# EDGAR Filing Document

**Accession Number:** 0000080249
**File Stem:** 0001099263-25-001762
**Filing Date:** 2025-10
**Character Count:** 750582
**Document Hash:** 59b2d81d2b0992bf0cda2ef0303de914
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-001762.hdr.sgml**: 20251028

**ACCESSION NUMBER**: 0001099263-25-001762

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251028

**DATE AS OF CHANGE**: 20251028

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price New Income Fund, Inc.
- **CENTRAL INDEX KEY:** 0000080249

**ORGANIZATION NAME:**
- **EIN:** 520980581
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02396
- **FILM NUMBER:** 251424231

**BUSINESS ADDRESS:**
- **STREET 1:** 1307 POINT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231
- **BUSINESS PHONE:** 410-345-2000

**MAIL ADDRESS:**
- **STREET 1:** 1307 POINT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

  - **Street Address 1:** 1307 Point Street

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21231

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-08-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $16917850264.27

**Total Liabilities:** $506145010.69

**Net Assets:** $16411705253.58

**Delayed Delivery Securities:** $9015000.00

**Stand-by Commitments:** $116679630.20

**Cash Not Reported:** $3527819.06

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -7640.663043 | **1-Year:** -366297.846653 | **5-Year:** -2451776.226604 | **10-Year:** -1869817.616843 | **30-Year:** -593947.350951

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

- **3-Month:** -10335.549597 | **1-Year:** -32665.916829 | **5-Year:** -197685.524826 | **10-Year:** -58292.255565 | **30-Year:** -7924.821705

