3133AEML5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1383177 | PA      | $1163102.30     | 0.00%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2051#BQ8400                                                                          | CUSIP: 3140KUKN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      982786 | PA      | $826416.50      | 0.00%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 08/01/2051#FM8176                                                                          | CUSIP: 3140XCCN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1250147 | PA      | $1055144.93     | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 01/01/2051#BQ9683                                                                          | CUSIP: 3140KVXM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6032580 | PA      | $5048241.19     | 0.01%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 07/01/2051#BT0491                                                                          | CUSIP: 3140LNRM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7859454 | PA      | $6564742.42     | 0.01%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 07/01/2051#QC4827                                                                          | CUSIP: 3133APLG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4922367 | PA      | $4111491.03     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 04/01/2051#BR7792                                                                          | CUSIP: 3140L6US1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3208636 | PA      | $2683075.54     | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 4.125% 02/28/2029                             | CUSIP: 00774MBT1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     6297000 | PA      | $6300293.39     | 0.01%             | 2029-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 07/01/2051#QC4665                                                                          | CUSIP: 3133APFE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1398615 | PA      | $1168216.72     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2050#BQ5162                                                                          | CUSIP: 3140KQWY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2868237 | PA      | $2400225.22     | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARCHROCK SERVICES LP / ARCHROCK PARTNERS FINANCE CORP                              | ARCHROCK SERVICES LP / ARCHROCK PARTNERS FINANCE CORP 6% 02/01/2034 144A                                | CUSIP: 03958CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      435000 | PA      | $440430.54      | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 01/01/2056#CC1868                                                                          | CUSIP: 3140Y8CE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5843111 | PA      | $6122332.50     | 0.01%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                                   | CCO HLDGS LLC/CAP CORP 7% 02/01/2033 144A                                                               | CUSIP: 1248EPCU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1085000 | PA      | $1109353.90     | 0.00%             | 2033-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                             | STANDARD CHARTERED PLC 4.299%/VAR 01/13/2030 144A                                                       | CUSIP: 85325C2K7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     5127000 | PA      | $5141683.88     | 0.01%             | 2030-01-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885802 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     4500000 | NC      | $-598648.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP REC 4.211 01/06/31                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |     7000000 | NC      | $281648.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP PAY 4.211 01/06/31                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |     7000000 | NC      | $190357.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+54 10/25/2030                                                    | CUSIP: 3137HPU68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    40597094 | PA      | $40597065.76    | 0.04%             | 2030-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY562346 11/18/64 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     1497940 | NC      | $-639.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY562349 11/18/64 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     3200000 | NC      | $-483636.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 01/15/2029                                                                               | CUSIP: 91282CPT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    19980000 | PA      | $20040876.66    | 0.02%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OBX 2026-NQM1 TR                                                                   | OBX 2026-NQM1 TR 4.959% 11/25/2065 144A                                                                 | CUSIP: 67123HAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9929700 | PA      | $9939315.22     | 0.01%             | 2065-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP PAY 4.19 01/08/31                                                                             | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    23140000 | NC      | $636176.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP REC 4.19 01/08/31                                                                             | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    23140000 | NC      | $918308.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                                      | CLEARWAY ENERGY OPER LLC 5.75% 01/15/2034 144A                                                          | CUSIP: 18539UAG0<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |      565000 | PA      | $572445.01      | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST                                                              | ARI FLEET LEASE TRUST 2026-A A3 4.46% 11/15/2034 144A                                                   | CUSIP: 04033DAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2500000 | PA      | $2520351.50     | 0.00%             | 2034-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERSUS SECURITIZATION TR 2026-1                                                    | VERSUS SECURITIZATION TR 2026-1 STEP 01/25/2071 144A                                                    | CUSIP: 92541JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    13472196 | PA      | $13491605.46    | 0.01%             | 2071-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     7900000 | NC      | $-92806.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REACH ABS TR 2026-1A                                                               | REACH ABS TR 2026-1A A 0% 02/15/2033 144A                                                               | CUSIP: 75526XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3483539 | PA      | $3483420.53     | 0.00%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REACH ABS TR 2026-1A                                                               | REACH ABS TR 2026-1A B 0% 02/15/2033 144A                                                               | CUSIP: 75526XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11700000 | PA      | $11722479.21    | 0.01%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 4.55% 01/15/2031                                                                     | CUSIP: 29273VBJ8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     4964000 | PA      | $5011571.50     | 0.01%             | 2031-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                           | VISTRA OPERATIONS CO LLC 4.7% 01/31/2031 144A                                                           | CUSIP: 92840VAY8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    11200000 | PA      | $11264079.90    | 0.01%             | 2031-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 6.125% 01/21/2031                                                                  | CUSIP: 195325EU5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     1890000 | PA      | $1885275.00     | 0.00%             | 2031-01-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 5.375% 01/21/2029                                                                  | CUSIP: 195325ET8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     6215000 | PA      | $6202570.00     | 0.01%             | 2029-01-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL HOLDINGS US INC                                                  | GFL ENVIRONMENTAL HOLDINGS US INC 5.5% 02/01/2034 144A                                                  | CUSIP: 36273TAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      345000 | PA      | $346240.97      | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885799 12/15/56 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     7000000 | NC      | $-82233.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VCAT ASSET SECURITIZATION LLC                                                      | VCAT ASSET SECURITIZATION LLC VAR 01/25/2056 144A                                                       | CUSIP: 91825GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17300000 | PA      | $17251809.12    | 0.02%             | 2056-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.898%/VAR 01/22/2037                                                             | CUSIP: 46647PFJ0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1613000 | PA      | $1622663.27     | 0.00%             | 2037-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.347%/VAR 01/22/2032                                                             | CUSIP: 46647PFG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7035941.43     | 0.01%             | 2032-01-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1500000 | NC      | $-251105.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CNH EQUIPMENT TRUST 2026-A                                                         | CNH EQUIPMENT TRUST 2026-A A3 4.23% 05/15/2031                                                          | CUSIP: 189920AD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10000000 | PA      | $10081144.00    | 0.01%             | 2031-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES COMMERCIAL MORTGAGE TRUST                                                     | ARES COMMERCIAL MORTGAGE TRUST 2026-GCP A TSFR1M+135 02/15/2043 144A                                    | CUSIP: 04021QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4846000 | PA      | $4847510.50     | 0.01%             | 2043-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST                                                   | SOFI CONSUMER LOAN PROGRAM TRUST 4.81% 12/26/2035 144A                                                  | CUSIP: 83408AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10500000 | PA      | $10577560.35    | 0.01%             | 2035-12-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST                                                   | SOFI CONSUMER LOAN PROGRAM TRUST 4.37% 12/26/2035 144A                                                  | CUSIP: 83408AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    62400000 | PA      | $62436491.52    | 0.07%             | 2035-12-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMX 2026-1                                                                       | CARMX 2026-1 A3 4.38% 03/17/2031                                                                        | CUSIP: 14320XAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    27600000 | PA      | $27822105.48    | 0.03%             | 2031-03-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TR 2026-1                                            | EXETER AUTOMOBILE RECEIVABLES TR 2026-1A A3 4.17% 03/15/2030                                            | CUSIP: 30168HAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6785000 | PA      | $6801531.65     | 0.01%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885799 12/15/56 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     6100000 | NC      | $-71660.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK LTD                                                        | NATIONAL AUSTRALIA BANK LTD 3.612%/VAR 01/22/2036 REGS                                                  | CUSIP: N/A<br>LEI: F8SB4JFBSYQFRQEH3Z21       | Long             | DBT              | CORP              | AU        |     1100000 | PA      | $1306919.08     | 0.00%             | 2036-01-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 4.516%/VAR 01/21/2032                                                     | CUSIP: 38145GAR1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    15574000 | PA      | $15670167.43    | 0.02%             | 2032-01-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 5.065%/VAR 01/21/2037                                                     | CUSIP: 38145GAS9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    27000000 | PA      | $27189906.12    | 0.03%             | 2037-01-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.493%/VAR 01/16/2032                                                                    | CUSIP: 61748UAS1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3576000 | PA      | $3596736.08     | 0.00%             | 2032-01-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                | AFFIRM MASTER TRUST 4.33% 02/15/2034 144A                                                               | CUSIP: 00833BAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    29940000 | PA      | $30111149.02    | 0.03%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLMT 2026-1 LLC                                                                   | DLLMT 2026-1 LLC 4.37% 07/20/2028 144A                                                                  | CUSIP: 23347JAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8585000 | PA      | $8596991.53     | 0.01%             | 2028-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                | AFFIRM MASTER TRUST 1A B 4.62% 02/15/2034 144A                                                          | CUSIP: 00833BAV0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7000000 | PA      | $7025575.20     | 0.01%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLMT 2026-1 LLC                                                                   | DLLMT 2026-1 LLC 4.44% 12/20/2029 144A                                                                  | CUSIP: 23347JAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5410000 | PA      | $5447682.27     | 0.01%             | 2029-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2026-1 LLC                                              | PEAC SOLUTIONS RECEIVABLES 2026-1 LLC 4.65% 07/20/2033 144A                                             | CUSIP: 704583AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4515000 | PA      | $4562156.92     | 0.00%             | 2033-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2026-1 LLC                                              | PEAC SOLUTIONS RECEIVABLES 2026-1A A2 LLC 4.49% 10/20/2028 144A                                         | CUSIP: 704583AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12435000 | PA      | $12465056.64    | 0.01%             | 2028-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EFF 2026-1                                                                         | EFF 2026-1 A3 4.42% 03/20/2030 144A                                                                     | CUSIP: 29376JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    29500000 | PA      | $29759154.55    | 0.03%             | 2030-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EFF 2026-1                                                                         | EFF 2026-1 A2                                                                                           | CUSIP: 29376JAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    21000000 | PA      | $21058625.70    | 0.02%             | 2028-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP REC 3.865 07/15/26                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    19800000 | NC      | $628912.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP PAY 3.865 07/15/26                                                                            | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    19800000 | NC      | $114312.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2026-ESH2                                                    | EXTENDED STAY AMER TR 2026-ESH2 A TSFR1M+130 02/15/2043 144A                                            | CUSIP: 30227WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    66445000 | PA      | $66465764.06    | 0.07%             | 2043-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2026-ESH2                                                    | EXTENDED STAY AMERICA TRUST 2026-ESH B TSFR1M+155 02/15/2043 144A                                       | CUSIP: 30227WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7273000 | PA      | $7286636.88     | 0.01%             | 2043-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2026-ESH2                                                    | EXTENDED STAY AMER TR 2026-ESH2 C TSFR1M+180 02/15/2043 144A                                            | CUSIP: 30227WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1749000 | PA      | $1753372.50     | 0.00%             | 2043-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     1110000 | NC      | $-185817.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CZ030005 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     9500000 | NC      | $-11953.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY873245 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     5392586 | NC      | $28748.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE                                                    | PRESTON RIDGE PARTNERS MORTGAGE VAR 01/25/2056                                                          | CUSIP: 69383VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    28100000 | PA      | $28345591.19    | 0.03%             | 2056-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                                                            | KEYCORP 5.305%/VAR 01/28/2037                                                                           | CUSIP: 49326EER0<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |     9872000 | PA      | $9959373.52     | 0.01%             | 2037-01-28      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                               | NEPTUNE BIDCO US INC 9.5% 02/15/2033 144A                                                               | CUSIP: 640695AD4<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |      430000 | PA      | $420880.04      | 0.00%             | 2033-02-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+52 11/25/2030                                                    | CUSIP: 3137HPUB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    56094667 | PA      | $56094627.59    | 0.06%             | 2030-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP REC 3.996 01/21/27                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   111500000 | NC      | $4967853.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP PAY 3.996 01/21/27                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   111500000 | NC      | $1365202.