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000005529 | 1.63%                | -0.24%               | 1.15%                |
| Class ID C000005530 | 1.60%                | -0.28%               | 1.11%                |
| Class ID C000005531 | 1.58%                | -0.29%               | 0.97%                |
| Class ID C000159679 | 1.51%                | -0.10%               | 1.04%                |
| Class ID C000219349 | 1.54%                | -0.07%               | 1.07%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5224517.78              | $176820049.26                              |
| Month 2  | $2308992.65              | $-89158200.55                              |
| Month 3  | $9853122.14              | $106007039.26                              |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                                            | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| 3M Co                                                                           | 3M CO                                                                           | CUSIP: 88579YBR1<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |  17335000 | PA      | $17594192.92  | 0.11%             | 2035-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| 3M Co                                                                           | 3M CO                                                                           | CUSIP: 88579YBQ3<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |  17550000 | PA      | $17940013.65  | 0.11%             | 2030-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO 2019-5 Ltd                                                      | 522 FUNDING CLO 2019-5 LTD                                                      | CUSIP: 33829WAE9<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |  16085000 | PA      | $16091504.61  | 0.10%             | 2035-04-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| AAdvantage Loyalty IP Ltd                                                       | AADVANTAGE LOYALTY IP LTD                                                       | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |   8168195 | PA      | $8138871.63   | 0.05%             | 2028-04-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Abu Dhabi Developmental Holding Co PJSC                                         | ABU DHABI DEVELOPMENTAL HOLDING CO PJSC                                         | CUSIP: 00402AAB7<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |   9950000 | PA      | $10076921.60  | 0.06%             | 2035-05-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Abu Dhabi Developmental Holding Co PJSC                                         | ABU DHABI DEVELOPMENTAL HOLDING CO PJSC                                         | CUSIP: 00402AAA9<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |  18840000 | PA      | $19042279.24  | 0.12%             | 2030-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Advance Auto Parts Inc                                                          | ADVANCE AUTO PARTS INC                                                          | CUSIP: 00751YAK2<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |   2055000 | PA      | $2106970.95   | 0.01%             | 2030-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Advance Auto Parts Inc                                                          | ADVANCE AUTO PARTS INC                                                          | CUSIP: 00751YAL0<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |   1910000 | PA      | $1957599.11   | 0.01%             | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Aedifica SA                                                                     | AEDIFICA SA                                                                     | CUSIP: BR2819927<br>LEI: 529900DTKNXL0AXQFN28 | Long             | DBT              | CORP              | BE        |   3800000 | PA      | $3777132.12   | 0.02%             | 2031-09-09      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co LLC                                                         | AEP TRANSMISSION CO LLC                                                         | CUSIP: 00115AAS8<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1026541.00   | 0.01%             | 2035-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AES Andes SA                                                                    | AES ANDES SA                                                                    | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |   3240000 | PA      | $3357952.20   | 0.02%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AES Corp/The                                                                    | AES CORP/THE                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |  24580000 | PA      | $25318973.12  | 0.15%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                             | AFFIRM MASTER TRUST                                                             | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  26955000 | PA      | $27104904.84  | 0.17%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| AGCO Corp                                                                       | AGCO CORP                                                                       | CUSIP: 001084AS1<br>LEI: LYOM0B2GCF1JWXK5ZG04 | Long             | DBT              | CORP              | US        |   4170000 | PA      | $4285321.35   | 0.03%             | 2034-03-21      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AGL CLO 13 Ltd                                                                  | AGL CLO 13 LTD                                                                  | CUSIP: 00120JAN3<br>LEI: 254900DIJ0G5TXNJMM06 | Long             | ABS-CBDO         | CORP              | KY        |   4860000 | PA      | $4881837.20   | 0.03%             | 2034-10-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | AH PARENT,INC. SER A PREFERRED SHARES PP                                        | CUSIP: TC3I9NQ04<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1745 | NS      | $1747024.20   | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Alera Group Inc                                                                 | ALERA GROUP INC                                                                 | CUSIP: 01451PAB2<br>LEI: 2549003D76KZAKICNX26 | Long             | LON              | CORP              | US        |   4540000 | PA      | $4555980.80   | 0.03%             | 2032-05-30      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities Inc                                             | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271BC2<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   2525000 | PA      | $2500078.25   | 0.02%             | 2036-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC                                               | ALLIANT HOLDINGS INTERMEDI                                                      | CUSIP: 01881UAN5<br>LEI: 5493006Q26653NF8SI73 | Long             | LON              | CORP              | US        |  15242503 | PA      | $15205311.13  | 0.09%             | 2031-09-19      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                  | ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER                  | CUSIP: 01883LAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3625000 | PA      | $3688437.50   | 0.02%             | 2028-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                  | ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER                  | CUSIP: 01883LAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4945000 | PA      | $5056262.50   | 0.03%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                  | ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER                  | CUSIP: 01883LAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2450000 | PA      | $2532687.50   | 0.02%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc                                                              | ALLY FINANCIAL INC                                                              | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |  14670000 | PA      | $15834886.02  | 0.10%             | 2030-01-03      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Alpha Generation LLC                                                            | ALPHA GENERATION LLC                                                            | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |   2310000 | PA      | $2376412.50   | 0.01%             | 2032-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America Inc                                               | AMCOR FLEXIBLES NORTH AMERICA INC                                               | CUSIP: 02344AAF5<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   7400000 | PA      | $7482199.20   | 0.05%             | 2028-03-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America Inc                                               | AMCOR FLEXIBLES NORTH AMERICA INC                                               | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   4620000 | PA      | $4725742.56   | 0.03%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| American Express Co                                                             | AMERICAN EXPRESS CO                                                             | CUSIP: 025816EH8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   6685000 | PA      | $6979166.74   | 0.04%             | 2036-04-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| American Express Co                                                             | AMERICAN EXPRESS CO                                                             | CUSIP: 025816EF2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  17670000 | PA      | $18146029.80  | 0.11%             | 2031-04-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| American Express Co                                                             | AMERICAN EXPRESS CO                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   7040000 | PA      | $7122952.32   | 0.04%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent LP                                                        | AMERICAN HOMES 4 RENT LP                                                        | CUSIP: 02666TAJ6<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |   4645000 | PA      | $4647968.16   | 0.03%             | 2035-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| American Medical Systems Europe BV                                              | AMERICAN MEDICAL SYSTEMS EUROPE BV                                              | CUSIP: YR6801314<br>LEI: 549300AA2JE6ZQ5D2493 | Long             | DBT              | CORP              | NL        |  11841000 | PA      | $13592215.00  | 0.08%             | 2034-03-08      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Americredit Automobile Receivables Trust 2023-1                                 | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-1                                 | CUSIP: 03067BAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10995000 | PA      | $11208395.36  | 0.07%             | 2028-12-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Amrize Finance US LLC                                                           | AMRIZE FINANCE US LLC                                                           | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |   7190000 | PA      | $7311295.30   | 0.04%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Amrize Finance US LLC                                                           | AMRIZE FINANCE US LLC                                                           | CUSIP: 43475RAB2<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |   6115000 | PA      | $6192152.96   | 0.04%             | 2028-04-07      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AngloGold Ashanti Holdings PLC                                                  | ANGLOGOLD ASHANTI HOLDINGS PLC                                                  | CUSIP: 03512TAF8<br>LEI: 213800745ZIXC4L6A131 | Long             | DBT              | CORP              | IM        |   3725000 | PA      | $3580395.50   | 0.02%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc                                              | ANHEUSER-BUSCH INBEV WORLDWIDE INC                                              | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |  17115000 | PA      | $16778211.03  | 0.10%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | AP GRANGE HOLDINGS PP                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  16600000 | PA      | $16442300.00  | 0.10%             | 2045-03-20      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| APA Infrastructure Ltd                                                          | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00188LAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   4400000 | PA      | $4282229.60   | 0.03%             | 2044-09-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| APA Infrastructure Ltd                                                          | APA INFRASTRUCTURE LTD                                                          | CUSIP: BO4852667<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   3520000 | PA      | $3814259.60   | 0.02%             | 2029-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd                                                          | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   3250000 | PA      | $3255437.25   | 0.02%             | 2034-09-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Appalachian Power Co                                                            | APPALACHIAN POWER CO                                                            | CUSIP: 037735DB0<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   4090000 | PA      | $4237383.15   | 0.03%             | 2034-04-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Applebee s Funding LLC / IHOP Funding LLC                                       | APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC                                       | CUSIP: 03789XAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7880000 | PA      | $8025241.80   | 0.05%             | 2053-03-05      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| Applied Systems Inc                                                             | APPLIED SYSTEMS INC                                                             | CUSIP: 000000000<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |  21006501 | PA      | $20969739.40  | 0.13%             | 2031-02-24      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Applied Systems Inc                                                             | APPLIED SYSTEMS INC                                                             | CUSIP: 03827FBC4<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |    881635 | PA      | $901912.77    | 0.01%             | 2032-02-23      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| AppLovin Corp                                                                   | APPLOVIN CORP                                                                   | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   5870000 | PA      | $6035076.14   | 0.04%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Ares Strategic Income Fund                                                      | ARES STRATEGIC INCOME FUND                                                      | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |   4180000 | PA      | $4201589.70   | 0.03%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Arthur J Gallagher & Co                                                         | ARTHUR J GALLAGHER & CO                                                         | CUSIP: 04316JAL3<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |   3440000 | PA      | $3508927.28   | 0.02%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Arthur J Gallagher & Co                                                         | ARTHUR J GALLAGHER & CO                                                         | CUSIP: 04316JAM1<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1241423.20   | 0.01%             | 2032-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ascend Learning LLC                                                             | ASCEND LEARNING LLC                                                             | CUSIP: 04349HAN4<br>LEI: 549300T466HKRLVCD610 | Long             | LON              | CORP              | US        |   5962212 | PA      | $5956607.29   | 0.04%             | 2028-12-11      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Aspen Insurance Holdings Ltd                                                    | ASPEN INSURANCE HOLDINGS LTD                                                    | CUSIP: 04530DAE2<br>LEI: 549300YX6HECG9XQCQ75 | Long             | DBT              | CORP              | BM        |   1830000 | PA      | $1901274.91   | 0.01%             | 2030-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                     | ASURION LLC                                                                     | CUSIP: 04649VBE9<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |   2239502 | PA      | $2212628.10   | 0.01%             | 2030-09-19      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                     | ASURION LLC                                                                     | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |   7210000 | PA      | $6830321.40   | 0.04%             | 2029-01-20      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                     | ASURION LLC                                                                     | CUSIP: 04649VAZ3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |   7728454 | PA      | $7508656.88   | 0.05%             | 2028-01-31      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                     | ASURION LLC                                                                     | CUSIP: 04649VBC3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |   4943664 | PA      | $4936692.97   | 0.03%             | 2028-08-19      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                        | AT&T INC                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   9230000 | PA      | $6153899.44   | 0.04%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AthenaHealth Group Inc                                                          | ATHENAHEALTH GROUP INC                                                          | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |   4940774 | PA      | $4935635.17   | 0.03%             | 2029-02-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                           | ATHENE GLOBAL FUNDING                                                           | CUSIP: 04685A3Z2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |  18015000 | PA      | $18593353.56  | 0.11%             | 2031-07-11      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Atlassian Corp                                                                  | ATLASSIAN CORP                                                                  | CUSIP: 049468AA9<br>LEI: 549300V7ZY5P02D2MY38 | Long             | DBT              | CORP              | US        |   5055000 | PA      | $5200275.65   | 0.03%             | 2029-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Autostrade per l Italia SpA                                                     | AUTOSTRADE PER L'ITALIA SPA                                                     | CUSIP: BN4840177<br>LEI: 815600149448CEB9B230 | Long             | DBT              | CORP              | IT        |  17020000 | PA      | $19046534.72  | 0.12%             | 2030-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Auxilior Term Funding 2024-1 LLC                                                | AUXILIOR TERM FUNDING 2024-1 LLC                                                | CUSIP: 05335FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5580000 | PA      | $5692837.64   | 0.03%             | 2031-07-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Auxilior Term Funding 2024-1 LLC                                                | AUXILIOR TERM FUNDING 2024-1 LLC                                                | CUSIP: 05335FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2856513 | PA      | $2870178.50   | 0.02%             | 2027-03-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Avalara Inc                                                                     | AVALARA INC                                                                     | CUSIP: 05338G9A6<br>LEI: 549300Q16CMW239SS315 | Long             | LON              | CORP              | US        |   5870000 | PA      | $5902637.20   | 0.04%             | 2032-03-26      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| BAE Systems PLC                                                                 | BAE SYSTEMS PLC                                                                 | CUSIP: 05523RAL1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |  10970000 | PA      | $11248056.59  | 0.07%             | 2034-03-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co                                                   | BALTIMORE GAS AND ELECTRIC CO                                                   | CUSIP: 059165ET3<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |   5310000 | PA      | $5482697.13   | 0.03%             | 2035-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                                              | BANCO BILBAO VIZCAYA ARGENTARIA SA                                              | CUSIP: ZK9151877<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |   1500000 | PA      | $1871108.81   | 0.01%             | 2033-09-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                                              | BANCO BILBAO VIZCAYA ARGENTARIA SA                                              | CUSIP: 05946KAR2<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |  24400000 | PA      | $25539626.40  | 0.16%             | 2035-03-13      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  13098000 | PA      | $11537962.71  | 0.07%             | 2032-07-21      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  25037000 | PA      | $26182793.27  | 0.16%             | 2029-09-15      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  76106000 | PA      | $67518275.07  | 0.41%             | 2031-07-23      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9896000 | PA      | $10225586.28  | 0.06%             | 2035-01-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GMD8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  18145000 | PA      | $18244271.30  | 0.11%             | 2035-10-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR10                                                                | BANK5 2024-5YR10                                                                | CUSIP: 06604AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2590000 | PA      | $2659694.83   | 0.02%             | 2057-10-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR10                                                                | BANK5 2024-5YR10                                                                | CUSIP: 06604AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5050000 | PA      | $5213132.68   | 0.03%             | 2057-10-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR12                                                                | BANK5 2024-5YR12                                                                | CUSIP: 06644XBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9095000 | PA      | $9585093.17   | 0.06%             | 2057-12-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738ECX1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   8060000 | PA      | $8178070.94   | 0.05%             | 2029-02-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738EDE2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   4210000 | PA      | $4187661.74   | 0.03%             | 2046-08-11      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                    | BARCLAYS PLC                                                                    | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   9700000 | PA      | $10006549.10  | 0.06%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                                                | BAT CAPITAL CORP                                                                | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |  18240000 | PA      | $18709205.76  | 0.11%             | 2032-08-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Bausch + Lomb Corp                                                              | BAUSCH + LOMB CORP                                                              | CUSIP: 000000000<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |   4720000 | PA      | $4720849.60   | 0.03%             | 2031-01-15      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance LLC                                                            | BAYER US FINANCE LLC                                                            | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |  11085000 | PA      | $11901742.80  | 0.07%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | BAYVIEW FINANCING TRUST 2024-2F A                                               | CUSIP: 07336XAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  19545891 | PA      | $19642642.96  | 0.12%             | 2029-11-01      | Variable      | 7.07%                 | Yes           |                  3 | On Loan: No      |
| Bayview Opportunity Master Fund VII 2024-CAR1 LLC                               | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                               | CUSIP: 07336QAA0<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |   5613213 | PA      | $5628931.93   | 0.03%             | 2031-12-26      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII 2024-CAR1 LLC                               | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                               | CUSIP: 07336QAC6<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    122079 | PA      | $122534.38    | 0.00%             | 2031-12-26      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| BBCMS 2019-BWAY Mortgage Trust                                                  | BBCMS 2019-BWAY MORTGAGE TRUST                                                  | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10230000 | PA      | $153552.30    | 0.00%             | 2034-11-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Belron Finance 2019 LLC                                                         | BELRON FINANCE 2019 LLC                                                         | CUSIP: 08078UAN3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   4961075 | PA      | $4982159.69   | 0.03%             | 2031-10-16      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Belron UK Finance PLC                                                           | BELRON UK FINANCE PLC                                                           | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |   2810000 | PA      | $2838100.00   | 0.02%             | 2029-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XXIII Ltd                                           | BENEFIT STREET PARTNERS CLO XXIII LTD                                           | CUSIP: 08186VAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1505000 | PA      | $1500776.08   | 0.01%             | 2034-04-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Beth Israel Lahey Health Inc                                                    | BETH ISRAEL LAHEY HEALTH INC                                                    | CUSIP: 08661UAC0<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |   3225000 | PA      | $3255858.51   | 0.02%             | 2030-07-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust 2021-INV1                                            | BINOM SECURITIZATION TRUST 2021-INV1                                            | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6937505 | PA      | $6311441.44   | 0.04%             | 2056-06-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust 2022-INV1                                            | BINOM SECURITIZATION TRUST 2022-INV1                                            | CUSIP: 090975AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3183592 | PA      | $3084989.38   | 0.02%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Blackstone Property Partners Europe Holdings Sarl                               | BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                               | CUSIP: ZR4791987<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |   8470000 | PA      | $9445210.23   | 0.06%             | 2029-03-12      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C5 Mortgage Trust                                                     | BMO 2024-5C5 MORTGAGE TRUST                                                     | CUSIP: 05593RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21523363 | PA      | $22568804.40  | 0.14%             | 2057-02-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                  | BNP PARIBAS SA                                                                  | CUSIP: YV2866171<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1300000 | PA      | $1547485.23   | 0.01%             | 2034-08-28      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                                                   | BOEING CO/THE                                                                   | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  24802000 | PA      | $27225130.60  | 0.17%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                                                   | BOEING CO/THE                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   8335000 | PA      | $8294975.33   | 0.05%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                                                   | BOEING CO/THE                                                                   | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   6672000 | PA      | $7322906.98   | 0.04%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                                                   | BOEING CO/THE                                                                   | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   8645000 | PA      | $9387674.66   | 0.06%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                                                   | BOEING CO/THE                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   9233000 | PA      | $6579103.41   | 0.04%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Bon Secours Mercy Health Inc                                                    | BON SECOURS MERCY HEALTH INC                                                    | CUSIP: 09778PAA3<br>LEI: 5493006NA7JSVYYYF398 | Long             | DBT              | CORP              | US        |   5370000 | PA      | $5205200.07   | 0.03%             | 2030-06-01      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Booz Allen Hamilton Inc                                                         | BOOZ ALLEN HAMILTON INC                                                         | CUSIP: 09951LAC7<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |   9347000 | PA      | $9761371.20   | 0.06%             | 2033-08-04      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| Booz Allen Hamilton Inc                                                         | BOOZ ALLEN HAMILTON INC                                                         | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |  10885000 | PA      | $11196985.87  | 0.07%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| Boston Gas Co                                                                   | BOSTON GAS CO                                                                   | CUSIP: 100743AN3<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |   5860000 | PA      | $5804857.40   | 0.04%             | 2053-07-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BRE Grand Islander Timeshare Issuer 2019-A LLC                                  | BRE GRAND ISLANDER TIMESHARE ISSUER 2019-A LLC                                  | CUSIP: 05588UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2716557 | PA      | $2684633.04   | 0.02%             | 2033-09-26      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAN3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   3630000 | PA      | $3703630.92   | 0.02%             | 2032-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAE3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |  30217000 | PA      | $30067697.80  | 0.18%             | 2027-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                    | BROADCOM INC                                                                    | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   8245000 | PA      | $8222433.44   | 0.05%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                    | BROADCOM INC                                                                    | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |  13255000 | PA      | $13707340.13  | 0.08%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Bulgaria Government International Bond                                          | BULGARIA GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: YO0398140<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |  20560000 | PA      | $24320336.43  | 0.15%             | 2038-05-07      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                                | BURLINGTON NORTHERN SANTA FE LLC                                                | CUSIP: 12189LBL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  14325000 | PA      | $13914101.70  | 0.08%             | 2055-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2024-GPA3                                          | BX COMMERCIAL MORTGAGE TRUST 2024-GPA3                                          | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17559749 | PA      | $17609102.02  | 0.11%             | 2039-12-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2024-MDHS                                          | BX COMMERCIAL MORTGAGE TRUST 2024-MDHS                                          | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31838583 | PA      | $31918179.43  | 0.19%             | 2041-05-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2024-SLCT                                          | BX COMMERCIAL MORTGAGE TRUST 2024-SLCT                                          | CUSIP: 12433JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13305000 | PA      | $13284216.26  | 0.08%             | 2042-01-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| BX Trust 2025-TAIL                                                              | BX TRUST 2025-TAIL                                                              | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5460000 | PA      | $5466825.00   | 0.03%             | 2035-06-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                 | CAD/USD FWD 20251024 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | CA        |         1 | NC      | $138470.71    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | CAD/USD FWD 20251024 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | CA        |         1 | NC      | $-5055.