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2026-1                                                    | AUTONATION FINANCE TRUST 2026-1A A3 4.23% 08/12/2030 144A                                               | CUSIP: 05330WAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7700000 | PA      | $7743013.74     | 0.01%             | 2030-08-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN-SOUTHERN GLOBAL FUNDING                                                    | WESTERN-SOUTHERN GLOBAL FUNDING 4.25% 01/29/2029 144A                                                   | CUSIP: 95954A2D4<br>LEI: 635400PFYEGVSGK4VB37 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8035487.68     | 0.01%             | 2029-01-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2026-5C40                                                             | BBCMS MTG TR 2026-5C40 AS 5.49409% 02/15/2031                                                           | CUSIP: 05557AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $5229310.00     | 0.01%             | 2059-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PHANTOM AVIATION                                                                   | PHANTOM AVIATION 5.24% 01/15/2051 144A                                                                  | CUSIP: 71711GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    12000000 | PA      | $12211795.20    | 0.01%             | 2051-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                            | BANK OF NOVA SCOTIA 4.813%/VAR 02/02/2034                                                               | CUSIP: 06418GAZ0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     5000000 | PA      | $5057634.85     | 0.01%             | 2034-02-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                            | BANK OF NOVA SCOTIA 4.247%/VAR 02/02/2030                                                               | CUSIP: 06418GAY3<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    11000000 | PA      | $11054278.95    | 0.01%             | 2030-02-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                                               | WR GRACE HOLDING LLC 7% 08/01/2033 144A                                                                 | CUSIP: 92943GAH4<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |      295000 | PA      | $300354.25      | 0.00%             | 2033-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC                                                                 | ALBERTSONS COS INC 5.625% 03/31/2032 144A                                                               | CUSIP: 01309QAE8<br>LEI: 549300YKWOC0AOR16R51 | Long             | DBT              | CORP              | US        |      650000 | PA      | $652558.78      | 0.00%             | 2032-03-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 01/31/2031                                                                              | CUSIP: 91282CPW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   138400000 | PA      | $139805625.00   | 0.15%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2026-1 LTD                                                       | PALMER SQUARE CLO 2026-1 LTD A TSFR3M+119 04/20/2039 144A                                               | CUSIP: 69704JAA0<br>LEI: 254900Y6UZ4R7YTZ7E82 | Long             | ABS-CBDO         | CORP              | KY        |     9887000 | PA      | $9891488.70     | 0.01%             | 2039-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 01/31/2033                                                                                 | CUSIP: 91282CPY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   215620000 | PA      | $219325968.75   | 0.24%             | 2033-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CZ030005 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    32100000 | NC      | $-40391.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TR 2026-R1                                                    | VERUS SECURITIZATION TR 2026-R1 A1FC VAR 10/25/2067 144A                                                | CUSIP: 924932AD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9874831 | PA      | $9905334.52     | 0.01%             | 2067-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY873245 04/17/65 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    11983524 | NC      | $63885.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2026-5C40                                                             | BBCMS MTG TR 2026-5C40 VAR 02/15/2031 144A                                                              | CUSIP: 05557AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    35100000 | PA      | $1266766.02     | 0.00%             | 2059-02-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 10/01/2055#FA3812                                                                          | CUSIP: 3140W4GW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    33086604 | PA      | $34550857.99    | 0.04%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2055#FA3806                                                                          | CUSIP: 3140W4GQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    35282175 | PA      | $36866196.16    | 0.04%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 11/01/2054#FA2958                                                                          | CUSIP: 3140W3JC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    79622815 | PA      | $83122898.65    | 0.09%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                              | TRUIST FINANCIAL CORP 4.597%/VAR 01/27/2032                                                             | CUSIP: 89788MAW2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $7074057.90     | 0.01%             | 2032-01-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2055#FA3377                                                                          | CUSIP: 3140W3XF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13630932 | PA      | $14204566.51    | 0.02%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2054#SD5219                                                                          | CUSIP: 3132DSYQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1976650 | PA      | $2059834.26     | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 12/01/2053#FS6526                                                                        | CUSIP: 3140XNHC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20538553 | PA      | $21738435.82    | 0.02%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TR 2026-R1                                                    | VERUS SECURITIZATION TR 2026-R1 A1 VAR 10/25/2067 144A                                                  | CUSIP: 924932AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1890118 | PA      | $1899865.58     | 0.00%             | 2067-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TYCO ELECTRONICS GROUP SA                                                          | TYCO ELECTRONICS GROUP SA 4.875% 02/09/2036                                                             | CUSIP: 902133BF3<br>LEI: C33G1C5SYE2YM95EE712 | Long             | DBT              | CORP              | LU        |     8000000 | PA      | $8126550.00     | 0.01%             | 2036-02-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES HOLDINGS INC                                                       | UNITED AIRLINES HOLDINGS INC 5.375% 03/01/2031                                                          | CUSIP: 910047AL3<br>LEI: 98450079DA0B78DD6764 | Long             | DBT              | CORP              | US        |     1090000 | PA      | $1109720.28     | 0.00%             | 2031-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 05/01/2055#SL1861                                                                          | CUSIP: 31427PB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14294448 | PA      | $14918340.70    | 0.02%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 01/01/2056#SL4008                                                                        | CUSIP: 31427RN22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    43874557 | PA      | $45208708.17    | 0.05%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 01/01/2056#FA4397                                                                          | CUSIP: 3140W43F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12511080 | PA      | $13097209.88    | 0.01%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP REC 3.964 01/26/27                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |     4000000 | NC      | $170961.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP PAY 3.964 01/26/27                                                                            | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |     4000000 | NC      | $52537.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMO 2026-C14 MORTGAGE TRUST                                                        | BMO 2026-C14 MORTGAGE TRUST 4.3186% 02/15/2059                                                          | CUSIP: 096942AS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $10068262.00    | 0.01%             | 2059-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 01/01/2056#SL3999                                                                        | CUSIP: 31427RNR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    93743246 | PA      | $96806203.36    | 0.10%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 01/01/2056#FA4441                                                                          | CUSIP: 3140W45B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    22620072 | PA      | $23693934.73    | 0.03%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 07/01/2055#SL2505                                                                        | CUSIP: 31427PYB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1500622 | PA      | $1588641.21     | 0.00%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 02/01/2055#DD0114                                                                        | CUSIP: 3140B0DU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      122480 | PA      | $129788.94      | 0.00%             | 2055-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2055#SL0360                                                                          | CUSIP: 31427MMJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    32735613 | PA      | $34368982.24    | 0.04%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 6% 12/01/2054#FA0103                                                                     | CUSIP: 3140W0DH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18646363 | PA      | $19576738.43    | 0.02%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 12/01/2054#SL0365                                                                        | CUSIP: 31427MMP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4832895 | PA      | $5152994.96     | 0.01%             | 2054-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 02/01/2055#DC0757                                                                          | CUSIP: 3140AMZX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      374654 | PA      | $392293.60      | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 01/01/2055#DC7868                                                                          | CUSIP: 3140AVW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1155983 | PA      | $1204449.65     | 0.00%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 09/01/2054#SD6993                                                                          | CUSIP: 3132DUXW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    27654724 | PA      | $28965441.51    | 0.03%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2054#FS8833                                                                          | CUSIP: 3140XQY76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15094786 | PA      | $15810215.12    | 0.02%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 09/01/2054#DB9458                                                                        | CUSIP: 3140AKQL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      143273 | PA      | $150809.90      | 0.00%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 02/01/2055#DD0441                                                                        | CUSIP: 3140B0P36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      146562 | PA      | $155334.52      | 0.00%             | 2055-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 06/01/2055#DE1630                                                                          | CUSIP: 3140BDY46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1007961 | PA      | $1056127.64     | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2055#SL2499                                                                          | CUSIP: 31427PX58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15168999 | PA      | $15883205.09    | 0.02%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 02/01/2055#DD2206                                                                          | CUSIP: 3140B2NY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      385908 | PA      | $403794.37      | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 07/01/2055#SL2500                                                                        | CUSIP: 31427PX66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7211607 | PA      | $7650945.70     | 0.01%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2054#FS8542                                                                        | CUSIP: 3140XQP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5697183 | PA      | $6074527.84     | 0.01%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 07/01/2054#QI9129                                                                        | CUSIP: 3133WGEA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       67575 | PA      | $71902.51       | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 10/01/2053#FS5894                                                                          | CUSIP: 3140XMRQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9873617 | PA      | $10383743.75    | 0.01%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2055#DE2354                                                                          | CUSIP: 3140BETL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      417828 | PA      | $436789.46      | 0.00%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 06/01/2055#DE1640                                                                        | CUSIP: 3140BDZE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      194636 | PA      | $206918.75      | 0.00%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 08/01/2054#FS8834                                                                          | CUSIP: 3140XQY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    22821848 | PA      | $23910639.13    | 0.03%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 01/01/2055#DC7867                                                                          | CUSIP: 3140AVW56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      461598 | PA      | $481059.32      | 0.00%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2055#DE2216                                                                          | CUSIP: 3140BEPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      882246 | PA      | $922530.83      | 0.00%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2053#BY5321                                                                        | CUSIP: 3140NM4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      355653 | PA      | $374857.42      | 0.00%             | 2053-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 02/01/2055#DD0407                                                                        | CUSIP: 3140B0NZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      160134 | PA      | $169301.33      | 0.00%             | 2055-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 12/01/2054#DC7824                                                                        | CUSIP: 3140AVVS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      126365 | PA      | $133040.12      | 0.00%             | 2054-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2054#FS8587                                                                        | CUSIP: 3140XQRH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4663057 | PA      | $4935477.06     | 0.01%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 02/01/2055#DD2207                                                                          | CUSIP: 3140B2NZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      372038 | PA      | $389171.44      | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 09/01/2054#DC0035                                                                          | CUSIP: 3140AMBD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      294027 | PA      | $308789.58      | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LS 2026-HTL6                                                                       | LS 2026-HTL6 A 5.17% 12/15/2040 144A                                                                    | CUSIP: 50220QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    36000000 | PA      | $35820000.00    | 0.04%             | 2040-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIII LTD                                                                | MAGNETITE XXIII LTD AR2 TSFR3M+99 01/25/2035 144A                                                       | CUSIP: 55954NAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7400000 | PA      | $7406378.80     | 0.01%             | 2035-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 11/01/2054#SL3775                                                                        | CUSIP: 31427RFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7312037 | PA      | $7739213.92     | 0.01%             | 2054-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 08/01/2054#FA4066                                                                        | CUSIP: 3140W4QU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14022702 | PA      | $14841922.55    | 0.02%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY562348 11/18/64 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     3000000 | NC      | $-749791.