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO DOMINION SECURITIES                                                     | CAD/USD FWD 20251024 TDOMCATT                                                   | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | N/A              | DFE              | CORP              | CA        |         1 | NC      | $-568705.80   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc                                                       | CAESARS ENTERTAIN INC                                                           | CUSIP: 12768EAG1<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |   3364422 | PA      | $3351805.91   | 0.02%             | 2030-02-06      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                                    | CAIXABANK SA                                                                    | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  19705000 | PA      | $20732477.82  | 0.13%             | 2035-06-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                                    | CAIXABANK SA                                                                    | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  10440000 | PA      | $10514739.96  | 0.06%             | 2036-07-03      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                                    | CAIXABANK SA                                                                    | CUSIP: 12803RAA2<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  21910000 | PA      | $22833703.69  | 0.14%             | 2029-01-18      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                                    | CAIXABANK SA                                                                    | CUSIP: 12803RAL8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  11725000 | PA      | $11862358.38  | 0.07%             | 2031-07-03      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE 5 YEAR CANADIAN BOND FUTURE                                   | CAN 5YR BOND FUT  DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |      -277 | NC      | $-64954.37    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Cantor Commercial Real Estate Lending 2019-CF2                                  | CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF2                                  | CUSIP: 12528YAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9752000 | PA      | $8905648.30   | 0.05%             | 2052-11-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                      | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3361000 | PA      | $3486866.09   | 0.02%             | 2030-02-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                      | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3005000 | PA      | $3412655.30   | 0.02%             | 2031-10-30      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust 2022-1                                                  | CARMAX AUTO OWNER TRUST 2022-1                                                  | CUSIP: 14317CAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11975000 | PA      | $11813660.83  | 0.07%             | 2027-11-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust 2024-1                                                  | CARMAX AUTO OWNER TRUST 2024-1                                                  | CUSIP: 14318WAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2585000 | PA      | $2631389.38   | 0.02%             | 2029-08-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust 2024-3                                                  | CARMAX AUTO OWNER TRUST 2024-3                                                  | CUSIP: 14319GAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10260000 | PA      | $10382505.43  | 0.06%             | 2029-07-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Carmax Select Receivables Trust 2024-A                                          | CARMAX SELECT RECEIVABLES TRUST 2024-A                                          | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5115000 | PA      | $5170392.38   | 0.03%             | 2028-11-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Carnival Corp                                                                   | CARNIVAL CORP                                                                   | CUSIP: 143658BW1<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   3575000 | PA      | $3762687.50   | 0.02%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2022-N1                                          | CARVANA AUTO RECEIVABLES TRUST 2022-N1                                          | CUSIP: 14686GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    643460 | PA      | $634830.79    | 0.00%             | 2028-12-11      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2022-P1                                          | CARVANA AUTO RECEIVABLES TRUST 2022-P1                                          | CUSIP: 14688DAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13955000 | PA      | $13683297.55  | 0.08%             | 2028-04-10      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2024-P2                                          | CARVANA AUTO RECEIVABLES TRUST 2024-P2                                          | CUSIP: 14688PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13890000 | PA      | $14207986.55  | 0.09%             | 2030-06-10      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| CBRE Services Inc                                                               | CBRE SERVICES INC                                                               | CUSIP: 12505BAJ9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |   4575000 | PA      | $4643021.10   | 0.03%             | 2030-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp                                    | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6710000 | PA      | $6953237.50   | 0.04%             | 2031-03-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp                                    | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4320000 | PA      | $3985200.00   | 0.02%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp                                    | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5275000 | PA      | $4701343.75   | 0.03%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CDX IG S44 PAY 60 10/15/2025 CHAS                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $1280905.24   | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | CDX IG S44 PAY 70 10/15/2025 CHAS                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-627103.95   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | CELANESE US HOLDINGS LLC                                                        | CUSIP: 15089QAX2<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   2349000 | PA      | $2434151.25   | 0.01%             | 2030-11-15      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | CELANESE US HOLDINGS LLC                                                        | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |  14820000 | PA      | $15264600.00  | 0.09%             | 2032-07-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Cellnex Finance Co SA                                                           | CELLNEX FINANCE CO SA                                                           | CUSIP: BN9906411<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |   9200000 | PA      | $9580432.77   | 0.06%             | 2033-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Cellnex Finance Co SA                                                           | CELLNEX FINANCE CO SA                                                           | CUSIP: BR3179453<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |  12400000 | PA      | $13093656.51  | 0.08%             | 2032-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Cellnex Telecom SA                                                              | CELLNEX TELECOM SA                                                              | CUSIP: ZO9508185<br>LEI: 5493008T4YG3AQUI7P67 | Long             | DBT              | CORP              | ES        |   8800000 | PA      | $9562725.16   | 0.06%             | 2030-10-23      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Celulosa Arauco y Constitucion SA                                               | CELULOSA ARAUCO Y CONSTITUCION SA                                               | CUSIP: 151191BR3<br>LEI: 549300QEKV8G0AMNQD28 | Long             | DBT              | CORP              | CL        |   1880000 | PA      | $1947398.00   | 0.01%             | 2032-05-05      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Centene Corp                                                                    | CENTENE CORP                                                                    | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   3340000 | PA      | $3248630.96   | 0.02%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Centene Corp                                                                    | CENTENE CORP                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |  41038000 | PA      | $39250097.45  | 0.24%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Ceska sporitelna AS                                                             | CESKA SPORITELNA AS                                                             | CUSIP: ZI6402112<br>LEI: 9KOGW2C2FCIOJQ7FF485 | Long             | DBT              | CORP              | CZ        |   1500000 | PA      | $1831744.81   | 0.01%             | 2028-03-08      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Ceska sporitelna AS                                                             | CESKA SPORITELNA AS                                                             | CUSIP: ZF2083797<br>LEI: 9KOGW2C2FCIOJQ7FF485 | Long             | DBT              | CORP              | CZ        |   1500000 | PA      | $1844782.73   | 0.01%             | 2030-01-15      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Ceska sporitelna AS                                                             | CESKA SPORITELNA AS                                                             | CUSIP: YX9830838<br>LEI: 9KOGW2C2FCIOJQ7FF485 | Long             | DBT              | CORP              | CZ        |   1500000 | PA      | $1840094.21   | 0.01%             | 2031-07-03      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13332000 | PA      | $8808532.39   | 0.05%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Charter Next Generation Inc                                                     | CHARTER NEXT GENERATION                                                         | CUSIP: 16125TAM4<br>LEI: 549300KRNU8RNVGYXG75 | Long             | LON              | CORP              | US        |  11726673 | PA      | $11772289.55  | 0.07%             | 2030-11-29      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes Series 2025-1                                    | CHASE AUTO CREDIT LINKED NOTES SERIES 2025-1                                    | CUSIP: 46591HCS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13453310 | PA      | $13539060.94  | 0.08%             | 2033-02-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust 2024-RPL4                                     | CHASE HOME LENDING MORTGAGE TRUST 2024-RPL4                                     | CUSIP: 16160NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2319769 | PA      | $2066569.74   | 0.01%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Chevron Phillips Chemical Co LLC / Chevron Phillips Chemical Co LP              | CHEVRON PHILLIPS CHEMICAL CO LLC / CHEVRON PHILLIPS CHEMICAL CO LP              | CUSIP: 166754AX9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    955000 | PA      | $973249.10    | 0.01%             | 2030-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Chile Electricity Lux Mpc II Sarl                                               | CHILE ELECTRICITY LUX MPC II SARL                                               | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   7311737 | PA      | $7396553.55   | 0.05%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Chorus Ltd                                                                      | CHORUS LTD                                                                      | CUSIP: BY6622025<br>LEI: R7NJHU48LTCIOB9BVU57 | Long             | DBT              | CORP              | NZ        |   3115000 | PA      | $3724448.19   | 0.02%             | 2029-09-07      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | CHPE LLC SR SECURED NOTE PP                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3500000.00   | 0.02%             | 2035-09-30      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding 2018-I Ltd                                                         | CIFC FUNDING 2018-I LTD                                                         | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |  18615000 | PA      | $18685737.00  | 0.11%             | 2038-01-18      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2020-IV Ltd                                                        | CIFC FUNDING 2020-IV LTD                                                        | CUSIP: 12562RAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10530000 | PA      | $10546942.03  | 0.06%             | 2040-01-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Citadel Securities Global Holdings LLC                                          | CITADEL SECURITIES GLOBA                                                        | CUSIP: 17288YAN2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |  53808011 | PA      | $53931231.74  | 0.33%             | 2031-10-31      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2020-555                                    | CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-555                                    | CUSIP: 17328EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $4762543.50   | 0.03%             | 2041-12-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2020-555                                    | CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-555                                    | CUSIP: 17328EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8370000 | PA      | $7315272.86   | 0.04%             | 2041-12-10      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967PG0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  23848000 | PA      | $24435972.44  | 0.15%             | 2035-02-13      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  10603000 | PA      | $9507285.98   | 0.06%             | 2032-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  18360000 | PA      | $18894918.60  | 0.12%             | 2036-01-24      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                   | CITIGROUP INC                                                                   | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  23275000 | PA      | $23665973.45  | 0.14%             | 2031-05-07      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2022-INV1                                         | CITIGROUP MORTGAGE LOAN TRUST 2022-INV1                                         | CUSIP: 17290FBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6644516 | PA      | $5621034.46   | 0.03%             | 2051-11-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| City of Los Angeles Department of Airports                                      | CITY OF LOS ANGELES DEPARTMENT OF AIRPORTS                                      | CUSIP: 544435C32<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2975000 | PA      | $3192299.95   | 0.02%             | 2039-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| Civitas Resources Inc                                                           | CIVITAS RESOURCES INC                                                           | CUSIP: 17888HAD5<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |   4515000 | PA      | $4763325.00   | 0.03%             | 2033-06-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                                               | CLARIOS GLOBAL LP                                                               | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | US        |   6680000 | PA      | $6680000.00   | 0.04%             | 2032-01-28      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP / Clarios US Finance Co                                       | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                       | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2050000 | PA      | $2116625.00   | 0.01%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP / Clarios US Finance Co                                       | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                       | CUSIP: 18060TAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1667000 | PA      | $1704507.50   | 0.01%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Clarus Capital Funding 2024-1 LLC                                               | CLARUS CAPITAL FUNDING 2024-1 LLC                                               | CUSIP: 18271JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6400293 | PA      | $6415546.52   | 0.04%             | 2032-08-20      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Clearwater Analytics LLC                                                        | CLEARWATER ANALYTICS LLC                                                        | CUSIP: 18512EAF9<br>LEI: 894500N8DN2JO5ZDRQ11 | Long             | LON              | CORP              | US        |   5105000 | PA      | $5108216.15   | 0.03%             | 2032-04-21      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group Inc                                                        | CLOUD SOFTWARE GRP INC                                                          | CUSIP: 88632NBK5<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |   4994900 | PA      | $5006338.32   | 0.03%             | 2031-03-21      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | CLP/USD FWD 20251107 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | CL        |         1 | NC      | $718.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                             | CLP/USD FWD 20251107 MRMDUS33                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | CL        |         1 | NC      | $251896.01    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | CME - USD IRS 4/24/35 PAY FIX_C                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-2551468.42  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | CME - USD IRS 4/30/35 PAY FIX_C                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-137197.69   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | CME - USD IRS 5/16/35 PAY FIX_C                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-12416576.10 | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | CME-USD IRS 7/2/35 PAY FIX GSIL_C                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-235906.78   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | CME-USD IRS 9/2/35 PAY FIX CITI_C                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $10840.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CNO Global Funding                                                              | CNO GLOBAL FUNDING                                                              | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   3885000 | PA      | $3967758.27   | 0.02%             | 2029-09-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Cogentrix Finance Holdco I LLC                                                  | COGENTRIX FINANCE HOLDCO                                                        | CUSIP: 19239LAC0<br>LEI: 254900V51P55ABN4UU67 | Long             | LON              | CORP              | US        |   4975880 | PA      | $4987275.22   | 0.03%             | 2032-02-26      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co LLC                                               | COLUMBIA PIPELINES HOLDING CO LLC                                               | CUSIP: 19828AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  16685000 | PA      | $17048432.67  | 0.10%             | 2034-01-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                    | COMCAST CORP                                                                    | CUSIP: 20030NEK3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |  21930000 | PA      | $21014203.20  | 0.13%             | 2054-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                    | COMCAST CORP                                                                    | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |  23223000 | PA      | $18236534.22  | 0.11%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                    | COMCAST CORP                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |  27555000 | PA      | $16550056.55  | 0.10%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Comision Federal de Electricidad                                                | COMISION FEDERAL DE ELECTRICIDAD                                                | CUSIP: 200447AP5<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |  26299000 | PA      | $26498977.60  | 0.16%             | 2035-01-24      | Fixed         | 6.45%                 | No            |                  2 | On Loan: —       |
| CommonSpirit Health                                                             | COMMONSPIRIT HEALTH                                                             | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   1345000 | PA      | $1243393.32   | 0.01%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                                                  | COMMONWEALTH BANK OF AUSTRALIA                                                  | CUSIP: 202712BX2<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   9390000 | PA      | $9472162.50   | 0.06%             | 2046-03-14      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                                              | CONAGRA BRANDS INC                                                              | CUSIP: 205887CL4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |  11375000 | PA      | $11428291.88  | 0.07%             | 2035-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CONE Trust 2024-DFW1                                                            | CONE TRUST 2024-DFW1                                                            | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17510000 | PA      | $17499058.00  | 0.11%             | 2041-08-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R01                                    | CONNECTICUT AVENUE SECURITIES TRUST 2022-R01                                    | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19620000 | PA      | $19809713.63  | 0.12%             | 2041-12-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2025-R05                                    | CONNECTICUT AVENUE SECURITIES TRUST 2025-R05                                    | CUSIP: 20753CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10375546 | PA      | $10402553.59  | 0.06%             | 2045-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co                                                               | CONOCOPHILLIPS CO                                                               | CUSIP: 20826FBG0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |  11313000 | PA      | $10675297.50  | 0.07%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co                                                               | CONOCOPHILLIPS CO                                                               | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4689815.00   | 0.03%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                                                        | CONSTELLATION BRANDS INC                                                        | CUSIP: 21036PBS6<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1696190.61   | 0.01%             | 2030-05-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                             | CONSTELLATION ENERGY GENERATION LLC                                             | CUSIP: 210385AF7<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |  14350000 | PA      | $14106207.85  | 0.09%             | 2054-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial Inc                                                        | COREBRIDGE FINANCIAL INC                                                        | CUSIP: 21871XAH2<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |  16445000 | PA      | $15530444.22  | 0.09%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial Inc                                                        | COREBRIDGE FINANCIAL INC                                                        | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   3495000 | PA      | $3440869.44   | 0.02%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Corebridge Global Funding                                                       | COREBRIDGE GLOBAL FUNDING                                                       | CUSIP: 00138CAX6<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   3270000 | PA      | $3364368.93   | 0.02%             | 2029-01-12      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Corebridge Global Funding                                                       | COREBRIDGE GLOBAL FUNDING                                                       | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   3585000 | PA      | $3584806.41   | 0.02%             | 2032-08-21      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Corp Andina de Fomento                                                          | CORP ANDINA DE FOMENTO                                                          | CUSIP: 219868CM6<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | CORP              | N/A       |   4020000 | PA      | $4126767.18   | 0.03%             | N/A             | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Coterra Energy Inc                                                              | COTERRA ENERGY INC                                                              | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |  18633000 | PA      | $18615149.59  | 0.11%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Coterra Energy Inc                                                              | COTERRA ENERGY INC                                                              | CUSIP: 127097AL7<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   4096000 | PA      | $4154159.10   | 0.03%             | 2034-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Cox Communications Inc                                                          | COX COMMUNICATIONS INC                                                          | CUSIP: 224044CS4<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   3318000 | PA      | $3360304.50   | 0.02%             | 2033-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CRC Insurance Group LLC                                                         | CRC INSURANCE GROUP LLC                                                         | CUSIP: 89788VAG7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  13436492 | PA      | $13436491.94  | 0.08%             | 2031-05-06      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                              | CREDIT AGRICOLE SA                                                              | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   9010000 | PA      | $9211094.19   | 0.06%             | 2031-05-27      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                                     | CRESCENT ENERGY FINANCE LLC                                                     | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |   5545000 | PA      | $5399443.75   | 0.03%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Cross 2025-H5 Mortgage Trust                                                    | CROSS 2025-H5 MORTGAGE TRUST                                                    | CUSIP: 227920AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5310100 | PA      | $5353098.71   | 0.03%             | 2070-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc                                                                | CROWN CASTLE INC                                                                | CUSIP: 22822VBE0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   8360000 | PA      | $8726669.60   | 0.05%             | 2034-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   6070000 | PA      | $6091584.92   | 0.04%             | 2032-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650DV9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  16520000 | PA      | $15137259.48  | 0.09%             | 2053-02-21      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  12805000 | PA      | $13278452.07  | 0.08%             | 2055-03-10      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   8630000 | PA      | $8719346.39   | 0.05%             | 2054-12-10      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  37769000 | PA      | $32363878.41  | 0.20%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                                              | CYRUSONE DATA CENTERS ISSUER I LLC                                              | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  32015000 | PA      | $31440199.49  | 0.19%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                 | DANSKE BANK A/S                                                                 | CUSIP: ZF8243494<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   3010000 | PA      | $3657853.21   | 0.02%             | 2034-05-14      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                 | DANSKE BANK A/S                                                                 | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  12075000 | PA      | $12606734.70  | 0.08%             | 2030-03-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Deere & Co                                                                      | DEERE & CO                                                                      | CUSIP: 244199BL8<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |  16960000 | PA      | $17625459.52  | 0.11%             | 2035-01-16      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust 2023-3                                             | DELL EQUIPMENT FINANCE TRUST 2023-3                                             | CUSIP: 24702EAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4328000 | PA      | $4376855.76   | 0.03%             | 2029-04-23      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust 2024-1                                             | DELL EQUIPMENT FINANCE TRUST 2024-1                                             | CUSIP: 24702GAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101711.36    | 0.00%             | 2030-03-22      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust 2024-2                                             | DELL EQUIPMENT FINANCE TRUST 2024-2                                             | CUSIP: 24704EAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1465000 | PA      | $1477200.37   | 0.01%             | 2030-08-22      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust 2024-2                                             | DELL EQUIPMENT FINANCE TRUST 2024-2                                             | CUSIP: 24704EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11640000 | PA      | $11708984.46  | 0.07%             | 2030-08-22      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Delta 2 Lux Sarl                                                                | DELTA 2 LUX SARL                                                                | CUSIP: 3469959L9<br>LEI: 549300BBG8Z3D6QSYP53 | Long             | LON              | CORP              | LU        |   5020000 | PA      | $5015833.40   | 0.03%             | 2031-09-10      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                          | DIAMONDBACK ENERGY INC                                                          | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |  25974000 | PA      | $26205402.37  | 0.16%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                          | DIAMONDBACK ENERGY INC                                                          | CUSIP: 25278XBA6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |  14908000 | PA      | $13874473.08  | 0.08%             | 2054-04-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Directv Financing LLC / Directv Financing Co-Obligor Inc                        | DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC                        | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    774000 | PA      | $770130.00    | 0.00%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DLLST 2024-1 LLC                                                                | DLLST 2024-1 LLC                                                                | CUSIP: 23346HAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1630000 | PA      | $1647022.58   | 0.01%             | 2030-04-22      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| DLLST 2024-1 LLC                                                                | DLLST 2024-1 LLC                                                                | CUSIP: 23346HAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6895000 | PA      | $6922669.64   | 0.04%             | 2027-08-20      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust 2021-3                                             | DRIVE AUTO RECEIVABLES TRUST 2021-3                                             | CUSIP: 262081AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21259531 | PA      | $20960467.24  | 0.13%             | 2029-06-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                                                       | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26208LAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5332759 | PA      | $5320668.70   | 0.03%             | 2049-04-20      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                                                       | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26209XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13504145 | PA      | $12703219.87  | 0.08%             | 2051-10-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Dryden 93 CLO Ltd                                                               | DRYDEN 93 CLO LTD                                                               | CUSIP: 26190TAS0<br>LEI: 5493009K6Z2DW3X76185 | Long             | ABS-CBDO         | CORP              | KY        |  11510000 | PA      | $11533303.84  | 0.07%             | 2038-01-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| DTE Energy Co                                                                   | DTE ENERGY CO                                                                   | CUSIP: 233331BJ5<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   3220000 | PA      | $3276076.30   | 0.02%             | 2028-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DTE Energy Co                                                                   | DTE ENERGY CO                                                                   | CUSIP: 233331BN6<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |  15005000 | PA      | $15436318.73  | 0.09%             | 2030-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DTE Energy Co                                                                   | DTE ENERGY CO                                                                   | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |  22930000 | PA      | $23514508.63  | 0.14%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Eagle Funding Luxco Sarl                                                        | EAGLE FUNDING LUXCO SARL                                                        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |  16640000 | PA      | $16895424.00  | 0.10%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV1                                                                  | EFMT 2025-INV1                                                                  | CUSIP: 26846XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3023218 | PA      | $3047999.35   | 0.02%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV2                                                                  | EFMT 2025-INV2                                                                  | CUSIP: 281914AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8049331 | PA      | $8093406.90   | 0.05%             | 2070-05-26      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2023-A LLC                                           | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                           | CUSIP: 28415AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4345496 | PA      | $4487447.28   | 0.03%             | 2038-02-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2023-A LLC                                           | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                           | CUSIP: 28415AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3488789 | PA      | $3591246.78   | 0.02%             | 2038-02-25      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp                                                   | ELEMENT FLEET MANAGEMENT CORP                                                   | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   6850000 | PA      | $6958730.05   | 0.04%             | 2030-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc                                                             | ELEVANCE HEALTH INC                                                             | CUSIP: 036752BC6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   9295000 | PA      | $9463685.66   | 0.06%             | 2031-11-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc                                                             | ELEVANCE HEALTH INC                                                             | CUSIP: 036752BB8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   6955000 | PA      | $7063539.73   | 0.04%             | 2030-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc                                                             | ELEVANCE HEALTH INC                                                             | CUSIP: 28622HAC5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   8335000 | PA      | $7301159.94   | 0.04%             | 2053-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Elisa Oyj                                                                       | ELISA OYJ                                                                       | CUSIP: ZI9670665<br>LEI: 743700TU2S3DXWGU7H32 | Long             | DBT              | CORP              | FI        |   1480000 | PA      | $1792122.08   | 0.01%             | 2029-01-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ellucian Holdings Inc                                                           | ELLUCIAN HOLDINGS INC                                                           | CUSIP: 28917XAB6<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |  14403896 | PA      | $14412970.75  | 0.09%             | 2029-10-09      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 20 Ltd                                                              | ELMWOOD CLO 20 LTD                                                              | CUSIP: 29002AAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10910000 | PA      | $10941639.00  | 0.07%             | 2037-01-17      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| EMD Finance LLC                                                                 | EMD FINANCE LLC                                                                 | CUSIP: 26867LAQ3<br>LEI: 529900C8KS5G529A0B76 | Long             | DBT              | CORP              | US        |  24075000 | PA      | $23862152.93  | 0.15%             | 2032-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Engie SA                                                                        | ENGIE SA                                                                        | CUSIP: 29286DAB1<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |   7835000 | PA      | $8122003.89   | 0.05%             | 2034-04-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Eni SpA                                                                         | ENI SPA                                                                         | CUSIP: 26874RAQ1<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   4005000 | PA      | $4121817.84   | 0.03%             | 2035-05-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing 2024-1 LLC                                           | ENTERPRISE FLEET FINANCING 2024-1 LLC                                           | CUSIP: 29375PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10280000 | PA      | $10496819.59  | 0.06%             | 2030-09-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing 2024-3 LLC                                           | ENTERPRISE FLEET FINANCING 2024-3 LLC                                           | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6525000 | PA      | $6618078.47   | 0.04%             | 2028-08-21      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing 2024-3 LLC                                           | ENTERPRISE FLEET FINANCING 2024-3 LLC                                           | CUSIP: 29375QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4495000 | PA      | $4598322.97   | 0.03%             | 2031-03-20      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| EOC Borrower LLC                                                                | EOC BORROWER LLC                                                                | CUSIP: 26875YAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   5470000 | PA      | $5479134.90   | 0.03%             | 2032-03-24      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| EOG Resources Inc                                                               | EOG RESOURCES INC                                                               | CUSIP: 26875PAY7<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   6275000 | PA      | $6391520.48   | 0.04%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EOG Resources Inc                                                               | EOG RESOURCES INC                                                               | CUSIP: 26875PAZ4<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |  10940000 | PA      | $11074376.02  | 0.07%             | 2036-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| EPIC Crude Services LP                                                          | EPIC CRUDE SERVICES LP                                                          | CUSIP: 29428XAJ9<br>LEI: 549300FRS682IQ7J9S42 | Long             | LON              | CORP              | US        |   4821717 | PA      | $4835265.69   | 0.03%             | 2031-10-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Epicor Software Corp                                                            | EPICOR SOFTWARE CORP                                                            | CUSIP: 29426NAZ7<br>LEI: JGNXVGGGXR4O1L5I7S73 | Long             | LON              | CORP              | US        |  11910361 | PA      | $11935373.08  | 0.07%             | 2031-05-30      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Equitable America Global Funding                                                | EQUITABLE AMERICA GLOBAL FUNDING                                                | CUSIP: 29446Q2B8<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |   9900000 | PA      | $10089585.00  | 0.06%             | 2030-06-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ESB Finance DAC                                                                 | ESB FINANCE DAC                                                                 | CUSIP: ZH0983853<br>LEI: 635400VCPRSU89DLMZ57 | Long             | DBT              | CORP              | IE        |   1470000 | PA      | $1776866.00   | 0.01%             | 2028-10-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                              | ESSEX PORTFOLIO LP                                                              | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |  10099000 | PA      | $8672203.18   | 0.05%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)                                            | EUR/USD FWD 20251121 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |         1 | NC      | $88922.