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK 2026-V20 MTG TR                                                          | BENCHMARK 2026-V20 MTG TR 5.228% 02/15/2059                                                             | CUSIP: 08164KAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29300000 | PA      | $30564746.22    | 0.03%             | 2059-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENEFIT STR PARTNERS CLO XXXIII LTD / BENEFIT STR PARTNERS CLO XXXIII LLC          | BENEFIT STR PARTNERS CLO XXXIII LTD / BENEFIT STR PARTNERS CLO XXXIII LLC AR TSFR3M+119 01/25/2039 144A | CUSIP: 08179DAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    11297000 | PA      | $11317006.99    | 0.01%             | 2039-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NA                                                     | MORGAN STANLEY PRIVATE BANK NA 4.213%/VAR 02/08/2030                                                    | CUSIP: 61776NU43<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    18000000 | PA      | $18085607.10    | 0.02%             | 2030-02-08      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 4.4% 04/30/2031                                                                            | CUSIP: 00206RNF5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     9270000 | PA      | $9355567.85     | 0.01%             | 2031-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 4.75% 04/30/2033                                                                           | CUSIP: 00206RNG3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    19000000 | PA      | $19259392.94    | 0.02%             | 2033-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                     | CVR ENERGY INC 7.5% 02/15/2031 144A                                                                     | CUSIP: 12662PAH1<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |     1305000 | PA      | $1300577.04     | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 6% 04/30/2056                                                                              | CUSIP: 00206RNK4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    14000000 | PA      | $14120820.56    | 0.02%             | 2056-04-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.073%/VAR 01/30/2037                                                                    | CUSIP: 61748UAT9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    25000000 | PA      | $25213105.25    | 0.03%             | 2037-01-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CSTL COMMERCIAL MORTGAGE TRUST 2026-GATE3                                          | CSTL COMMERCIAL MORTGAGE TRUST 2026-GATE3 4.7579% 02/10/2043 144A                                       | CUSIP: 228920AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8100000 | PA      | $8198585.91     | 0.01%             | 2043-02-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OPTN 2026-A                                                                        | OPTN 2026-A A 0% 01/09/2034 144A                                                                        | CUSIP: 68390VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7265000 | PA      | $7288248.00     | 0.01%             | 2034-01-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY562348 11/18/64 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     2900000 | NC      | $-724798.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 6.85% 02/04/2066                                                                            | CUSIP: 68389XEC5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    13800000 | PA      | $13220583.95    | 0.01%             | 2066-02-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 6.7% 02/04/2056                                                                             | CUSIP: 68389XEB7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    13800000 | PA      | $13382690.62    | 0.01%             | 2056-02-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 5.7% 02/04/2036                                                                             | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     4600000 | PA      | $4602576.41     | 0.00%             | 2036-02-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 6.55% 02/04/2046                                                                            | CUSIP: 68389XEA9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    13800000 | PA      | $13447431.11    | 0.01%             | 2046-02-04      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 5.35% 05/04/2033                                                                            | CUSIP: 68389XDY8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    12470000 | PA      | $12512037.12    | 0.01%             | 2033-05-04      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 4.95% 02/04/2031                                                                            | CUSIP: 68389XDX0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    12030000 | PA      | $12005358.59    | 0.01%             | 2031-02-04      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TKC HOLDINGS INC                                                                   | TKC HOLDINGS TERM 1LN 08/19/2030                                                                        | CUSIP: 87256FAN4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      440000 | PA      | $438350.00      | 0.00%             | 2030-08-19      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 4.725%/VAR 02/06/2032                                                    | CUSIP: 25160PAR8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    11170000 | PA      | $11265448.77    | 0.01%             | 2032-02-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.045%/VAR 02/06/2037                                                       | CUSIP: 060505GR9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    16100000 | PA      | $16332215.77    | 0.02%             | 2037-02-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACK PEARL COMPUTE LLC                                                            | BLACK PEARL COMPUTE LLC 6.125% 02/15/2031 144A                                                          | CUSIP: 09216NAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      493000 | PA      | $504561.76      | 0.00%             | 2031-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 06/20/31 BMW B                                                                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |      880000 | NC      | $-25730.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 06/20/31 ASSGEN B                                                                         | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |      410000 | NC      | $1387.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 06/20/31 DB B                                                                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |      410000 | NC      | $7685.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP CDS 06/20/31 ISPIM B                                                                          | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |      760000 | NC      | $-602.03        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP CDS 06/20/31 UCGIM B                                                                          | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |      410000 | NC      | $1137.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 06/20/31 SOCGE B                                                                          | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |      615000 | NC      | $4200.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP CDS 06/20/31 CMZB B                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DCR              | CORP              | US        |      410000 | NC      | $5814.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP CDS 06/20/31 AVLN B                                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DCR              | CORP              | US        |      380000 | NC      | $3119.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 06/20/31 ALVGR B                                                                          | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |      290000 | NC      | $-1246.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LN ADVISERS NBLA CLO 50 LTD / NEUBERGER BERMAN LN                 | NEUBERGER BERMAN CLO LTD 22-50A AR2 VAR 07/23/2036 144A                                                 | CUSIP: 64134VAY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    13300000 | PA      | $13301795.50    | 0.01%             | 2036-07-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2026-2                                                  | VERUS SECURITIZATION TRUST 2026-2 A1FC STEP 02/25/2071 144A                                             | CUSIP: 92490GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6300000 | PA      | $6302279.97     | 0.01%             | 2071-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.75% 02/15/2056                                                            | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    22800000 | PA      | $23234625.00    | 0.02%             | 2056-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST SERIES 2026-NQM2                                   | BRAVO RESIDENTIAL FUNDING TRUST SERIES 2026-NQM2 VAR 11/25/2065 144A                                    | CUSIP: 105934AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    29394490 | PA      | $29440663.34    | 0.03%             | 2065-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 02/15/2029                                                                               | CUSIP: 91282CQA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   123812000 | PA      | $124198912.50   | 0.13%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873246 04/17/65 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    10000000 | NC      | $25260.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY873248 04/17/65 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     5000000 | NC      | $-837017.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873245 04/17/65 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     9986270 | NC      | $-53237.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHMS K555 SOFR30A+50 11/25/2030                                                                         | CUSIP: 3137HQ6C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    74600000 | PA      | $74611182.54    | 0.08%             | 2030-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNPI SWAP CDS 06/20/31 HEIGR B                                                                          | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |      480000 | NC      | $-124426.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 6.5%/VAR PERP                                                                             | CUSIP: 172967QK0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      960000 | PA      | $974416.32      | 0.00%             | 2199-12-31      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK5 2026-5YR20                                                                   | BANK5 2026-5YR20 A3 5.244% 02/15/2057                                                                   | CUSIP: 06650JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    36000000 | PA      | $37366894.80    | 0.04%             | 2059-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RR 44A LTD                                                                         | RR 44 LTD A1A TSFR3M+ 04/15/2041 144A                                                                   | CUSIP: 78109WAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12868000 | PA      | $12868630.53    | 0.01%             | 2041-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873248 04/17/65 S                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     1500000 | NC      | $-251105.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CZ030005 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    27500000 | NC      | $-34603.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INFINEON TECHNOLOGIES AG                                                           | INFINEON TECHNOLOGIES AG 3.5% 02/16/2034 REGS                                                           | CUSIP: N/A<br>LEI: TSI2PJM6EPETEQ4X1U25       | Long             | DBT              | CORP              | DE        |     1000000 | PA      | $1190167.46     | 0.00%             | 2034-02-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                                                               | ZF EUROPE FINANCE BV 5.5% 02/17/2032 REGS                                                               | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |      700000 | PA      | $827656.79      | 0.00%             | 2032-02-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                       | ALPHABET INC 5.65% 02/15/2056                                                                           | CUSIP: 02079KBP1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    11000000 | PA      | $11255836.68    | 0.01%             | 2056-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP INC                                                         | PERFORMANCE FOOD GROUP INC 5.625% 03/01/2034 144A                                                       | CUSIP: 71376LAH3<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |      505000 | PA      | $506689.49      | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC                                                       | THERMO FISHER SCIENTIFIC INC 4.55% 06/15/2033                                                           | CUSIP: 883556DH2<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     8000000 | PA      | $8090877.60     | 0.01%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TOYOTA LEASE OWNER TR 2026-A                                                       | TOYOTA LEASE OWNER TRUST 2026-A 4.09% 02/22/2028 144A                                                   | CUSIP: 89240MAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    35375000 | PA      | $35352745.59    | 0.04%             | 2028-02-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TKC HOLDINGS INC                                                                   | TKC HOLDINGS INC 8.5% 08/15/2030 144A                                                                   | CUSIP: 87256YAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      835000 | PA      | $854447.11      | 0.00%             | 2030-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| TKC HOLDINGS INC                                                                   | TKC HOLDINGS INC 12% 02/15/2031 144A                                                                    | CUSIP: 87256YAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      265000 | PA      | $278536.42      | 0.00%             | 2031-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM INC 6.125% 07/31/2034 144A                                                                    | CUSIP: 893647CB1<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      220000 | PA      | $223461.90      | 0.00%             | 2034-07-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PLYM COMMERCIAL MORTGAGE TRUST 2026-IND                                            | PLYM COMMERCIAL MORTGAGE TRUST 2026-IND TSFR1M+155 03/15/2043 144A                                      | CUSIP: 69292BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7582000 | PA      | $7586746.33     | 0.01%             | 2043-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PLYM COMMERCIAL MORTGAGE TRUST 2026-IND                                            | PLYM COMMERCIAL MORTGAGE TRUST 2026-IND A TSFR1M+125 03/15/2043 144A                                    | CUSIP: 69292BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    53644000 | PA      | $53644000.00    | 0.06%             | 2043-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PLYM COMMERCIAL MORTGAGE TRUST 2026-IND                                            | PLYM COMMERCIAL MORTGAGE TRUST 2026-IND TSFR1M+185 03/15/2043 144A                                      | CUSIP: 69292BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4407000 | PA      | $4409754.38     | 0.00%             | 2043-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                | ALEXANDRIA REAL EST EQUITS INC 5.25% 03/15/2036                                                         | CUSIP: 015271BF5<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    23250000 | PA      | $23264639.36    | 0.02%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                      | TRANSDIGM TERM N 1LN 02/13/2033                                                                         | CUSIP: 89364MCG7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |       40000 | PA      | $40030.40       | 0.00%             | 2033-02-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY562347 11/18/64 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     5000000 | NC      | $20700.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY873246 04/17/65 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     5000000 | NC      | $12630.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2026-1A                                                 | LAD AUTO RECEIVABLES TRUST 2026-1 4.16% 05/15/2029 144A                                                 | CUSIP: 505708AB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5000000 | PA      | $4997576.00     | 0.01%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2026-1A                                                 | LAD AUTO RECEIVABLES TRUST 2026-1A A3 4.23% 04/15/2031 144A                                             | CUSIP: 505708AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5000000 | PA      | $5017198.50     | 0.01%             | 2031-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARKS and SPENCER PLC                                                              | MARKS and SPENCER PLC 5.125% 08/18/2032 REGS                                                            | CUSIP: N/A<br>LEI: 213800CN1RI3UCIZWB95       | Long             | DBT              | CORP              | GB        |      600000 | PA      | $819498.67      | 0.00%             | 2032-08-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER (OSPREY) FINANCING PLC                                               | ANGLIAN WATER (OSPREY) FINANCING PLC 6.375% 08/18/2033 REGS                                             | CUSIP: N/A<br>LEI: 21380072JDZ74GW9ZY87       | Long             | DBT              | CORP              | GB        |      500000 | PA      | $679970.79      | 0.00%             | 2033-08-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WH BORROWER LLC                                                                    | WHP GLOBAL TERM B 1LN 02/20/2032                                                                        | CUSIP: N/A<br>LEI: 2549009H920CQUE3R944       | Long             | LON              | CORP              | US        |      125000 | PA      | $124687.50      | 0.00%             | 2032-02-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                         | MARSH and MCLENNAN COS INC 4.95% 03/15/2036                                                             | CUSIP: 571748CF7<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    19456000 | PA      | $19628972.40    | 0.02%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS LTD                                                         | FIRST QUANTUM MINERALS LTD 6.375% 02/15/2036 144A                                                       | CUSIP: 335934AY1<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |      415000 | PA      | $416334.52      | 0.00%             | 2036-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CZ039897 12/17/58 B                                                                           | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    45400000 | NC      | $19285.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADVANCED DRAIN SYS INC DEL                                                         | ADVANCED DRAIN SYS INC DEL 5.375% 03/01/2034 144A                                                       | CUSIP: 00790RAC8<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |      445000 | PA      | $448390.86      | 0.00%             | 2034-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2026-XL6                                              | BX COMMERCIAL MORTGAGE TRUST 2026-XL6 TSFR1M+130 03/15/2043 144A                                        | CUSIP: 12433NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    56753000 | PA      | $56788697.64    | 0.06%             | 2043-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2026-XL6                                              | BX COMMERCIAL MORTGAGE TRUST 2026-XL6 TSFR1M+180 03/15/2043 144A                                        | CUSIP: 12433NAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4709000 | PA      | $4711953.96     | 0.01%             | 2043-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2026-XL6                                              | BX COMMERCIAL MORTGAGE TRUST 2026-XL6 B VAR 03/15/2043 144A                                             | CUSIP: 12433NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5348000 | PA      | $5354712.81     | 0.01%             | 2043-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SV RNO PROPERTY OWNER 1 LLC                                                        | SV RNO PROPERTY OWNER 1 LLC 5.875% 03/01/2031 144A                                                      | CUSIP: 78488XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1310000 | PA      | $1315868.49     | 0.00%             | 2031-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RKTL 2026-1A                                                                       | RKTL 2026-1A 4.31% 02/26/2035 144A                                                                      | CUSIP: 74990JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1030000 | PA      | $1031172.14     | 0.00%             | 2035-02-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RKTL 2026-1A                                                                       | RKTL 2026-1A 4.7% 02/26/2035 144A                                                                       | CUSIP: 74990JAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4830000 | PA      | $4830314.43     | 0.01%             | 2035-02-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO LEASE TR 2026-A                                                        | NISSAN AUTO LEASE TR 2026-A A3 4.3% 03/15/2029                                                          | CUSIP: 65481HAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8430000 | PA      | $8444826.68     | 0.01%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST 2026-1A                                                  | KUBOTA CREDIT OWNER TRUST 2026-1A A3 0% 05/15/2030 144A                                                 | CUSIP: 50118HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14100000 | PA      | $14147924.49    | 0.02%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1                                      | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1 A3 4.18% 07/15/2030                                       | CUSIP: 80288FAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9860000 | PA      | $9880740.51     | 0.01%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2026-A                                             | CARMAX SELECT RECEIVABLES TRUST 2026-A 4.56% 05/17/2032                                                 | CUSIP: 142929AD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4645000 | PA      | $4657983.70     | 0.00%             | 2032-05-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2026-A                                             | CARMAX SELECT RECEIVABLES TRUST 2026-A A2A 4.37% 12/17/2029                                             | CUSIP: 142929AB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9100000 | PA      | $9101294.02     | 0.01%             | 2029-12-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885800 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     5000000 | NC      | $-4914.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    10000000 | NC      | $-117477.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1                                   | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1 4.05% 08/20/2029 144A                                  | CUSIP: 81885FAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14200000 | PA      | $14209928.64    | 0.02%             | 2029-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1                                   | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1A A3 4.13% 07/21/2031 144A                              | CUSIP: 81885FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    10800000 | PA      | $10833408.72    | 0.01%             | 2031-07-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2026-2                                                  | VERUS SECURITIZATION TRUST 2026-2 A1 VAR 02/25/2071 144A                                                | CUSIP: 92490GAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7252000 | PA      | $7242723.97     | 0.01%             | 2071-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                                                 | CNX RESOURCES CORP 5.875% 03/01/2034 144A                                                               | CUSIP: 12653CAM0<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      465000 | PA      | $465850.21      | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.207%/VAR 02/24/2037                                                                      | CUSIP: 06738EDK8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    12000000 | PA      | $11988673.92    | 0.01%             | 2037-02-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 4.219%/VAR 05/24/2030                                                                      | CUSIP: 06738EDG7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    20101000 | PA      | $20105394.88    | 0.02%             | 2030-05-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                                      | PG and E CORP 6.85%/VAR 09/15/2056                                                                      | CUSIP: 69331CAN8<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |      681000 | PA      | $679897.52      | 0.00%             | 2056-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2026-5C8                                                   | WELLS FARGO COML MTG TR 2026-5C8 5.38% 03/15/2059                                                       | CUSIP: 95005BAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3022000 | PA      | $3120696.10     | 0.00%             | 2059-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2026-5C8                                                   | WELLS FARGO COML MTG TR 2026-5C8 5.131% 03/15/2059                                                      | CUSIP: 95005BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29000000 | PA      | $29995459.80    | 0.03%             | 2059-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1                                      | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1 B 4.49% 04/15/2032                                        | CUSIP: 80288FAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     4500000 | PA      | $4514710.95     | 0.00%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REGENCY CTRS LP                                                                    | REGENCY CTRS LP 4.5% 03/15/2033                                                                         | CUSIP: 75884RBF9<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |     1616000 | PA      | $1616561.92     | 0.00%             | 2033-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+50 12/25/2030                                                    | CUSIP: 3137HQDN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    45300000 | PA      | $45314142.66    | 0.05%             | 2030-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 4.2% 04/15/2029 144A                                                        | CUSIP: 05401ABE0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     3442000 | PA      | $3432825.31     | 0.00%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 4.85% 04/01/2033 144A                                                       | CUSIP: 05401ABF7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      655000 | PA      | $649216.14      | 0.00%             | 2033-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CROSS 2026-NQM2 MTG TR                                                             | CROSS 2026-NQM2 A1A MTG TR VAR 03/25/2061 144A                                                          | CUSIP: 227924AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    17000000 | PA      | $17005652.50    | 0.02%             | 2061-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885800 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     7000000 | NC      | $-6880.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEIDOS INC                                                                         | LEIDOS INC 4.1% 03/15/2029                                                                              | CUSIP: 52532XAM7<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |     2942000 | PA      | $2949534.26     | 0.00%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                                                         | LEIDOS INC 5% 03/15/2036                                                                                | CUSIP: 52532XAN5<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    16500000 | PA      | $16461325.16    | 0.02%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CMBXBBB2 12/17/58 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      600000 | NC      | $48228.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VCAT ASSET SECURITIZATION LLC                                                      | VCAT ASSET SECURITIZATION LLC STEP 02/25/2056 144A                                                      | CUSIP: 921968AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    19400000 | PA      | $19399982.54    | 0.02%             | 2056-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARINGS ISSUER LLC 2026-SBP                                                        | BARINGS ISSUER LLC 2026-SBP 4.82% 02/25/2059                                                            | CUSIP: 06764UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    26835000 | PA      | $26871785.42    | 0.03%             | 2059-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2026-2                                                    | AOMT 2026-2 4.684% 02/25/2071 144A                                                                      | CUSIP: 03466LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9400000 | PA      | $9400000.00     | 0.01%             | 2071-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2026-B42 MTG TR                                                          | BENCHMARK 2026-B42 MTG TR 5.36247% 03/15/2059                                                           | CUSIP: 08164FAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16000000 | PA      | $16571828.80    | 0.02%             | 2059-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 09/01/2055#SL3648                                                                          | CUSIP: 31427RBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    19116762 | PA      | $20408964.84    | 0.02%             | 2055-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY562348 11/18/64 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     5000000 | NC      | $-1249652.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    25000000 | NC      | $-293692.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY885799 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     5400000 | NC      | $-63437.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RR 25 LTD                                                                          | RR LTD 2023-25A A1A2 TSFR3M+118 04/15/2041 144A                                                         | CUSIP: 75000KAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     8513000 | PA      | $8512957.44     | 0.01%             | 2041-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| VOYA FINANCIAL INC                                                                 | VOYA FINANCIAL INC 5.05% 03/02/2036                                                                     | CUSIP: 929089AK6<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |    15000000 | PA      | $14829193.95    | 0.02%             | 2036-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                               | VERISK ANALYTICS INC 4.45% 03/15/2031                                                                   | CUSIP: 92345YAP1<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |     3461000 | PA      | $3477857.84     | 0.00%             | 2031-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                  | EVERSOURCE ENERGY 6.375%/VAR 08/15/2056                                                                 | CUSIP: 30040WBD9<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      310000 | PA      | $311975.93      | 0.00%             | 2056-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                                  | UNION ELECTRIC CO 4.8% 03/15/2036                                                                       | CUSIP: 906548DB5<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |     7500000 | PA      | $7516672.80     | 0.01%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                  | EVERSOURCE ENERGY 6.125%/VAR 08/15/2056                                                                 | CUSIP: 30040WBC1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      440000 | PA      | $442006.24      | 0.00%             | 2056-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                             | WESCO DISTRIBUTION INC 5.25% 04/15/2031 144A                                                            | CUSIP: 95081QAT1<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |      505000 | PA      | $504106.15      | 0.00%             | 2031-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                             | WESCO DISTRIBUTION INC 5.5% 04/15/2034 144A                                                             | CUSIP: 95081QAU8<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |      525000 | PA      | $529074.00      | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| Phillips Edison Grocery Center Operating Partnership I LP                          | Phillips Edison Grocery Center Operating Partnership I LP 4.75% 03/15/2033                              | CUSIP: 71845JAE8<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |     7122000 | PA      | $7134525.82     | 0.01%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.234% 09/25/2035                                                        | CUSIP: 3137HQME8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    33934000 | PA      | $34092607.52    | 0.04%             | 2035-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WYNDHAM HOTELS and RESORTS INC                                                     | WYNDHAM HOTELS and RESORTS INC 5.625% 03/01/2033 144A                                                   | CUSIP: 98311AAE5<br>LEI: 549300FE3MQ4RVXXC673 | Long             | DBT              | CORP              | US        |      875000 | PA      | $880493.97      | 0.00%             | 2033-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTYS LP and RHP FIN CORP                                                | RHP HOTEL PPTYS LP and RHP FIN CORP 5.75% 03/15/2034 144A                                               | CUSIP: 74984CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      385000 | PA      | $387808.96      | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                                                               | ROMANIA REPUBLIC OF 4.625% 03/04/2033 144A                                                              | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     1030000 | PA      | $1214005.38     | 0.00%             | 2033-03-04      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 4.35% 04/15/2031                                                                         | CUSIP: 87612GAT8<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     7414000 | PA      | $7414595.64     | 0.01%             | 2031-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GLP CAP LP / GLP FING II INC                                                       | GLP CAP LP / GLP FING II INC 5.625% 03/01/2036                                                          | CUSIP: 361841AX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1095000 | PA      | $1094874.13     | 0.00%             | 2036-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.973 02/25/31                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    32300000 | NC      | $1118895.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.973 02/25/31                                                                            | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    32300000 | NC      | $1021221.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     1200000 | NC      | $96466.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CZ030008 12/17/57 B                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     2350000 | NC      | $188913.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CMBXBBB2 12/17/58 B                                                                           | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     2000000 | NC      | $160761.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES COMPANY                                                          | MATADOR RES CO 6% 04/15/2034 144A                                                                       | CUSIP: 576485AJ5<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |      220000 | PA      | $219734.59      | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO/THE                                                                    | CHEMOURS CO/THE 7.875% 03/15/2034 144A                                                                  | CUSIP: 163851AL2<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |      310000 | PA      | $309612.97      | 0.00%             | 2034-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                    | XCEL ENERGY INC 5.85%/VAR 12/03/2056                                                                    | CUSIP: 98389BBF6<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     1095000 | PA      | $1094995.31     | 0.00%             | 2056-12-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                                                          | BANK NEW YORK MELLON CORP 0% PERP                                                                       | CUSIP: 064058AS9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |      875000 | PA      | $874828.89      | 0.00%             | 2199-12-31      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                          | SUNOCO LP 5.625% 07/15/2034 144A                                                                        | CUSIP: 86765KAN9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      875000 | PA      | $874864.09      | 0.00%             | 2034-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                                          | SUNOCO LP 5.375% 07/15/2031 144A                                                                        | CUSIP: 86765KAM1<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      695000 | PA      | $696622.83      | 0.00%             | 2031-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY562346 11/18/64 S                                                                         | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     1997254 | NC      | $-852.43        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                                | GSCOFI SWAP CY885801 12/15/56 S                                                                         | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     6000000 | NC      | $-1219769.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** Heather Bonner

**Signature:** Heather Bonner

**Name of Signer:** Heather Bonner

**Title:** President and Treasurer