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                                                            | EUR/USD FWD 20251121 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1040.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | EUR/USD FWD 20251121 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |         1 | NC      | $40373.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | EUR/USD FWD 20251121 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-464494.75   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX 5 YEAR EURO BOBL FUTURE                                                   | EURO-BOBL FUTURE  SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |     -1376 | NC      | $1156941.81   | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EURO-BTP ITALIAN BOND FUTURES                                                   | EURO-BTP FUTURE   SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |      -776 | NC      | $17049.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX 10 YEAR EURO BUND FUTURE                                                  | EURO-BUND FUTURE  SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |      -504 | NC      | $-171711.93   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eversource Energy                                                               | EVERSOURCE ENERGY                                                               | CUSIP: 30040WAZ1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |  21612000 | PA      | $22650067.58  | 0.14%             | 2034-07-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2022-1                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-1                                      | CUSIP: 30167JAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23496165 | PA      | $23336806.97  | 0.14%             | 2028-06-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2022-3                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-3                                      | CUSIP: 30166YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2431722 | PA      | $2432494.57   | 0.01%             | 2027-09-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2023-1                                      | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-1                                      | CUSIP: 30168BAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3312649.28   | 0.02%             | 2029-06-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp                                                              | EXPAND ENERGY CORP                                                              | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |  11941000 | PA      | $11978243.98  | 0.07%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp                                                              | EXPAND ENERGY CORP                                                              | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |  10540000 | PA      | $10230440.20  | 0.06%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Expand Energy Corp                                                              | EXPAND ENERGY CORP                                                              | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |  11229000 | PA      | $11303785.14  | 0.07%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                                          | EXTRA SPACE STORAGE LP                                                          | CUSIP: 30225VAV9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |   2080000 | PA      | $2086021.60   | 0.01%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                                          | EXTRA SPACE STORAGE LP                                                          | CUSIP: 30225VAU1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |   6120000 | PA      | $6176720.16   | 0.04%             | 2035-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                                       | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 31422MZV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27907330 | PA      | $2835629.44   | 0.02%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                                       | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 31424VC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29093995 | PA      | $3770090.59   | 0.02%             | 2052-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                                       | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 31424VC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33145173 | PA      | $5182928.92   | 0.03%             | 2052-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                                       | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 31424VC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19212467 | PA      | $3334377.91   | 0.02%             | 2052-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                                       | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 31424UAZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20129033 | PA      | $2595019.49   | 0.02%             | 2052-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                                       | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14969 | PA      | $1879.97      | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F070690<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4620000 | PA      | $4859662.50   | 0.03%             | 2036-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F050692<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18180000 | PA      | $17927797.59  | 0.11%             | 2033-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                       | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F030694<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -26050000 | PA      | $-22564707.46 | -0.14%            | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411CKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7298 | PA      | $7630.35      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3697689 | PA      | $3591257.69   | 0.02%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8676078 | PA      | $8082006.62   | 0.05%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413NJQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22529 | PA      | $23541.00     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    798947 | PA      | $829061.38    | 0.01%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3361942 | PA      | $3423977.26   | 0.02%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267091 | PA      | $272325.39    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6208655 | PA      | $6003518.83   | 0.04%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WD5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554718 | PA      | $540326.87    | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ABBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5949 | PA      | $5943.81      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ETUK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4031506 | PA      | $3781108.45   | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3131454 | PA      | $3122749.68   | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371NH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7119 | PA      | $7375.35      | 0.00%             | 2027-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253060 | PA      | $256745.06    | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413CBE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3921 | PA      | $4106.60      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31376KML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       688 | PA      | $724.12       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  44961679 | PA      | $37815137.24  | 0.23%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371NEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       354 | PA      | $373.32       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410F3D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26576 | PA      | $28244.49     | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QM4Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15222474 | PA      | $12795529.83  | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13080087 | PA      | $12741359.06  | 0.08%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413NMA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1454 | PA      | $1524.49      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140F0T87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1781090 | PA      | $1666002.19   | 0.01%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31368HMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    759754 | PA      | $800193.21    | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHXF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6436363 | PA      | $5423611.81   | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1015035 | PA      | $1072888.36   | 0.01%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGEQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14775544 | PA      | $14384914.98  | 0.09%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6502280 | PA      | $6622562.51   | 0.04%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16093399 | PA      | $12987284.97  | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271062 | PA      | $281281.50    | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2559386 | PA      | $2541979.33   | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1855 | PA      | $1920.79      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417NCE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19632 | PA      | $19614.00     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140LQPU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1600089 | PA      | $1468464.21   | 0.01%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QEJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9896766 | PA      | $7977839.34   | 0.05%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413CB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5798 | PA      | $6083.41      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ETGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2604890 | PA      | $2442225.07   | 0.01%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    756373 | PA      | $796646.18    | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J8VP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5788233 | PA      | $5286824.92   | 0.03%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12052 | PA      | $12391.29     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31368HML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       258 | PA      | $267.49       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371KVH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1707 | PA      | $1784.87      | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2203922 | PA      | $2013233.35   | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418AAH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1055156 | PA      | $1026738.49   | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410WX37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7265 | PA      | $7617.24      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197176 | PA      | $201040.02    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31406KJW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1204 | PA      | $1252.98      | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325685 | PA      | $325393.33    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WZWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1453210 | PA      | $1360218.40   | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMHX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1196924 | PA      | $1011580.82   | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4527825 | PA      | $4484614.40   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    616485 | PA      | $615933.21    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410PAZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6163 | PA      | $6446.39      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QQ3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15224915 | PA      | $15426244.51  | 0.09%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518769 | PA      | $551439.70    | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410VJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6958 | PA      | $7367.79      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409ADV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23165 | PA      | $24397.17     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2260 | PA      | $2357.58      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738225 | PA      | $777578.36    | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434166 | PA      | $433910.22    | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XQXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7344606 | PA      | $7504672.69   | 0.05%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3403844 | PA      | $3150814.39   | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DCV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92651 | PA      | $93763.45     | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J7SA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4774838 | PA      | $4726496.01   | 0.03%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A5BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268283 | PA      | $261251.85    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544208 | PA      | $514251.51    | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XKG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17887521 | PA      | $18515589.66  | 0.11%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345313 | PA      | $352077.32    | 0.00%             | 2045-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28424122 | PA      | $23973156.59  | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1666767 | PA      | $1564761.46   | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138X3XX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6302989 | PA      | $6091664.65   | 0.04%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3497542 | PA      | $3407691.51   | 0.02%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426209 | PA      | $440920.38    | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419BCW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17487 | PA      | $17471.16     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140W0BS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    864228 | PA      | $877457.57    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3745 | PA      | $3944.55      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371MXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27915 | PA      | $29666.76     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1830469 | PA      | $1779658.54   | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WEMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1209383 | PA      | $1173540.51   | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    810638 | PA      | $788231.02    | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QC4X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7034835 | PA      | $6169308.58   | 0.04%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23280788 | PA      | $18545110.00  | 0.11%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408F7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65312 | PA      | $67958.62     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGNC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    962513 | PA      | $1013813.97   | 0.01%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8463070 | PA      | $6759226.66   | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316654 | PA      | $279449.60    | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408JR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135384 | PA      | $143136.76    | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417FU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13333990 | PA      | $12178271.73  | 0.07%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138YTK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    730366 | PA      | $715035.90    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418M2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    642582 | PA      | $676801.18    | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419BCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164873 | PA      | $164725.00    | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410UPY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49644 | PA      | $51447.24     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12629731 | PA      | $10053828.27  | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPY99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473135 | PA      | $482399.54    | 0.00%             | 2045-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QT2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6645069 | PA      | $6732955.34   | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419KKJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56409 | PA      | $54977.45     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YVG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    721203 | PA      | $702451.72    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A4AM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    590229 | PA      | $575005.55    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9561347 | PA      | $8768968.99   | 0.05%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2609023 | PA      | $2177518.45   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413HK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3361 | PA      | $3510.27      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22518316 | PA      | $18992091.81  | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156685 | PA      | $161207.25    | 0.00%             | 2036-07-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417DMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2247928 | PA      | $2055404.48   | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31405ULZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16132 | PA      | $16939.03     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LUTV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    948619 | PA      | $889686.15    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14800 | PA      | $15358.56     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371NGH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       807 | PA      | $849.51       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XLVH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199129 | PA      | $200737.76    | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140LQPW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    630996 | PA      | $594887.25    | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413LPV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31340 | PA      | $33013.75     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9CU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4690881 | PA      | $4365418.10   | 0.03%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2808533 | PA      | $2736092.97   | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1025482 | PA      | $860738.24    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48430 | PA      | $48386.45     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413F5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22736 | PA      | $23555.49     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417CGY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2788033 | PA      | $2614842.43   | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12852856 | PA      | $11687342.15  | 0.07%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413HDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       601 | PA      | $617.92       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERTV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9567549 | PA      | $8548944.82   | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1011453 | PA      | $1010547.99   | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418BWU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    865250 | PA      | $824382.81    | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464632 | PA      | $474034.70    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1178763 | PA      | $979164.09    | 0.01%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2919298 | PA      | $2727526.47   | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6661723 | PA      | $6336113.09   | 0.04%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119808 | PA      | $121373.14    | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X86M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559130 | PA      | $550351.89    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6953886 | PA      | $6543459.71   | 0.04%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPXJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2704580 | PA      | $2652114.46   | 0.02%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WPEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    876107 | PA      | $815464.97    | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140F5C35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5365745 | PA      | $4792560.37   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140BE7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    530427 | PA      | $552868.68    | 0.00%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409V5T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8937 | PA      | $9364.10      | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31376KL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281368 | PA      | $291507.31    | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XKXM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4374225 | PA      | $3668383.89   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20657825 | PA      | $17324481.05  | 0.11%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7898680 | PA      | $7978538.40   | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524410 | PA      | $544175.11    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    522283 | PA      | $515705.75    | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8170687 | PA      | $6593674.97   | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8361906 | PA      | $8172749.06   | 0.05%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411ARB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59696 | PA      | $62849.08     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XALH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9461372 | PA      | $9253938.82   | 0.06%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418NET3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17600 | PA      | $17584.07     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9HW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4117207 | PA      | $3699181.96   | 0.02%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9YQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1260302 | PA      | $1181995.14   | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597117 | PA      | $497052.96    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EH7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    842595 | PA      | $887512.25    | 0.01%             | 2042-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411HU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11957 | PA      | $12550.65     | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1667030 | PA      | $1611385.26   | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39756 | PA      | $40535.76     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138X53G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1246472 | PA      | $1155339.35   | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPZP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244138 | PA      | $241007.48    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FLK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2673163 | PA      | $2391741.65   | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YW45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10883 | PA      | $10872.90     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E0Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495134 | PA      | $466524.67    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MHSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14809742 | PA      | $12302020.16  | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138Y3YF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1016465 | PA      | $998057.73    | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140NLSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4728688 | PA      | $4673431.55   | 0.03%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J5UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5545298 | PA      | $5404599.46   | 0.03%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97375 | PA      | $100018.24    | 0.00%             | 2036-08-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4667777 | PA      | $3889220.74   | 0.02%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367771 | PA      | $381644.81    | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A8YF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23568 | PA      | $23546.75     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140A0AH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5079429 | PA      | $5126213.56   | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138MBKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1789456 | PA      | $1678284.50   | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QVAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21888605 | PA      | $22521931.26  | 0.14%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412SEE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31455 | PA      | $33291.21     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XKX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6248889 | PA      | $6105135.07   | 0.04%             | 2051-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23498 | PA      | $24772.10     | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413T3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19022 | PA      | $19855.53     | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145853 | PA      | $149792.61    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417DF99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3083826 | PA      | $2822263.10   | 0.02%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A4XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2029383 | PA      | $1977039.19   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    706524 | PA      | $744134.92    | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410FSK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29959 | PA      | $30559.18     | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J8ZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4675412 | PA      | $4600059.93   | 0.03%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FXGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6182187 | PA      | $6031196.36   | 0.04%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9678144 | PA      | $9857043.27   | 0.06%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19017202 | PA      | $15328996.73  | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21227990 | PA      | $20994718.30  | 0.13%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J95S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3832926 | PA      | $3595002.15   | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AF69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    651014 | PA      | $675011.37    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11656 | PA      | $12276.90     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114798 | PA      | $114197.32    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XKQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6531184 | PA      | $6126162.98   | 0.04%             | 2038-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MAXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263124 | PA      | $241317.03    | 0.00%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XNHW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21370679 | PA      | $22056723.69  | 0.13%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410FU37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77439 | PA      | $80359.86     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410YWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29055 | PA      | $30347.85     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314931 | PA      | $330905.28    | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410TAK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3283 | PA      | $3426.26      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4324693 | PA      | $4320815.59   | 0.03%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31390MFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43853 | PA      | $45565.14     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XA2E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18341613 | PA      | $16183903.48  | 0.10%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GTZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1029051 | PA      | $965760.35    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418FNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7897592 | PA      | $7945151.82   | 0.05%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J7QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1592958 | PA      | $1567282.33   | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412NFD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196888 | PA      | $207382.59    | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5196644 | PA      | $5127895.80   | 0.03%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2981331 | PA      | $2906689.68   | 0.02%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X4TB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4695475 | PA      | $4193858.14   | 0.03%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2184349 | PA      | $2182392.05   | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417Y5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285733 | PA      | $285477.19    | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    776532 | PA      | $775836.86    | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5274647 | PA      | $4825081.08   | 0.03%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335954 | PA      | $353860.42    | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                 | FANNIE MAE POOL                                                                 | CUSIP: 3138X0Y36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    633050 | PA      | $577881.78    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385XBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81541 | PA      | $83686.51     | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410FYU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363913 | PA      | $377027.43    | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A6LY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1692792 | PA      | $1691273.96   | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371LWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104191 | PA      | $107645.26    | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418FGL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7203922 | PA      | $7464718.22   | 0.05%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MGP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450967 | PA      | $475009.49    | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCV21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7594823 | PA      | $6998789.28   | 0.04%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QS4E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7781347 | PA      | $7968978.39   | 0.05%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    919165 | PA      | $936133.87    | 0.01%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231292 | PA      | $236873.13    | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4944405 | PA      | $4534603.28   | 0.03%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147205 | PA      | $149346.98    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1480836 | PA      | $1479508.77   | 0.01%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C5F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27665 | PA      | $28765.40     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WFK39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4156303 | PA      | $3869597.09   | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DP52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8340 | PA      | $8750.15      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EMYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95673 | PA      | $97548.04     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJNB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4007557 | PA      | $3593083.82   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138MFSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767820 | PA      | $703965.98    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DUL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268224 | PA      | $278338.96    | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WKHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365267 | PA      | $331232.39    | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1313696 | PA      | $1383709.32   | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253539 | PA      | $258511.91    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410S4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       784 | PA      | $818.07       | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3628097 | PA      | $3749874.35   | 0.02%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140E0E35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6282960 | PA      | $5846944.77   | 0.04%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MGE98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90490 | PA      | $79225.27     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100482 | PA      | $104185.79    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X9DE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12416603 | PA      | $11341687.97  | 0.07%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1092661 | PA      | $1083191.69   | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1557015 | PA      | $1555619.15   | 0.01%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31374TFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       389 | PA      | $403.08       | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413LAZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4802 | PA      | $4975.29      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418139 | PA      | $417764.29    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178009 | PA      | $181611.33    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18378101 | PA      | $15232457.56  | 0.09%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    651150 | PA      | $669574.09    | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216845 | PA      | $228390.19    | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413CBU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12901 | PA      | $13536.73     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418TJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555111 | PA      | $565358.86    | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3924475 | PA      | $3866023.56   | 0.02%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416XBY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265464 | PA      | $265226.44    | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41111 | PA      | $41992.47     | 0.00%             | 2037-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418SQ77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    587288 | PA      | $598126.30    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QEYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41500542 | PA      | $35251977.41  | 0.21%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412SEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40290 | PA      | $42420.08     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A4X75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2483 | PA      | $2480.34      | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XBWT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16137 | PA      | $14857.59     | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9136 | PA      | $9622.81      | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11017719 | PA      | $11303821.15  | 0.07%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371LDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141441 | PA      | $143508.07    | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QRKQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19766890 | PA      | $20451539.12  | 0.12%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A46Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1812791 | PA      | $1765844.83   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31414ALP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32589 | PA      | $34061.60     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168863 | PA      | $179140.34    | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463421 | PA      | $480887.99    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EDF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6936790 | PA      | $6203220.56   | 0.04%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19827 | PA      | $16534.18     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409HDV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7378 | PA      | $7823.26      | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31391LAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91229 | PA      | $93420.00     | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5683709 | PA      | $5372875.96   | 0.03%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412V4C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       168 | PA      | $175.13       | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413MB63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6840 | PA      | $7241.65      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKLE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    584662 | PA      | $548342.82    | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1174445 | PA      | $1097830.04   | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410TY82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3174 | PA      | $3359.42      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1371106 | PA      | $1369877.84   | 0.01%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402Q6Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260271 | PA      | $267106.16    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKHJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2795542 | PA      | $2717373.84   | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ED98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8731433 | PA      | $8007747.59   | 0.05%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13659910 | PA      | $11368862.98  | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHK97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2700563 | PA      | $2628327.00   | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XJKB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2314512 | PA      | $2122689.63   | 0.01%             | 2037-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428030 | PA      | $436869.42    | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417KXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    632394 | PA      | $632151.31    | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QEAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8054180 | PA      | $6996962.38   | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402C3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217254 | PA      | $225083.92    | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2721288 | PA      | $2304390.81   | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15732640 | PA      | $12539792.65  | 0.08%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411CNU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8686 | PA      | $9123.42      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X9DD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5270426 | PA      | $4708843.88   | 0.03%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FGNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4575621 | PA      | $4086247.01   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ELV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6608056 | PA      | $6176994.00   | 0.04%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138MQX99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4926307 | PA      | $4620229.07   | 0.03%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2008044 | PA      | $1956249.02   | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    663153 | PA      | $662558.93    | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CKF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336808 | PA      | $354756.99    | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1150548 | PA      | $1121348.48   | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60165 | PA      | $60950.00     | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2802381 | PA      | $2760690.47   | 0.02%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XJDK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402608 | PA      | $334648.31    | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17787033 | PA      | $18185961.12  | 0.11%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96937 | PA      | $100478.62    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410WWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42797 | PA      | $44934.21     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    811897 | PA      | $855150.12    | 0.01%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140LQRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19702 | PA      | $18081.20     | 0.00%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7847910 | PA      | $7921614.30   | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AHX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103040 | PA      | $108529.21    | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408DVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57799 | PA      | $58400.74     | 0.00%             | 2035-12-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138185 | PA      | $141066.65    | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LXQH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2072069 | PA      | $1943342.59   | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNQ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62788 | PA      | $57143.77     | 0.00%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1597421 | PA      | $1621877.85   | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1923708 | PA      | $1921984.30   | 0.01%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2284693 | PA      | $2096759.91   | 0.01%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417509 | PA      | $425958.76    | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99591 | PA      | $103346.86    | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4360158 | PA      | $3880852.01   | 0.02%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1459565 | PA      | $1380701.58   | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31414KE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70154 | PA      | $73442.53     | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31405N2B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249665 | PA      | $252180.32    | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47786 | PA      | $50332.21     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2928334 | PA      | $2851009.63   | 0.02%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    726137 | PA      | $683971.51    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413QM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35194 | PA      | $37247.41     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1649906 | PA      | $1721059.78   | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13251621 | PA      | $10569159.63  | 0.06%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EG3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4119717 | PA      | $4012175.66   | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13647149 | PA      | $12210361.66  | 0.07%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48917 | PA      | $49886.96     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409BDN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1474 | PA      | $1552.24      | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MMT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1168619 | PA      | $970754.40    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140KQFJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20276 | PA      | $18710.23     | 0.00%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22226757 | PA      | $22793892.00  | 0.14%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Y6U57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37884812 | PA      | $39360533.87  | 0.24%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140NGTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6149154 | PA      | $6080835.81   | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  77815895 | PA      | $62394603.14  | 0.38%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MPU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388885 | PA      | $409584.35    | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140N12A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4337408 | PA      | $4294595.01   | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QHHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18647995 | PA      | $16433043.16  | 0.10%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19513 | PA      | $17818.74     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5929028 | PA      | $4949563.34   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8067975 | PA      | $6731713.66   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417CNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2483756 | PA      | $2329461.38   | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104464 | PA      | $107880.07    | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362870 | PA      | $343784.34    | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411ADF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15004 | PA      | $15692.99     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1252906 | PA      | $1207720.66   | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394959 | PA      | $415728.07    | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1686199 | PA      | $1581451.38   | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QS3D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10412373 | PA      | $10339842.10  | 0.06%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    525648 | PA      | $545240.48    | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QTEF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9705657 | PA      | $9854238.19   | 0.06%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EM5Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510945 | PA      | $517734.16    | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203874 | PA      | $214726.49    | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418NZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33937 | PA      | $33906.36     | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2124 | PA      | $2237.05      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2632776 | PA      | $2564594.83   | 0.02%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MGSE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38318 | PA      | $31935.65     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412AWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11086 | PA      | $11672.04     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3246845 | PA      | $3007271.93   | 0.02%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YR82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1451 | PA      | $1449.43      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16826585 | PA      | $14052422.55  | 0.09%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ARBE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1134334 | PA      | $1103313.67   | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254684 | PA      | $254585.76    | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7108874 | PA      | $5701546.57   | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7970407 | PA      | $7963263.83   | 0.05%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100684 | PA      | $106050.54    | 0.00%             | 2040-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411GGW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103224 | PA      | $107259.05    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413HLH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10497 | PA      | $11075.08     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X56K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12200804 | PA      | $11869921.90  | 0.07%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19673 | PA      | $19915.20     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411VFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85315 | PA      | $89677.96     | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XG3C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2916831 | PA      | $2915835.15   | 0.02%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DPZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168371 | PA      | $171917.40    | 0.00%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410FY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1768 | PA      | $1829.00      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419ADK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622011 | PA      | $645459.68    | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHCV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2814896 | PA      | $2766699.59   | 0.02%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419FFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5870417 | PA      | $5718392.80   | 0.03%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E2K53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1261965 | PA      | $1227977.63   | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18692 | PA      | $19538.14     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1076038 | PA      | $1051794.82   | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433008 | PA      | $409139.01    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1153547 | PA      | $1194976.53   | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1090493 | PA      | $1062478.91   | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QVLJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5494713 | PA      | $5575584.20   | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WMW49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1214365 | PA      | $1139298.98   | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XMB62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8338613 | PA      | $8617738.11   | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGE83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4088593 | PA      | $4085764.57   | 0.02%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MP30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717175 | PA      | $755412.78    | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413BPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7951 | PA      | $8366.22      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489553 | PA      | $499151.92    | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195194 | PA      | $205584.37    | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QT2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14099361 | PA      | $14315217.74  | 0.09%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20174 | PA      | $21161.08     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148126 | PA      | $152331.73    | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KBJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424179 | PA      | $441512.38    | 0.00%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MFYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2978497 | PA      | $2795665.29   | 0.02%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125778 | PA      | $130207.19    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3117659 | PA      | $2923937.48   | 0.02%             | 2043-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    766645 | PA      | $788211.57    | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EEZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9534116 | PA      | $7611745.07   | 0.05%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XLXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    670000 | PA      | $575608.71    | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410LHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299139 | PA      | $298870.45    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31384DTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       546 | PA      | $573.44       | 0.00%             | 2029-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3940919 | PA      | $3614301.48   | 0.02%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNZL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5532345 | PA      | $5189265.33   | 0.03%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410F5C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478133 | PA      | $487809.62    | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140F9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1276472 | PA      | $1142077.72   | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410XBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8303 | PA      | $8729.00      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412NBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448921 | PA      | $472312.73    | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410LC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147177 | PA      | $147045.35    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26908071 | PA      | $21569924.56  | 0.13%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENBE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1771429 | PA      | $1872764.97   | 0.01%             | 2044-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4642636 | PA      | $4782812.69   | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2916 | PA      | $3049.15      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    558172 | PA      | $587921.64    | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DDJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36649 | PA      | $37179.88     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5001691 | PA      | $4191636.00   | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40893675 | PA      | $32862077.40  | 0.20%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4415 | PA      | $4682.48      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410PAV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22041 | PA      | $22938.10     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101600 | PA      | $106669.90    | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653549 | PA      | $678186.40    | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25581473 | PA      | $21401702.92  | 0.13%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3366794 | PA      | $3159711.52   | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X7VE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1808833 | PA      | $1846627.09   | 0.01%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KT87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53035 | PA      | $55859.36     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409TS58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5935 | PA      | $6149.08      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31383JHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       152 | PA      | $159.89       | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2656567 | PA      | $2512267.13   | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XRVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88430 | PA      | $91928.97     | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    663260 | PA      | $676257.18    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417LCP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39699 | PA      | $39663.73     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10020721 | PA      | $9196511.71   | 0.06%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140N0UW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1598545 | PA      | $1583785.62   | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31404KHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18071 | PA      | $18180.19     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7213409 | PA      | $6992439.32   | 0.04%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138W9NY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2991186 | PA      | $2728174.06   | 0.02%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312486 | PA      | $318939.53    | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22947725 | PA      | $20507216.93  | 0.12%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  54662674 | PA      | $43426671.63  | 0.26%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FGMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7287593 | PA      | $6520343.68   | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408F7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29651 | PA      | $30695.60     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140N5LL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30135 | PA      | $29832.06     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72817 | PA      | $75290.73     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8639331 | PA      | $7892441.57   | 0.05%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WAXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166402 | PA      | $164063.55    | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417CGZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1057412 | PA      | $992382.65    | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410G7K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168376 | PA      | $172062.27    | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409AF53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5475 | PA      | $5766.64      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408GXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10478 | PA      | $10935.08     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144789 | PA      | $149708.53    | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662080 | PA      | $697376.98    | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31406CLH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191126 | PA      | $194980.00    | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LY2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253271 | PA      | $250240.86    | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XPDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8538785 | PA      | $8437927.80   | 0.05%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FMQW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548997 | PA      | $490875.99    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QA3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723203 | PA      | $706637.00    | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XJB93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7607034 | PA      | $6528218.39   | 0.04%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EQCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    594231 | PA      | $605183.82    | 0.00%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 133095021 | PA      | $106179420.97 | 0.65%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417NB34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30565 | PA      | $30541.00     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140543 | PA      | $145413.62    | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                                               | FANNIE MAE REMICS                                                               | CUSIP: 3136BCJC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  57440361 | PA      | $9197792.88   | 0.06%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ferguson Enterprises Inc                                                        | FERGUSON ENTERPRISES INC                                                        | CUSIP: 31488VAA5<br>LEI: 2138003JYQMRP3SLX189 | Long             | DBT              | CORP              | US        |   2245000 | PA      | $2219813.35   | 0.01%             | 2034-10-03      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple                | FIEMEX ENERGIA - BANCO ACTINVER SA INSTITUCION DE BANCA MULTIPLE                | CUSIP: 05974EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |  11593889 | PA      | $11924082.88  | 0.07%             | 2041-01-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Filtration Group Corp                                                           | FILTRATION GROUP CORP                                                           | CUSIP: 31732FAX4<br>LEI: 549300ZA0D9WN5ECE978 | Long             | LON              | CORP              | US        |   5036951 | PA      | $5056897.23   | 0.03%             | 2028-10-23      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| First American Financial Corp                                                   | FIRST AMERICAN FINANCIAL CORP                                                   | CUSIP: 31847RAH5<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $13006830.00  | 0.08%             | 2031-08-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                                                | FIRSTENERGY CORP                                                                | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   2840000 | PA      | $2549695.20   | 0.02%             | 2030-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                                                | FIRSTENERGY CORP                                                                | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |  15341000 | PA      | $14237030.96  | 0.09%             | 2030-03-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                                    | FIRSTENERGY TRANSMISSION LLC                                                    | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |   5680000 | PA      | $5660966.32   | 0.03%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Five Corners Funding Trust II                                                   | FIVE CORNERS FUNDING TRUST II                                                   | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2031000 | PA      | $1899900.98   | 0.01%             | 2030-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2018-6RR                                                | FLAGSTAR MORTGAGE TRUST 2018-6RR                                                | CUSIP: 33851FAP2<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |    419770 | PA      | $412303.45    | 0.00%             | 2048-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2020-1NV                                                | FLAGSTAR MORTGAGE TRUST 2020-1NV                                                | CUSIP: 33851YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3093130 | PA      | $2961515.81   | 0.02%             | 2050-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2021-8INV                                               | FLAGSTAR MORTGAGE TRUST 2021-8INV                                               | CUSIP: 33852HAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7689031 | PA      | $6235623.60   | 0.04%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Flutter Treasury DAC                                                            | FLUTTER TREASURY DAC                                                            | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |   2470000 | PA      | $2520286.73   | 0.02%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust 2023-B                                             | FORD CREDIT AUTO LEASE TRUST 2023-B                                             | CUSIP: 34529NAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7830000 | PA      | $7926938.53   | 0.05%             | 2028-06-15      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust 2023-B                                             | FORD CREDIT AUTO LEASE TRUST 2023-B                                             | CUSIP: 34529NAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9545000 | PA      | $9644429.31   | 0.06%             | 2027-04-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust 2023-REV1                                          | FORD CREDIT AUTO OWNER TRUST 2023-REV1                                          | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  33720000 | PA      | $34324387.16  | 0.21%             | 2035-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust A                                      | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                                      | CUSIP: 34528QJM7<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |   3480000 | PA      | $3492980.05   | 0.02%             | 2029-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                                        | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397C68<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |  14378000 | PA      | $15275187.20  | 0.09%             | 2030-03-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                                        | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397D42<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   8914000 | PA      | $9463289.59   | 0.06%             | 2030-06-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: —       |
| Ford Motor Credit Co LLC                                                        | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   4760000 | PA      | $4946177.88   | 0.03%             | 2028-05-12      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                                        | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   5070000 | PA      | $5266979.64   | 0.03%             | 2028-11-07      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Fortitude Group Holdings LLC                                                    | FORTITUDE GROUP HOLDINGS LLC                                                    | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |   4280000 | PA      | $4444245.00   | 0.03%             | 2030-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fortress Credit BSL XXVI Ltd                                                    | FORTRESS CREDIT BSL XXVI LTD                                                    | CUSIP: 34966VAE2<br>LEI: 254900DPXY8BVCQBIY30 | Long             | ABS-CBDO         | CORP              | KY        |   2445000 | PA      | $2453694.03   | 0.01%             | 2038-01-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QR51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15722 | PA      | $15759.08     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    440414 | PA      | $464260.37    | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128FWAJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35286 | PA      | $35490.81     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940AM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493776 | PA      | $503498.22    | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K7U63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509662 | PA      | $520603.89    | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6M88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382052 | PA      | $401680.49    | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168786 | PA      | $176281.30    | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132H7C85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2570276 | PA      | $2413539.15   | 0.01%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312933NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    829845 | PA      | $830116.33    | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K9DJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125503 | PA      | $132141.94    | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292H4K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1106 | PA      | $1141.27      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414349 | PA      | $404199.28    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943GW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90654 | PA      | $88432.93     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    603675 | PA      | $576134.02    | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UEV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2441 | PA      | $2568.06      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    379161 | PA      | $392244.58    | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14816 | PA      | $14915.84     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QYV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12542 | PA      | $13026.61     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K7MM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20758 | PA      | $21191.28     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K9GH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1447 | PA      | $1518.75      | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1207861 | PA      | $1079086.26   | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16781121 | PA      | $15778916.44  | 0.10%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M9JW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7864203 | PA      | $7402669.69   | 0.05%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7CW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    779034 | PA      | $806867.90    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69032 | PA      | $70485.21     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128P7B85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       837 | PA      | $842.98       | 0.00%             | 2026-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265741 | PA      | $271665.33    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    659850 | PA      | $660201.07    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6245 | PA      | $6050.48      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1508863 | PA      | $1471748.06   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MEE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2795946 | PA      | $2714929.02   | 0.02%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    596968 | PA      | $618488.19    | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312939WT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373994 | PA      | $381468.17    | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267371 | PA      | $272636.62    | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12504 | PA      | $13133.38     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12269 | PA      | $12908.70     | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJDS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6392 | PA      | $6740.20      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26476 | PA      | $25824.59     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414664 | PA      | $422828.24    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       670 | PA      | $705.03       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M9ZN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    622247 | PA      | $621548.46    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    441075 | PA      | $441219.49    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31288ALH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2011 | PA      | $2057.37      | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31064 | PA      | $31278.99     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31298TQ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       109 | PA      | $114.48       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M76Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    924134 | PA      | $955645.61    | 0.01%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7YK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500169 | PA      | $517779.47    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    669772 | PA      | $648981.63    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M4QG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338109 | PA      | $353111.66    | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42523 | PA      | $43360.32     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335AFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2514448 | PA      | $2515270.40   | 0.02%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292HXN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1520 | PA      | $1543.87      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K6NH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       338 | PA      | $341.82       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1672235 | PA      | $1619736.35   | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61076 | PA      | $59579.94     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17002192 | PA      | $15859990.39  | 0.10%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3248337 | PA      | $3249400.31   | 0.02%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7ZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    280719 | PA      | $280810.78    | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943DQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    438184 | PA      | $438328.14    | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98709 | PA      | $94256.00     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    683858 | PA      | $681553.68    | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M4B77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9667 | PA      | $10193.92     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132H3PR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3375891 | PA      | $3170097.44   | 0.02%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132H5BB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1137197 | PA      | $1068590.46   | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13077747 | PA      | $12296527.84  | 0.07%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1264050 | PA      | $1232955.96   | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40064 | PA      | $41156.10     | 0.00%             | 2036-12-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JNNV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61666 | PA      | $62930.26     | 0.00%             | 2037-01-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25151 | PA      | $25990.30     | 0.00%             | 2036-10-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33203 | PA      | $34090.05     | 0.00%             | 2037-02-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102058 | PA      | $105060.41    | 0.00%             | 2036-11-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128S4CS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58346 | PA      | $59847.98     | 0.00%             | 2036-03-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DV7L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12266432 | PA      | $10280070.25  | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133WGCK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2168049 | PA      | $2226252.97   | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133WJQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115039 | PA      | $105505.57    | 0.00%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31425YBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1671584 | PA      | $1732331.72   | 0.01%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483760 | PA      | $402877.62    | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D6CL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5391340 | PA      | $5057569.28   | 0.03%             | 2037-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3877541 | PA      | $3392245.69   | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KLZX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31076791 | PA      | $24859749.59  | 0.15%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3412858 | PA      | $3111666.71   | 0.02%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19194491 | PA      | $16993619.50  | 0.10%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DSQ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8860131 | PA      | $8753193.36   | 0.05%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KGKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2994481 | PA      | $2745893.84   | 0.02%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133CFT66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794642 | PA      | $800529.47    | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D6CG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1364782 | PA      | $1340053.36   | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KN4U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12053027 | PA      | $10084119.96  | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31425VMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467195 | PA      | $479106.88    | 0.00%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DTG53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4998453 | PA      | $5272873.31   | 0.03%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNUW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19595170 | PA      | $17932393.45  | 0.11%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4695759 | PA      | $4111208.17   | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BEVK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38726 | PA      | $35026.39     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BMWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359444 | PA      | $355283.96    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31426PDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8057015 | PA      | $8246405.03   | 0.05%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133APTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4400302 | PA      | $3696071.10   | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWF57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    842769 | PA      | $835073.80    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133CWHZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3315366 | PA      | $3396487.37   | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DSQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8973622 | PA      | $9092293.72   | 0.06%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31425UTP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3353105 | PA      | $3474957.85   | 0.02%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133CWHU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4585892 | PA      | $4763862.40   | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2656575 | PA      | $2418149.28   | 0.01%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KNLC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34957186 | PA      | $29462526.28  | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BNW90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    546684 | PA      | $547355.67    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D6B33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1471017 | PA      | $1349090.89   | 0.01%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWE74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    609417 | PA      | $603915.77    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DMVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2854396 | PA      | $2611560.91   | 0.02%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BNNW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95917 | PA      | $94976.65     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133ANVW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2489231 | PA      | $2111508.54   | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133GEL97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6843882 | PA      | $6293829.64   | 0.04%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BNZS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99330 | PA      | $98330.19     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40066521 | PA      | $38771383.12  | 0.24%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AQFQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2259505 | PA      | $1888374.45   | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BPGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5031444 | PA      | $4980990.62   | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6358909 | PA      | $5072952.14   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3142GSFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4638409 | PA      | $4758442.26   | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3142GSB56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9149074 | PA      | $9387466.04   | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CW6E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6025288 | PA      | $5414791.16   | 0.03%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNK69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9328503 | PA      | $7528129.83   | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133B7ZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79422 | PA      | $72217.45     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DUJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13649794 | PA      | $13813787.08  | 0.08%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31426JF53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9200050 | PA      | $9451856.92   | 0.06%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BNVE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3884247 | PA      | $3848982.98   | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DVE92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7580735 | PA      | $7758925.52   | 0.05%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KHKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7655829 | PA      | $7276200.52   | 0.04%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133WJTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5889500 | PA      | $5524271.90   | 0.03%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3142GS4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2619065 | PA      | $2658130.52   | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DQ6R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8250109 | PA      | $6606456.53   | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1400702 | PA      | $1389422.51   | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133GG6G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1214182 | PA      | $1144700.56   | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DVCA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1514929 | PA      | $1574669.61   | 0.01%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133WJJW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23732 | PA      | $21764.76     | 0.00%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132E0A77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35377977 | PA      | $35891612.18  | 0.22%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133AMYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2077343 | PA      | $1736729.17   | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DQFU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7687321 | PA      | $6768963.78   | 0.04%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KJL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2285528 | PA      | $1842387.23   | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWBH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  69245765 | PA      | $55429081.52  | 0.34%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DULT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11218173 | PA      | $11349405.50  | 0.07%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  39753036 | PA      | $33029899.65  | 0.20%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CWYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6071620 | PA      | $5973400.44   | 0.04%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31425WYY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4951119 | PA      | $5133403.14   | 0.03%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D6CX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1065473 | PA      | $1063493.23   | 0.01%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133CTLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9183755 | PA      | $9274662.87   | 0.06%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CWG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2105819 | PA      | $2039846.76   | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31427PHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16306381 | PA      | $16467892.44  | 0.10%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BJUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    697742 | PA      | $689680.25    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132D6BR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    749564 | PA      | $687445.07    | 0.00%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWC92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34747 | PA      | $31537.39     | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DWCL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17235 | PA      | $15672.18     | 0.00%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133GG2J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4535582 | PA      | $4159691.31   | 0.03%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133WJDP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7743165 | PA      | $7101447.57   | 0.04%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DTTP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14458100 | PA      | $14992533.72  | 0.09%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133WDQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2091499 | PA      | $2105866.61   | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132CXJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6258223 | PA      | $6125601.89   | 0.04%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BHRC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31290 | PA      | $30954.73     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DNQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13429537 | PA      | $12549485.85  | 0.08%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DUCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7468200 | PA      | $7376420.68   | 0.04%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4525792 | PA      | $3652268.93   | 0.02%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DV7A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15732566 | PA      | $13205134.78  | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KH3Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2283807 | PA      | $2220680.47   | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133GF6C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115646 | PA      | $106411.99    | 0.00%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133BNW66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517736 | PA      | $512587.30    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133CWPC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8148330 | PA      | $8478000.31   | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DTAW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23973930 | PA      | $20055505.31  | 0.12%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DVLL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3648729 | PA      | $3208993.24   | 0.02%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DQLW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3590002 | PA      | $3556944.16   | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133CUVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5787189 | PA      | $6020400.19   | 0.04%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14390181 | PA      | $12363356.03  | 0.08%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3133A1CC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2709821 | PA      | $2391465.37   | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 31426LK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2008194 | PA      | $2056874.13   | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                     | FREDDIE MAC POOL                                                                | CUSIP: 3132DTFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7817755 | PA      | $7937441.91   | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                              | FREDDIE MAC REMICS                                                              | CUSIP: 3137F6G35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26200819 | PA      | $3040345.70   | 0.02%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                              | FREDDIE MAC REMICS                                                              | CUSIP: 3137H9QH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  76863422 | PA      | $10314817.56  | 0.06%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2024-DNA2                                         | FREDDIE MAC STACR REMIC TRUST 2024-DNA2                                         | CUSIP: 35564NCW1<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | USGSE             | US        |  11167683 | PA      | $11212955.02  | 0.07%             | 2044-05-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2024-HQA2                                         | FREDDIE MAC STACR REMIC TRUST 2024-HQA2                                         | CUSIP: 35564NDY6<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | USGSE             | US        |  17038228 | PA      | $17112738.28  | 0.10%             | 2044-08-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                                              | FREDDIE MAC STRIPS                                                              | CUSIP: 31325YCL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32109538 | PA      | $5139135.79   | 0.03%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                                              | FREDDIE MAC STRIPS                                                              | CUSIP: 31351B3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2095 | PA      | $1996.31      | 0.00%             | 2028-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                                              | FREDDIE MAC STRIPS                                                              | CUSIP: 31325YCN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  63632268 | PA      | $9656755.99   | 0.06%             | 2051-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                                              | FREDDIE MAC STRIPS                                                              | CUSIP: 3133Q5AR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24238408 | PA      | $3558889.02   | 0.02%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                                            | FREEPORT-MCMORAN INC                                                            | CUSIP: 35671DCG8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |   6681000 | PA      | $6674779.99   | 0.04%             | 2028-08-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                                            | FREEPORT-MCMORAN INC                                                            | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |   2715000 | PA      | $2720734.08   | 0.02%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                                            | FREEPORT-MCMORAN INC                                                            | CUSIP: 35671DCF0<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |   4247000 | PA      | $4196970.34   | 0.03%             | 2030-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                                            | FREEPORT-MCMORAN INC                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |   7215000 | PA      | $6809762.31   | 0.04%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                                            | FREEPORT-MCMORAN INC                                                            | CUSIP: 35671DCC7<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |   1558000 | PA      | $1552899.11   | 0.01%             | 2027-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                                             | FRONTIER ISSUER LLC                                                             | CUSIP: 35910EAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6105000 | PA      | $6307699.43   | 0.04%             | 2054-06-20      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| GA Global Funding Trust                                                         | GA GLOBAL FUNDING TRUST                                                         | CUSIP: 36143L2R5<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |  10015000 | PA      | $10345805.47  | 0.06%             | 2030-01-13      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GA Global Funding Trust                                                         | GA GLOBAL FUNDING TRUST                                                         | CUSIP: 36143L2T1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |  10780000 | PA      | $11023175.24  | 0.07%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                                            | GALTON FUNDING MORTGAGE TRUST 2017-1                                            | CUSIP: 36417JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    524034 | PA      | $479109.60    | 0.00%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2018-2                                            | GALTON FUNDING MORTGAGE TRUST 2018-2                                            | CUSIP: 36418GAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1026826 | PA      | $962609.70    | 0.01%             | 2058-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM1 Trust                                                            | GCAT 2025-NQM1 TRUST                                                            | CUSIP: 36171GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12867303 | PA      | $12946924.12  | 0.08%             | 2069-11-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| General Electric Co                                                             | GENERAL ELECTRIC CO                                                             | CUSIP: 369604CA9<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   6935000 | PA      | $6967011.96   | 0.04%             | 2036-01-29      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| General Electric Co                                                             | GENERAL ELECTRIC CO                                                             | CUSIP: 369604BZ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   8980000 | PA      | $9005179.92   | 0.05%             | 2030-07-29      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co Inc                                                 | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XEU6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  12735000 | PA      | $13118667.35  | 0.08%             | 2029-07-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H052694<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  61310000 | PA      | $61760043.60  | 0.38%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H050698<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24695000 | PA      | $24444150.66  | 0.15%             | 2033-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H022697<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -26500000 | PA      | $-22586602.70 | -0.14%            | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE                                                                      | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7920000 | PA      | $8077032.69   | 0.05%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36178NGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12025196 | PA      | $10917725.15  | 0.07%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36213TWN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       164 | PA      | $164.19       | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2MV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2191344 | PA      | $2236599.31   | 0.01%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36297FYY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    735944 | PA      | $747895.49    | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36213EP34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21718 | PA      | $22307.39     | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36209W2W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6440 | PA      | $6483.14      | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36208EXF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9810 | PA      | $9852.72      | 0.00%             | 2027-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2MG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40355 | PA      | $42207.70     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36184BZ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    572000 | PA      | $533678.48    | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LF68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2047576 | PA      | $2089480.33   | 0.01%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36206PS27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        28 | PA      | $27.71        | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1055936 | PA      | $1074698.72   | 0.01%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LF50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2045614 | PA      | $2087478.80   | 0.01%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36200MV83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365699 | PA      | $369519.98    | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36208HQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30052 | PA      | $30409.17     | 0.00%             | 2027-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36208DJM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15631 | PA      | $15703.45     | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36178NF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1920931 | PA      | $1746405.61   | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2QW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    827615 | PA      | $843610.00    | 0.01%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2467718 | PA      | $2305608.21   | 0.01%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2QJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1457000 | PA      | $1436162.47   | 0.01%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2KC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14964 | PA      | $14932.59     | 0.00%             | 2026-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 36225BEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       585 | PA      | $601.94       | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE I POOL                                                               | CUSIP: 3622A2N57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8556 | PA      | $8840.88      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EAK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11682 | PA      | $12057.22     | 0.00%             | 2034-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9101551 | PA      | $8188683.68   | 0.05%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    878934 | PA      | $905198.52    | 0.01%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179W6F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70514 | PA      | $63535.27     | 0.00%             | 2037-06-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1789246 | PA      | $1821256.63   | 0.01%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2937423 | PA      | $2784761.92   | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1201914 | PA      | $1216792.77   | 0.01%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A26L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4595182 | PA      | $4235091.82   | 0.03%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3190021 | PA      | $3277533.05   | 0.02%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17341792 | PA      | $14211235.88  | 0.09%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XH33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4129081 | PA      | $4243377.10   | 0.03%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9469493 | PA      | $7760051.75   | 0.05%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36241KYG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1133215 | PA      | $1190392.90   | 0.01%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A2TA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5890313 | PA      | $5396751.84   | 0.03%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8365184 | PA      | $7952307.58   | 0.05%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    605930 | PA      | $617526.21    | 0.00%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149016 | PA      | $152504.51    | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36193VG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    630847 | PA      | $559980.49    | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179Q3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1597012 | PA      | $1433477.22   | 0.01%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1209853 | PA      | $1187200.88   | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8950167 | PA      | $7644169.32   | 0.05%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VL32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1441851 | PA      | $1266419.95   | 0.01%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WSZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1834591 | PA      | $1653413.97   | 0.01%             | 2036-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6790921 | PA      | $6357085.34   | 0.04%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    979285 | PA      | $998599.36    | 0.01%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617G8YM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    413737 | PA      | $410965.65    | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    669053 | PA      | $587641.49    | 0.00%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18906118 | PA      | $16749308.60  | 0.10%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18033690 | PA      | $15379031.86  | 0.09%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EYM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128392 | PA      | $135074.66    | 0.00%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36195KHC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    931135 | PA      | $827088.73    | 0.01%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WKT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    399151 | PA      | $359728.41    | 0.00%             | 2036-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2255339 | PA      | $2099925.74   | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XFL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6510616 | PA      | $6692270.05   | 0.04%             | 2052-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36178WP45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51680 | PA      | $47278.95     | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194MH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1046059 | PA      | $928524.75    | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11561645 | PA      | $10918212.05  | 0.07%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1689592 | PA      | $1661455.85   | 0.01%             | 2047-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2165287 | PA      | $2159472.06   | 0.01%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    368393 | PA      | $375659.79    | 0.00%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5174299 | PA      | $5163563.40   | 0.03%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36184BAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2594923 | PA      | $2373804.17   | 0.01%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1919808 | PA      | $1943565.16   | 0.01%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228081 | PA      | $244112.69    | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2283424 | PA      | $2190200.01   | 0.01%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    817276 | PA      | $830658.62    | 0.01%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179NDV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1580383 | PA      | $1631325.76   | 0.01%             | 2043-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202ECP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34496 | PA      | $35606.03     | 0.00%             | 2035-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8989164 | PA      | $8703183.43   | 0.05%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VDC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4116131 | PA      | $3608968.27   | 0.02%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3895571 | PA      | $3887488.88   | 0.02%             | 2041-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22149252 | PA      | $20836241.02  | 0.13%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1122107 | PA      | $1150058.35   | 0.01%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36195KHB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    822147 | PA      | $729760.91    | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194BZF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3308712 | PA      | $2930766.81   | 0.02%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    510152 | PA      | $470887.72    | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10063602 | PA      | $9775554.84   | 0.06%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  49002749 | PA      | $41789274.02  | 0.25%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10792 | PA      | $11073.74     | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4200473 | PA      | $3907517.41   | 0.02%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EG45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55905 | PA      | $57705.05     | 0.00%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1931041 | PA      | $1781978.50   | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WYD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1960007 | PA      | $1756670.33   | 0.01%             | 2037-03-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1461023 | PA      | $1354066.43   | 0.01%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36433 | PA      | $37609.53     | 0.00%             | 2039-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WZZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1545276 | PA      | $1392675.10   | 0.01%             | 2037-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1037916 | PA      | $1058389.84   | 0.01%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34301185 | PA      | $29251861.94  | 0.18%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211339 | PA      | $202708.44    | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2917803 | PA      | $2562757.41   | 0.02%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1165301 | PA      | $1200118.03   | 0.01%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202C6L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3632 | PA      | $3753.11      | 0.00%             | 2028-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1976883 | PA      | $1940692.24   | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236765 | PA      | $227100.70    | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622ABZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2304156 | PA      | $2222667.62   | 0.01%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622ABCY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5371642 | PA      | $5010305.11   | 0.03%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8607829 | PA      | $7340708.95   | 0.04%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                                              | GINNIE MAE II POOL                                                              | CUSIP: 3622AB5L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5194300 | PA      | $4851207.83   | 0.03%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411914 | PA      | $411059.79    | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236401 | PA      | $241726.43    | 0.00%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A2ZK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    574363 | PA      | $529804.51    | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622AAGA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158380 | PA      | $145630.41    | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2422323 | PA      | $2448239.13   | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2057367 | PA      | $2082834.02   | 0.01%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222526 | PA      | $226913.94    | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243386 | PA      | $248186.70    | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1399005 | PA      | $1433081.20   | 0.01%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622AAYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1576116 | PA      | $1439470.75   | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180295 | PA      | $172913.58    | 0.00%             | 2042-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89399 | PA      | $84771.42     | 0.00%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194BZE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3864005 | PA      | $3427415.34   | 0.02%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2260801 | PA      | $2143313.10   | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26501 | PA      | $27179.58     | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152681 | PA      | $144746.52    | 0.00%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3835387 | PA      | $3447290.78   | 0.02%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10752302 | PA      | $9175747.29   | 0.06%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202DUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28491 | PA      | $29596.38     | 0.00%             | 2032-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617B5DY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2123822 | PA      | $1950010.89   | 0.01%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4921288 | PA      | $4033519.89   | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2212061 | PA      | $1985471.05   | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7302 | PA      | $7615.28      | 0.00%             | 2034-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1302667 | PA      | $1280708.78   | 0.01%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2550961 | PA      | $2298717.62   | 0.01%             | 2037-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202C2Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1909 | PA      | $1973.26      | 0.00%             | 2028-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148306 | PA      | $130259.78    | 0.00%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2257407 | PA      | $2140097.76   | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2682990 | PA      | $2507602.06   | 0.02%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21366422 | PA      | $17509335.90  | 0.11%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1152392 | PA      | $1177957.77   | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202D3J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8736 | PA      | $9114.11      | 0.00%             | 2034-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179QGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1613662 | PA      | $1665670.64   | 0.01%             | 2044-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  53953799 | PA      | $44214009.53  | 0.27%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36194MJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1642132 | PA      | $1458640.70   | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35966645 | PA      | $30672156.33  | 0.19%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TQS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1653978 | PA      | $1670395.90   | 0.01%             | 2048-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1020491 | PA      | $1043494.75   | 0.01%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202E4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    948592 | PA      | $967295.90    | 0.01%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4682622 | PA      | $4291949.00   | 0.03%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5430 | PA      | $5338.85      | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3836980 | PA      | $3680292.60   | 0.02%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    557067 | PA      | $509597.75    | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179XLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7422375 | PA      | $7626130.41   | 0.05%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7958849 | PA      | $7428262.52   | 0.05%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11260250 | PA      | $10117282.16  | 0.06%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1427945 | PA      | $1405615.53   | 0.01%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617A9KW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1237519 | PA      | $1141984.98   | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456125 | PA      | $455178.33    | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1778020 | PA      | $1595256.60   | 0.01%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20917204 | PA      | $17141211.09  | 0.10%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6214573 | PA      | $5788596.41   | 0.04%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179N2K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6793271 | PA      | $6493396.85   | 0.04%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144444 | PA      | $146853.26    | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4735773 | PA      | $4038640.80   | 0.02%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 3617G8VD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208290 | PA      | $207151.37    | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12460823 | PA      | $11207160.22  | 0.07%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179X5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17065985 | PA      | $16505475.87  | 0.10%             | 2053-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36181KC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4190359 | PA      | $3911022.92   | 0.02%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2909240 | PA      | $2555274.35   | 0.02%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1624626 | PA      | $1510914.17   | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455764 | PA      | $454818.00    | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1650000 | PA      | $1670426.44   | 0.01%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                  | GINNIE MAE II POOL                                                              | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129259 | PA      | $122903.08    | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP / GLP Financing II Inc                                           | GLP CAPITAL LP / GLP FINANCING II INC                                           | CUSIP: 361841AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10545000 | PA      | $10450854.24  | 0.06%             | 2033-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  18865000 | PA      | $18704270.20  | 0.11%             | 2035-10-23      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  17802000 | PA      | $15731324.77  | 0.10%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  17765000 | PA      | $17963079.75  | 0.11%             | 2030-10-23      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                     | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  20205000 | PA      | $19980178.97  | 0.12%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Golub Capital Private Credit Fund                                               | GOLUB CAPITAL PRIVATE CREDIT FUND                                               | CUSIP: 38179RAD7<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |   9581000 | PA      | $9702975.71   | 0.06%             | 2030-05-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38384AYB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24862462 | PA      | $3133182.41   | 0.02%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38378FK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1680398 | PA      | $268727.57    | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2347194 | PA      | $342287.84    | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9510000 | PA      | $7920371.17   | 0.05%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6836560 | PA      | $995506.38    | 0.01%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  57923197 | PA      | $6645644.21   | 0.04%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1123973 | PA      | $1034994.89   | 0.01%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1376144 | PA      | $1291941.63   | 0.01%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382LAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15762615 | PA      | $2046058.31   | 0.01%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382NWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12780741 | PA      | $1704269.62   | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2019-GC40                                          | GS MORTGAGE SECURITIES TRUST 2019-GC40                                          | CUSIP: 36257HBU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12730000 | PA      | $11059852.01  | 0.07%             | 2052-07-10      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2020-INV1                                   | GS MORTGAGE-BACKED SECURITIES TRUST 2020-INV1                                   | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13844082 | PA      | $11794513.76  | 0.07%             | 2050-10-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2022-GR2                                    | GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2                                    | CUSIP: 36250BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269237 | PA      | $267360.95    | 0.00%             | 2044-07-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2025-NQM3                                   | GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM3                                   | CUSIP: 36274TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4885000 | PA      | $4884944.80   | 0.03%             | 2065-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| HA Sustainable Infrastructure Capital Inc                                       | HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                       | CUSIP: 41068XAF7<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |  33258000 | PA      | $32842275.00  | 0.20%             | 2034-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Harbour Energy PLC                                                              | HARBOUR ENERGY PLC                                                              | CUSIP: 411618AD3<br>LEI: 213800YPC42DYBKVPF97 | Long             | DBT              | CORP              | GB        |  12145000 | PA      | $12284205.99  | 0.07%             | 2035-04-01      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Hardee s Funding LLC                                                            | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11959246 | PA      | $12394287.64  | 0.08%             | 2054-03-20      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Hardee s Funding LLC                                                            | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4041600 | PA      | $3750764.44   | 0.02%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| HAT Holdings I LLC / HAT Holdings II LLC                                        | HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                                        | CUSIP: 418751AL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10245000 | PA      | $10603575.00  | 0.06%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                         | HCA INC                                                                         | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   6810000 | PA      | $7021852.29   | 0.04%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Health Care Service Corp A Mutual Legal Reserve Co                              | HEALTH CARE SERVICE CORP A MUTUAL LEGAL RESERVE CO                              | CUSIP: 42218SAL2<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |   8635000 | PA      | $8769628.29   | 0.05%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Health Care Service Corp A Mutual Legal Reserve Co                              | HEALTH CARE SERVICE CORP A MUTUAL LEGAL RESERVE CO                              | CUSIP: 42218SAM0<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |  17935000 | PA      | $17029372.18  | 0.10%             | 2054-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Health Care Service Corp A Mutual Legal Reserve Co                              | HEALTH CARE SERVICE CORP A MUTUAL LEGAL RESERVE CO                              | CUSIP: 42218SAK4<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |   6825000 | PA      | $7026712.88   | 0.04%             | 2029-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Heathrow Funding Ltd                                                            | HEATHROW FUNDING LTD                                                            | CUSIP: YS5265238<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |   1740000 | PA      | $2010974.57   | 0.01%             | 2036-01-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Heathrow Funding Ltd                                                            | HEATHROW FUNDING LTD                                                            | CUSIP: AX5204471<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |   7117000 | PA      | $7213051.52   | 0.04%             | 2034-03-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Hexcel Corp                                                                     | HEXCEL CORP                                                                     | CUSIP: 428291AP3<br>LEI: S6Q7LW43WUBUHXY2QP69 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1191880.17   | 0.01%             | 2035-02-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HF Sinclair Corp                                                                | HF SINCLAIR CORP                                                                | CUSIP: 403949AR1<br>LEI: 2549009G116AM01XHN24 | Long             | DBT              | CORP              | US        |  14265000 | PA      | $14719383.05  | 0.09%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP                                                             | HILCORP ENERGY I LP                                                             | CUSIP: 431319AH5<br>LEI: 549300ITPIHLG0LHEC09 | Long             | LON              | CORP              | US        |  24408876 | PA      | $24408875.95  | 0.15%             | 2030-02-11      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP / Hilcorp Finance Co                                        | HILCORP ENERGY I LP / HILCORP FINANCE CO                                        | CUSIP: 431318BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8056000 | PA      | $8408450.00   | 0.05%             | 2033-11-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP / Hilcorp Finance Co                                        | HILCORP ENERGY I LP / HILCORP FINANCE CO                                        | CUSIP: 431318BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3323500.00   | 0.02%             | 2035-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Hilton Domestic Operating Co Inc                                                | HILTON DOMESTIC OPERATIN                                                        | CUSIP: 43289D9A3<br>LEI: 5493003EG7H0N1E4XV50 | Long             | LON              | CORP              | US        |  53680000 | PA      | $53744952.80  | 0.33%             | 2030-11-08      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Hilton Domestic Operating Co Inc                                                | HILTON DOMESTIC OPERATING CO INC                                                | CUSIP: 432833AQ4<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |   2955000 | PA      | $3028875.00   | 0.02%             | 2032-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc/The                                                              | HOME DEPOT INC/THE                                                              | CUSIP: 437076DE9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |  17415000 | PA      | $17702051.45  | 0.11%             | 2034-06-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-AFC2 Trust                                                           | HOMES 2025-AFC2 TRUST                                                           | CUSIP: 43761YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2459670 | PA      | $2483751.09   | 0.02%             | 2060-06-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM2 Trust                                                           | HOMES 2025-NQM2 TRUST                                                           | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10290108 | PA      | $10353484.93  | 0.06%             | 2070-02-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Howard Hughes Corp/The                                                          | HOWARD HUGHES CORP/THE                                                          | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |   3143000 | PA      | $3127285.00   | 0.02%             | 2028-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2023-2                                                    | HPEFS EQUIPMENT TRUST 2023-2                                                    | CUSIP: 44328UAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3320000 | PA      | $3371005.49   | 0.02%             | 2031-07-21      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2023-2                                                    | HPEFS EQUIPMENT TRUST 2023-2                                                    | CUSIP: 44328UAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5005000 | PA      | $5039817.78   | 0.03%             | 2031-01-21      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2023-2                                                    | HPEFS EQUIPMENT TRUST 2023-2                                                    | CUSIP: 44328UAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1285000 | PA      | $1288926.32   | 0.01%             | 2031-01-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2024-2                                                    | HPEFS EQUIPMENT TRUST 2024-2                                                    | CUSIP: 40444MAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2730000 | PA      | $2760171.69   | 0.02%             | 2031-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust 2024-2                                                    | HPEFS EQUIPMENT TRUST 2024-2                                                    | CUSIP: 40444MAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6085000 | PA      | $6129057.83   | 0.04%             | 2031-10-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   6580000 | PA      | $6732241.46   | 0.04%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: —       |
| HUB International Ltd                                                           | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332PAH4<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |   7205000 | PA      | $7529225.00   | 0.05%             | 2030-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                                                           | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332EAZ9<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |  21720196 | PA      | $21756468.51  | 0.13%             | 2030-06-20      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Hudson Yards 2025-SPRL Mortgage Trust                                           | HUDSON YARDS 2025-SPRL MORTGAGE TRUST                                           | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7175000 | PA      | $7429873.94   | 0.05%             | 2040-01-13      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                      | HUMANA INC                                                                      | CUSIP: 444859BN1<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   3574000 | PA      | $3623746.51   | 0.02%             | 2030-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes Series 2024-1                          | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1                          | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7761932 | PA      | $7875400.11   | 0.05%             | 2032-05-20      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes Series 2025-1                          | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2025-1                          | CUSIP: 446438SX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11760931 | PA      | $11823326.34  | 0.07%             | 2033-03-21      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corp                                                               | HYATT HOTELS CORP                                                               | CUSIP: 448579AT9<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |  10132000 | PA      | $10382868.32  | 0.06%             | 2031-12-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  11135000 | PA      | $11135233.84  | 0.07%             | 2029-09-26      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ADH7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   7295000 | PA      | $7315652.15   | 0.04%             | 2031-09-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   6620000 | PA      | $7014664.54   | 0.04%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACY1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   5630000 | PA      | $5775912.71   | 0.04%             | 2029-03-19      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACV7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   3290000 | PA      | $3395842.59   | 0.02%             | 2031-01-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | ICE_CDX IG CDSI S44 5Y 06/20/2030 BARC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $37215740.63  | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| Icon Investments Six DAC                                                        | ICON INVESTMENTS SIX DAC                                                        | CUSIP: 45115AAC8<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |   5710000 | PA      | $5939216.53   | 0.04%             | 2034-05-08      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Icon Investments Six DAC                                                        | ICON INVESTMENTS SIX DAC                                                        | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |   4535000 | PA      | $4729156.96   | 0.03%             | 2029-05-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ICON Luxembourg Sarl                                                            | ICON LUXEMBOURG SARL                                                            | CUSIP: 000000000<br>LEI: 635400PUWMHSPI2DDA35 | Long             | LON              | CORP              | LU        |   1376939 | PA      | $1380601.74   | 0.01%             | 2028-07-03      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| IMCD NV                                                                         | IMCD NV                                                                         | CUSIP: YV4272758<br>LEI: 724500NSJPNFJPDAUP02 | Long             | DBT              | CORP              | NL        |   7730000 | PA      | $9120557.01   | 0.06%             | 2030-04-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Imperial Brands Finance PLC                                                     | IMPERIAL BRANDS FINANCE PLC                                                     | CUSIP: 45262BAL7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   8670000 | PA      | $8743920.42   | 0.05%             | 2055-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Imperial Brands Finance PLC                                                     | IMPERIAL BRANDS FINANCE PLC                                                     | CUSIP: 45262BAJ2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   3180000 | PA      | $3199833.66   | 0.02%             | 2028-06-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Imperial Brands Finance PLC                                                     | IMPERIAL BRANDS FINANCE PLC                                                     | CUSIP: 45262BAK9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |  11330000 | PA      | $11477403.30  | 0.07%             | 2035-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Imperial Fund Mortgage Trust 2021-NQM2                                          | IMPERIAL FUND MORTGAGE TRUST 2021-NQM2                                          | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9156481 | PA      | $7827947.32   | 0.05%             | 2056-09-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| International Bank for Reconstruction & Development                             | INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT                             | CUSIP: YV1295778<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |   6400000 | PA      | $6516864.00   | 0.04%             | 2033-07-31      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Interpublic Group of Cos Inc/The                                                | INTERPUBLIC GROUP OF COS INC/THE                                                | CUSIP: 460690BP4<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |   7525000 | PA      | $7575372.35   | 0.05%             | 2028-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Invesco US CLO 2023-1 Ltd                                                       | INVESCO US CLO 2023-1 LTD                                                       | CUSIP: 46146GAQ5<br>LEI: 54930008KXQ75MGXPQ71 | Long             | ABS-CBDO         | CORP              | JE        |   7800000 | PA      | $7809913.72   | 0.05%             | 2037-04-22      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Operating Partnership LP                                       | INVITATION HOMES OPERATING PARTNERSHIP LP                                       | CUSIP: 46188BAE2<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |   4206000 | PA      | $4365121.39   | 0.03%             | 2030-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Operating Partnership LP                                       | INVITATION HOMES OPERATING PARTNERSHIP LP                                       | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |   4175000 | PA      | $3579010.40   | 0.02%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| IPALCO Enterprises Inc                                                          | IPALCO ENTERPRISES INC                                                          | CUSIP: 462613AR1<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |   9230000 | PA      | $9288481.28   | 0.06%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| IQVIA Inc                                                                       | IQVIA INC                                                                       | CUSIP: 46266TAF5<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |  13440000 | PA      | $14132442.24  | 0.09%             | 2029-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| IQVIA Inc                                                                       | IQVIA INC                                                                       | CUSIP: 46266TAG3<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |   4585000 | PA      | $4716818.75   | 0.03%             | 2032-06-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| IQVIA Inc                                                                       | IQVIA INC                                                                       | CUSIP: 46266TAD0<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    435000 | PA      | $449137.50    | 0.00%             | 2030-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IQVIA Inc                                                                       | IQVIA INC                                                                       | CUSIP: 44969CBP4<br>LEI: 549300PLWY28YB00C717 | Long             | LON              | CORP              | US        |  40509993 | PA      | $40699985.15  | 0.25%             | 2031-01-02      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Jackson National Life Global Funding                                            | JACKSON NATIONAL LIFE GLOBAL FUNDING                                            | CUSIP: 46849LVE8<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |   9930000 | PA      | $10302186.33  | 0.06%             | 2030-01-13      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc                                             | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4352000 | PA      | $4531520.00   | 0.03%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc                                             | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5060000 | PA      | $5224450.00   | 0.03%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc                                             | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5305000 | PA      | $5311631.25   | 0.03%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC                                                           | JANE STREET GROUP LLC                                                           | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |   9943579 | PA      | $9907185.57   | 0.06%             | 2031-12-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Jersey Mike s Funding                                                           | JERSEY MIKE'S FUNDING                                                           | CUSIP: 476681AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453262 | PA      | $441512.71    | 0.00%             | 2052-02-15      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Jones Deslauriers Insurance Management Inc                                      | JONES DESLAURIERS INSURANCE MANAGEMENT INC                                      | CUSIP: 48020RAB1<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |   6353000 | PA      | $6702415.00   | 0.04%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                   | CUSIP: 46645WBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7620000 | PA      | $6038850.00   | 0.04%             | 2033-07-05      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                   | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11395000 | PA      | $8318350.00   | 0.05%             | 2033-07-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                   | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9825000 | PA      | $9333750.00   | 0.06%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2019-INV3                                              | JP MORGAN MORTGAGE TRUST 2019-INV3                                              | CUSIP: 46591LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3667092 | PA      | $3312215.32   | 0.02%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-INV1                                              | JP MORGAN MORTGAGE TRUST 2020-INV1                                              | CUSIP: 46591VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3238038 | PA      | $2915652.67   | 0.02%             | 2050-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-INV1                                              | JP MORGAN MORTGAGE TRUST 2020-INV1                                              | CUSIP: 46591VBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1914864 | PA      | $1807171.43   | 0.01%             | 2050-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-LTV1                                              | JP MORGAN MORTGAGE TRUST 2020-LTV1                                              | CUSIP: 46591NBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119433 | PA      | $118062.38    | 0.00%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-LTV1                                              | JP MORGAN MORTGAGE TRUST 2020-LTV1                                              | CUSIP: 46591NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295470 | PA      | $292156.48    | 0.00%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST                                                        | JP MORGAN MORTGAGE TRUST 2025-DSC2                                              | CUSIP: 46659VAA6<br>LEI: 529900SXYOW2J5ABY729 | Long             | ABS-MBS          | CORP              | US        |  10095000 | PA      | $10094892.99  | 0.06%             | 2065-10-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust Series 2025-NQM3                                       | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM3                                       | CUSIP: 46659QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15336422 | PA      | $15456189.13  | 0.09%             | 2065-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  17695000 | PA      | $17892246.17  | 0.11%             | 2030-10-22      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6295000 | PA      | $6495048.81   | 0.04%             | 2031-04-22      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4475000 | PA      | $4125699.40   | 0.03%             | 2031-04-22      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   8860000 | PA      | $9134199.28   | 0.06%             | 2035-01-23      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  38833000 | PA      | $36176628.64  | 0.22%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  12398000 | PA      | $11671787.15  | 0.07%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  12805000 | PA      | $12690151.96  | 0.08%             | 2035-10-22      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                                                              | JPY/USD FWD 20251024 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | JP        |         1 | NC      | $107780.63    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA SECURITIES INTL INC                                                      | JPY/USD FWD 20251024 NOMAGB2L                                                   | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | N/A              | DFE              | CORP              | JP        |         1 | NC      | $-221455.00   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kentucky Utilities Co                                                           | KENTUCKY UTILITIES CO                                                           | CUSIP: 491674BP1<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |   1735000 | PA      | $1720134.52   | 0.01%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Kinetik Holdings LP                                                             | KINETIK HOLDINGS LP                                                             | CUSIP: 49461MAB6<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    593000 | PA      | $607825.00    | 0.00%             | 2028-12-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| KKR CLO 40 Ltd                                                                  | KKR CLO 40 LTD                                                                  | CUSIP: 48254UAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   7130000 | PA      | $7138656.03   | 0.04%             | 2034-10-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| KKR CLO 43 Ltd                                                                  | KKR CLO 43 LTD                                                                  | CUSIP: 48255UAJ3<br>LEI: 25490088LQLWORRKOM10 | Long             | ABS-CBDO         | CORP              | JE        |  11620000 | PA      | $11661388.12  | 0.07%             | 2036-01-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Lamar Media Corp                                                                | LAMAR MEDIA CORP                                                                | CUSIP: 513076BB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  14435000 | PA      | $14398912.50  | 0.09%             | 2027-02-05      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Landsbankinn HF                                                                 | LANDSBANKINN HF                                                                 | CUSIP: ZD4547497<br>LEI: 549300TLZPT6JELDWM92 | Long             | DBT              | CORP              | IS        |   1490000 | PA      | $1843662.86   | 0.01%             | 2028-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | LANDSVIRKJUN SERIES A SNR GREEN NOTES PP                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | IS        |   2435000 | PA      | $2435000.00   | 0.01%             | 2033-05-15      | Fixed         | 5.37%                 | Yes           |                  3 | On Loan: No      |
| Las Vegas Sands Corp                                                            | LAS VEGAS SANDS CORP                                                            | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |  10677000 | PA      | $10574831.79  | 0.06%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/21/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $283869.43    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/21/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $55686.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/21/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $362640.20    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/24/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $181773.32    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/24/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $267204.69    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/24/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $265363.56    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 3/31/35 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $537593.45    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/13/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $684848.85    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/13/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $698512.35    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/14/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $303303.14    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/14/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $329232.99    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/14/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $266564.45    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH - USD ZCIS 5/14/30 REC CPI_C                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $530432.53    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH-PLN IRS 7/21/30 PAY FIX BOFA_C                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-245952.08   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH-PLN IRS 7/22/30 PAY FIX BOFA_C                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         1 | NC      | $-216655.90   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH-USD ZCIS 8/27/35 REC CPI CHAS_C                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $36886.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | LCH-USD ZCIS 8/27/35 REC CPI MSLN_C                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DO               | CORP              | US        |         1 | NC      | $68401.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                           | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |  11020000 | PA      | $11047550.00  | 0.07%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                           | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298BZ5<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |   1723777 | PA      | $1941403.85   | 0.01%             | 2030-12-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                           | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1390350.00   | 0.01%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing Inc                                                           | LEVEL 3 FINANCING INC                                                           | CUSIP: 52729KAT3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |   8250000 | PA      | $8282670.00   | 0.05%             | 2032-03-29      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| Logicor Financing Sarl                                                          | LOGICOR FINANCING SARL                                                          | CUSIP: YW3213660<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |   3095000 | PA      | $3741378.28   | 0.02%             | 2029-07-18      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Logicor Financing Sarl                                                          | LOGICOR FINANCING SARL                                                          | CUSIP: BN4542633<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |   3795000 | PA      | $3848615.06   | 0.02%             | 2031-01-14      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Logicor Financing Sarl                                                          | LOGICOR FINANCING SARL                                                          | CUSIP: ZF4260518<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |   3055000 | PA      | $3718078.49   | 0.02%             | 2028-07-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LONG GILT FUTURE                                                                | LONG GILT FUTURE  DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | GB        |      1208 | NC      | $-381418.85   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Louisville Gas and Electric Co                                                  | LOUISVILLE GAS AND ELECTRIC CO                                                  | CUSIP: 546676BA4<br>LEI: KO3GRIB3RPH1XDX50U72 | Long             | DBT              | CORP              | US        |   1735000 | PA      | $1712219.45   | 0.01%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| LPL Holdings Inc                                                                | LPL HOLDINGS INC                                                                | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   9315000 | PA      | $9413124.21   | 0.06%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LPL Holdings Inc                                                                | LPL HOLDINGS INC                                                                | CUSIP: 50212YAQ7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   9123000 | PA      | $9236216.43   | 0.06%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ma aden Sukuk Ltd                                                               | MA'ADEN SUKUK LTD                                                               | CUSIP: 55407NAB8<br>LEI: 254900QDNU6I6VA8UL14 | Long             | DBT              | NUSS              | KY        |   5633000 | PA      | $5882502.41   | 0.04%             | 2035-02-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Ma aden Sukuk Ltd                                                               | MA'ADEN SUKUK LTD                                                               | CUSIP: 55407NAA0<br>LEI: 254900QDNU6I6VA8UL14 | Long             | DBT              | NUSS              | KY        |  29579000 | PA      | $30417243.42  | 0.19%             | 2030-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding LX Ltd                                                     | MADISON PARK FUNDING LX LTD                                                     | CUSIP: 557910AS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6270000 | PA      | $6303386.18   | 0.04%             | 2037-10-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding LXI Ltd                                                    | MADISON PARK FUNDING LXI LTD                                                    | CUSIP: 55822NAA7<br>LEI: 2138008EAUXBYEZRP521 | Long             | ABS-CBDO         | CORP              | JE        |  11305000 | PA      | $11343343.96  | 0.07%             | 2037-01-20      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XLVII Ltd                                                  | MADISON PARK FUNDING XLVII LTD                                                  | CUSIP: 55820FAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5495000 | PA      | $5521835.05   | 0.03%             | 2037-04-19      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XLVII Ltd                                                  | MADISON PARK FUNDING XLVII LTD                                                  | CUSIP: 55820FAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4007481.32   | 0.02%             | 2037-04-19      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Magna International Inc                                                         | MAGNA INTERNATIONAL INC                                                         | CUSIP: 559222BD5<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | DBT              | CORP              | CA        |    715000 | PA      | $744109.08    | 0.00%             | 2035-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD                                                   | MARRIOTT INTERNATIONAL INC/MD                                                   | CUSIP: 571903BU6<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |  11960000 | PA      | $11999049.40  | 0.07%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mars Inc                                                                        | MARS INC                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |  11635000 | PA      | $11437484.24  | 0.07%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Mars Inc                                                                        | MARS INC                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |  16175000 | PA      | $16303817.70  | 0.10%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Marvell Technology Inc                                                          | MARVELL TECHNOLOGY INC                                                          | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13927000 | PA      | $12804623.07  | 0.08%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Marvell Technology Inc                                                          | MARVELL TECHNOLOGY INC                                                          | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10260000 | PA      | $10430090.28  | 0.06%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Marvell Technology Inc                                                          | MARVELL TECHNOLOGY INC                                                          | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2375000 | PA      | $2397075.63   | 0.01%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Match Group Holdings II LLC                                                     | MATCH GROUP HOLDINGS II LLC                                                     | CUSIP: 57667JAC6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |   7178000 | PA      | $7240807.50   | 0.04%             | 2033-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MED Commercial Mortgage Trust 2024-MOB                                          | MED COMMERCIAL MORTGAGE TRUST 2024-MOB                                          | CUSIP: 55287BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13148793 | PA      | $13077460.80  | 0.08%             | 2041-05-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                             | MEDLINE BORROWER LP                                                             | CUSIP: 58503UAJ2<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |   8060000 | PA      | $8060000.00   | 0.05%             | 2030-10-23      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                             | MEDLINE BORROWER LP                                                             | CUSIP: 58503UAH6<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |   3660000 | PA      | $3659634.00   | 0.02%             | 2028-10-21      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP/Medline Co-Issuer Inc                                       | MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC                                       | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5260000 | PA      | $5398075.00   | 0.03%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                           | METROPOLITAN TRANSPORTATION AUTHORITY                                           | CUSIP: 59259YCA5<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |   6810000 | PA      | $7201262.42   | 0.04%             | 2031-11-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO VI                                                          | MIDOCEAN CREDIT CLO VI                                                          | CUSIP: 59802XBN2<br>LEI: 549300YUUBR2C1GYW366 | Long             | ABS-CBDO         | CORP              | KY        |   3443405 | PA      | $3446776.62   | 0.02%             | 2033-04-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Minera Mexico SA de CV                                                          | MINERA MEXICO SA DE CV                                                          | CUSIP: 60284MAC6<br>LEI: 2549005BMA2EK49I0T98 | Long             | DBT              | CORP              | MX        |  24830000 | PA      | $25321634.00  | 0.15%             | 2032-02-12      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC 2021-A                                               | MMAF EQUIPMENT FINANCE LLC 2021-A                                               | CUSIP: 55317JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5020000 | PA      | $4934623.86   | 0.03%             | 2043-11-13      | Fixed         | 1.19%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC 2024-A                                               | MMAF EQUIPMENT FINANCE LLC 2024-A                                               | CUSIP: 55318CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23220000 | PA      | $23581033.85  | 0.14%             | 2031-07-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Molina Healthcare Inc                                                           | MOLINA HEALTHCARE INC                                                           | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3417000.00   | 0.02%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Molina Healthcare Inc                                                           | MOLINA HEALTHCARE INC                                                           | CUSIP: 60855RAL4<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |   3850000 | PA      | $3436125.00   | 0.02%             | 2032-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   7595000 | PA      | $7903957.01   | 0.05%             | 2036-04-17      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  15220000 | PA      | $15653374.28  | 0.10%             | 2030-01-16      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4674000 | PA      | $4749578.58   | 0.03%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2025-DSC2                        | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-DSC2                        | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250014 | PA      | $3275294.61   | 0.02%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM5                        | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM5                        | CUSIP: 61779BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3581458 | PA      | $3609294.20   | 0.02%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                          | MOTOROLA SOLUTIONS INC                                                          | CUSIP: 620076BZ1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |   7860000 | PA      | $8067040.26   | 0.05%             | 2034-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                          | MOTOROLA SOLUTIONS INC                                                          | CUSIP: 620076CC1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |  15800000 | PA      | $16233789.00  | 0.10%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP                                                                         | CUSIP: 55336VCB4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   9340000 | PA      | $9258592.56   | 0.06%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP                                                                         | CUSIP: 55336VCD0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   7255000 | PA      | $7022789.22   | 0.04%             | 2055-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| MSCI Inc                                                                        | MSCI INC                                                                        | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   4377000 | PA      | $4279690.54   | 0.03%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MVW 2023-1 LLC                                                                  | MVW 2023-1 LLC                                                                  | CUSIP: 62848PAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12575332 | PA      | $12705995.75  | 0.08%             | 2040-10-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| MVW 2023-2 LLC                                                                  | MVW 2023-2 LLC                                                                  | CUSIP: 55400WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3614018 | PA      | $3707380.44   | 0.02%             | 2040-11-20      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| MVW 2023-2 LLC                                                                  | MVW 2023-2 LLC                                                                  | CUSIP: 55400WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2421710 | PA      | $2474462.65   | 0.02%             | 2040-11-20      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | MXN/USD FWD 20251017 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | MX        |         1 | NC      | $457936.19    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| National Fuel Gas Co                                                            | NATIONAL FUEL GAS CO                                                            | CUSIP: 636180BT7<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |   3690000 | PA      | $3808526.49   | 0.02%             | 2030-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| National Grid Electricity Distribution East Midlands PLC                        | NATIONAL GRID ELECTRICITY DISTRIBUTION EAST MIDLANDS PLC                        | CUSIP: BY9532239<br>LEI: 549300KXFU5Q7NZE9L79 | Long             | DBT              | CORP              | GB        |   3070000 | PA      | $3727391.13   | 0.02%             | 2032-09-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Navient Corp                                                                    | NAVIENT CORP                                                                    | CUSIP: 78442FAZ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |   3850000 | PA      | $3522750.00   | 0.02%             | 2033-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Navient Corp                                                                    | NAVIENT CORP                                                                    | CUSIP: 63938CAP3<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |   6225000 | PA      | $7049812.50   | 0.04%             | 2031-03-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| Navient Corp                                                                    | NAVIENT CORP                                                                    | CUSIP: 63938CAQ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |   2924000 | PA      | $3062890.00   | 0.02%             | 2032-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| Navient Corp                                                                    | NAVIENT CORP                                                                    | CUSIP: 63938CAN8<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |   9240000 | PA      | $10094700.00  | 0.06%             | 2030-07-25      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust 2017-A                                     | NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A                                     | CUSIP: 63939XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3557192 | PA      | $3534359.05   | 0.02%             | 2058-12-16      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-C                                | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-C                                | CUSIP: 63941KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20755000 | PA      | $18638938.50  | 0.11%             | 2068-11-15      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| NBN Co Ltd                                                                      | NBN CO LTD                                                                      | CUSIP: ZL1819172<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |   2965000 | PA      | $3621864.28   | 0.02%             | 2029-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NBN Co Ltd                                                                      | NBN CO LTD                                                                      | CUSIP: ZL1819206<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |   2870000 | PA      | $3592276.57   | 0.02%             | 2033-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                                                     | NETFLIX INC                                                                     | CUSIP: ZS2938422<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |   3015000 | PA      | $3673311.86   | 0.02%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                                                     | NETFLIX INC                                                                     | CUSIP: AV1834432<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |   7605000 | PA      | $9474243.70   | 0.06%             | 2029-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XXI Ltd                                                    | NEUBERGER BERMAN CLO XXI LTD                                                    | CUSIP: 64130DBS8<br>LEI: 549300VBBLOSKH8XQ869 | Long             | ABS-CBDO         | CORP              | KY        |  17895000 | PA      | $17957230.40  | 0.11%             | 2039-01-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers Clo 43 Ltd                                       | NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD                                       | CUSIP: 64134AAJ1<br>LEI: 549300N83MM16HCONB28 | Long             | ABS-CBDO         | CORP              | KY        |   9410000 | PA      | $9380585.56   | 0.06%             | 2036-07-17      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2021-INV2                                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2                                   | CUSIP: 64831GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9710087 | PA      | $7939428.07   | 0.05%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2025-NQM3                                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM3                                   | CUSIP: 64832CAC7<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |  19511095 | PA      | $19729767.62  | 0.12%             | 2065-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2025-NQM4                                   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4                                   | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |  26328855 | PA      | $26550272.78  | 0.16%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings Inc                                             | NEXTERA ENERGY CAPITAL HOLDINGS INC                                             | CUSIP: 65339KCL2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   3890000 | PA      | $3919758.50   | 0.02%             | 2027-09-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | NFL SR SECURED NOTE PP                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9520000 | PA      | $9520000.00   | 0.06%             | 2030-10-05      | Fixed         | 4.78%                 | Yes           |                  3 | On Loan: No      |
| Niagara Mohawk Power Corp                                                       | NIAGARA MOHAWK POWER CORP                                                       | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |  20725000 | PA      | $20681684.75  | 0.13%             | 2055-07-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp                                                       | NIAGARA MOHAWK POWER CORP                                                       | CUSIP: 653522DT6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |  10185000 | PA      | $10238501.81  | 0.06%             | 2030-10-03      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp                                                       | NIAGARA MOHAWK POWER CORP                                                       | CUSIP: 65364UAU0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   9190000 | PA      | $8779969.77   | 0.05%             | 2054-01-17      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| NiSource Inc                                                                    | NISOURCE INC                                                                    | CUSIP: 65473PAN5<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   3395000 | PA      | $3483494.07   | 0.02%             | 2028-03-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NiSource Inc                                                                    | NISOURCE INC                                                                    | CUSIP: 65473PAU9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |  13545000 | PA      | $13414412.66  | 0.08%             | 2055-04-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co Ltd                                                             | NISSAN MOTOR CO LTD                                                             | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   4465000 | PA      | $4667152.88   | 0.03%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital XII-B Ltd                                                    | NORTHWOODS CAPITAL XII-B LTD                                                    | CUSIP: 66858CAQ0<br>LEI: 549300R06FSYRU75ZW78 | Long             | ABS-CBDO         | CORP              | KY        |  10175000 | PA      | $10219358.22  | 0.06%             | 2031-06-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital XIV-B Ltd                                                    | NORTHWOODS CAPITAL XIV-B LTD                                                    | CUSIP: 66860CAL7<br>LEI: 549300QQDSTCZ860F679 | Long             | ABS-CBDO         | CORP              | KY        |  14426872 | PA      | $14448512.30  | 0.09%             | 2031-11-13      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| NRG Energy Inc                                                                  | NRG ENERGY INC                                                                  | CUSIP: 62937NBC0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | LON              | CORP              | US        |  76239615 | PA      | $76301369.05  | 0.46%             | 2031-04-16      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| NRG Energy Inc                                                                  | NRG ENERGY INC                                                                  | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   9592000 | PA      | $9519906.53   | 0.06%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                                | NTT FINANCE CORP                                                                | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   4860000 | PA      | $4944573.72   | 0.03%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                                | NTT FINANCE CORP                                                                | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   3650000 | PA      | $3728350.90   | 0.02%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp                                                                | NTT FINANCE CORP                                                                | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   7105000 | PA      | $7271271.21   | 0.04%             | 2035-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC / NXP USA Inc                                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |  20770000 | PA      | $19875083.01  | 0.12%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC / NXP USA Inc                                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |  11284000 | PA      | $8032944.19   | 0.05%             | 2042-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC / NXP USA Inc                                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |  35200000 | PA      | $22515468.80  | 0.14%             | 2051-11-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC / NXP USA Inc                                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAV0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   5242000 | PA      | $5231993.02   | 0.03%             | 2029-06-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NXPT Commercial Mortgage Trust 2024-STOR                                        | NXPT COMMERCIAL MORTGAGE TRUST 2024-STOR                                        | CUSIP: 67119YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5070000 | PA      | $5020186.24   | 0.03%             | 2041-11-05      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust 2025-INV1                                                       | NYMT LOAN TRUST 2025-INV1                                                       | CUSIP: 67120YAC3<br>LEI: 254900KJ201MTW2K6G74 | Long             | ABS-MBS          | CORP              | US        |   2246335 | PA      | $2258534.50   | 0.01%             | 2060-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | NZD/USD FWD 20251024 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | NZ        |         1 | NC      | $-4527.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2019-INV2 Trust                                                             | OBX 2019-INV2 TRUST                                                             | CUSIP: 67112VAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2012986 | PA      | $1889971.76   | 0.01%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2019-INV2 Trust                                                             | OBX 2019-INV2 TRUST                                                             | CUSIP: 67112VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743736 | PA      | $698285.75    | 0.00%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM15 Trust                                                            | OBX 2025-NQM15 TRUST                                                            | CUSIP: 67122CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6810000 | PA      | $6809974.80   | 0.04%             | 2065-07-27      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM15 Trust                                                            | OBX 2025-NQM15 TRUST                                                            | CUSIP: 67122CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7205000 | PA      | $7205000.00   | 0.04%             | 2065-07-27      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                       | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   2261000 | PA      | $2221432.50   | 0.01%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                       | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |  26910000 | PA      | $30946500.00  | 0.19%             | 2030-07-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                       | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599EM3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   8515000 | PA      | $7916131.54   | 0.05%             | 2054-10-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                       | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599DZ5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   3806000 | PA      | $4010572.50   | 0.02%             | 2027-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2017-13 Ltd                                                             | OCP CLO 2017-13 LTD                                                             | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |  10370000 | PA      | $10400227.51  | 0.06%             | 2037-11-26      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2017-13 Ltd                                                             | OCP CLO 2017-13 LTD                                                             | CUSIP: 67097LAX4<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |   7015000 | PA      | $7061632.35   | 0.04%             | 2037-11-26      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 49 Ltd                                              | OCTAGON INVESTMENT PARTNERS 49 LTD                                              | CUSIP: 67578FAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13935000 | PA      | $14016676.10  | 0.09%             | 2037-04-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2023-1                                                 | OCTANE RECEIVABLES TRUST 2023-1                                                 | CUSIP: 67571BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    539261 | PA      | $540201.48    | 0.00%             | 2029-05-21      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2023-3                                                 | OCTANE RECEIVABLES TRUST 2023-3                                                 | CUSIP: 67571CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3023000 | PA      | $3073518.86   | 0.02%             | 2029-07-20      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2023-3                                                 | OCTANE RECEIVABLES TRUST 2023-3                                                 | CUSIP: 67571CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1160000 | PA      | $1187679.34   | 0.01%             | 2029-08-20      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2024-1                                                 | OCTANE RECEIVABLES TRUST 2024-1                                                 | CUSIP: 67571FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4790308 | PA      | $4826219.45   | 0.03%             | 2030-05-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp                                                            | ONEMAIN FINANCE CORP                                                            | CUSIP: 682691AF7<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   1305000 | PA      | $1363725.00   | 0.01%             | 2031-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                                                       | ONEOK INC                                                                       | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |  25359000 | PA      | $26627203.59  | 0.16%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Opal US LLC                                                                     | OPAL US LLC                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  14000000 | PA      | $14070000.00  | 0.09%             | 2032-04-28      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Orbia Advance Corp SAB de CV                                                    | ORBIA ADVANCE CORP SAB DE CV                                                    | CUSIP: 68560EAC2<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |  16050000 | PA      | $16398927.00  | 0.10%             | 2030-05-13      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| OZLM Funding II Ltd                                                             | OZLM FUNDING II LTD                                                             | CUSIP: 67108BCG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11450000 | PA      | $11477667.89  | 0.07%             | 2037-07-30      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| P3 Group Sarl                                                                   | P3 GROUP SARL                                                                   | CUSIP: ZF8261835<br>LEI: 529900GR62MT0O5VW110 | Long             | DBT              | CORP              | LU        |   1490000 | PA      | $1825758.93   | 0.01%             | 2030-02-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   5605000 | PA      | $4643949.89   | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   6018000 | PA      | $3933924.47   | 0.02%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                     | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3326000 | PA      | $3100836.45   | 0.02%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO 2020-3 Ltd                                                    | PALMER SQUARE CLO 2020-3 LTD                                                    | CUSIP: 69701RAY3<br>LEI: 549300IUW4WDDDVSMS20 | Long             | ABS-CBDO         | CORP              | JE        |  17485000 | PA      | $17524623.63  | 0.11%             | 2036-11-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Palomino Funding Trust I                                                        | PALOMINO FUNDING TRUST I                                                        | CUSIP: 69754AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9700000 | PA      | $10309625.60  | 0.06%             | 2028-05-17      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| Panther Escrow Issuer LLC                                                       | PANTHER ESCROW ISSUER LLC                                                       | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3040000 | PA      | $3142600.00   | 0.02%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Paychex Inc                                                                     | PAYCHEX INC                                                                     | CUSIP: 704326AC1<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |   6070000 | PA      | $6282292.18   | 0.04%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Permian Resources Operating LLC                                                 | PERMIAN RESOURCES OPERATING LLC                                                 | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |   3085000 | PA      | $3131275.00   | 0.02%             | 2033-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Peruvian Government International Bond                                          | PERUVIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 715638FD9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |  16970000 | PA      | $17202489.00  | 0.10%             | 2055-06-30      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                             | PETROLEOS MEXICANOS                                                             | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   9285000 | PA      | $7942207.01   | 0.05%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                             | PETROLEOS MEXICANOS                                                             | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  17110000 | PA      | $16007744.71  | 0.10%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                             | PETROLEOS MEXICANOS                                                             | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  25660000 | PA      | $27248293.96  | 0.17%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc/The                                            | PNC FINANCIAL SERVICES GROUP INC/THE                                            | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   5710000 | PA      | $5779856.14   | 0.04%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc/The                                            | PNC FINANCIAL SERVICES GROUP INC/THE                                            | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   8445000 | PA      | $8723786.34   | 0.05%             | 2036-01-29      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Post Road Equipment Finance 2024-1 LLC                                          | POST ROAD EQUIPMENT FINANCE 2024-1 LLC                                          | CUSIP: 737473AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2565793 | PA      | $2579966.81   | 0.02%             | 2029-11-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2021-SFR8 Trust                                            | PROGRESS RESIDENTIAL 2021-SFR8 TRUST                                            | CUSIP: 74333TAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4920000 | PA      | $4789214.59   | 0.03%             | 2038-10-17      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                                                       | PROSUS NV                                                                       | CUSIP: BT4891235<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   1710000 | PA      | $1917543.68   | 0.01%             | 2030-01-19      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| PSEG Power LLC                                                                  | PSEG POWER LLC                                                                  | CUSIP: 69362BBD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4190000 | PA      | $4309607.74   | 0.03%             | 2030-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Public Service Co of Oklahoma                                                   | PUBLIC SERVICE CO OF OKLAHOMA                                                   | CUSIP: 744533BS8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |  19460000 | PA      | $19678925.00  | 0.12%             | 2036-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Qnity Electronics Inc                                                           | QNITY ELECTRONICS INC                                                           | CUSIP: 74743LAB6<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |    335000 | PA      | $344631.25    | 0.00%             | 2033-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Qnity Electronics Inc                                                           | QNITY ELECTRONICS INC                                                           | CUSIP: 74737SAB9<br>LEI: 254900RSUG4J9TFFZX53 | Long             | LON              | CORP              | US        |   2665000 | PA      | $2656685.20   | 0.02%             | 2032-08-12      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings Inc                                                           | QUIKRETE HOLDINGS INC                                                           | CUSIP: 74839XAL3<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |   8828907 | PA      | $8823432.97   | 0.05%             | 2032-01-30      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings Inc                                                           | QUIKRETE HOLDINGS INC                                                           | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |   5039000 | PA      | $5177572.50   | 0.03%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| QXO Building Products Inc                                                       | QXO BUILDING PRODUCTS                                                           | CUSIP: 07368RAJ0<br>LEI: 549300HDXQWWCBOYXP31 | Long             | LON              | CORP              | US        |    491111 | PA      | $495177.51    | 0.00%             | 2032-04-30      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| Raizen Fuels Finance SA                                                         | RAIZEN FUELS FINANCE SA                                                         | CUSIP: 75102XAB2<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |   3860000 | PA      | $3768333.14   | 0.02%             | 2034-03-05      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Raizen Fuels Finance SA                                                         | RAIZEN FUELS FINANCE SA                                                         | CUSIP: 75102XAE6<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |   5930000 | PA      | $5688085.65   | 0.03%             | 2037-02-25      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Raizen Fuels Finance SA                                                         | RAIZEN FUELS FINANCE SA                                                         | CUSIP: 75102XAD8<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |  19650000 | PA      | $18031822.50  | 0.11%             | 2035-01-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| RB Global Holdings Inc                                                          | RB GLOBAL HOLDINGS INC                                                          | CUSIP: 76774LAC1<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |   3662000 | PA      | $3840522.50   | 0.02%             | 2031-03-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Real Estate Asset Liquidity Trust                                               | REAL ESTATE ASSET LIQUIDITY TRUST                                               | CUSIP: 75585RSS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |  59901501 | PA      | $43527653.63  | 0.27%             | 2060-01-12      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp                                                              | REALTY INCOME CORP                                                              | CUSIP: 756109CT9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   2805000 | PA      | $2818191.92   | 0.02%             | 2035-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp                                                              | REGAL REXNORD CORP                                                              | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |  16795000 | PA      | $17363544.34  | 0.11%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Regions Financial Corp                                                          | REGIONS FINANCIAL CORP                                                          | CUSIP: 7591EPAU4<br>LEI: CW05CS5KW59QTC0DG824 | Long             | DBT              | CORP              | US        |   8300000 | PA      | $8632664.00   | 0.05%             | 2030-06-06      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Reinsurance Group of America Inc                                                | REINSURANCE GROUP OF AMERICA INC                                                | CUSIP: 759351AT6<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |   3435000 | PA      | $3495253.34   | 0.02%             | 2055-09-15      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| RenaissanceRe Holdings Ltd                                                      | RENAISSANCERE HOLDINGS LTD                                                      | CUSIP: 75968NAG6<br>LEI: EK6GB9U3U58PDI411C94 | Long             | DBT              | CORP              | BM        |   1630000 | PA      | $1692444.99   | 0.01%             | 2035-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Rentokil Terminix Funding LLC                                                   | RENTOKIL TERMINIX FUNDING LLC                                                   | CUSIP: 760130AA2<br>LEI: 984500D5BAA7560EKJ44 | Long             | DBT              | CORP              | US        |  15894000 | PA      | $16142470.90  | 0.10%             | 2030-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bond                                | REPUBLIC OF POLAND GOVERNMENT INTERNATIONAL BOND                                | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |   9320000 | PA      | $8769812.35   | 0.05%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Revvity Inc                                                                     | REVVITY INC                                                                     | CUSIP: 714046AM1<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   5508000 | PA      | $5124824.96   | 0.03%             | 2028-09-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Revvity Inc                                                                     | REVVITY INC                                                                     | CUSIP: 714046AN9<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   7580000 | PA      | $6551439.48   | 0.04%             | 2031-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| RGA Global Funding                                                              | RGA GLOBAL FUNDING                                                              | CUSIP: 76209PAJ2<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |  10725000 | PA      | $10757282.25  | 0.07%             | 2032-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC                            | RIVIAN HOLDINGS LLC/RIVIAN LLC/RIVIAN AUTOMOTIVE LLC                            | CUSIP: 76954LAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4410000 | PA      | $4156425.00   | 0.03%             | 2031-01-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| Rockford Tower CLO 2019-2 Ltd                                                   | ROCKFORD TOWER CLO 2019-2 LTD                                                   | CUSIP: 77341GAS9<br>LEI: 549300IG5M07NI4QKK80 | Long             | ABS-CBDO         | CORP              | KY        |   9609472 | PA      | $9612687.13   | 0.06%             | 2032-08-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO 2021-2 Ltd                                                   | ROCKFORD TOWER CLO 2021-2 LTD                                                   | CUSIP: 77341LAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5515000 | PA      | $5515000.00   | 0.03%             | 2034-07-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc                                                       | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109DE8<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |  18431000 | PA      | $18784488.15  | 0.11%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc                                                       | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109DH1<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   6005000 | PA      | $6207668.75   | 0.04%             | 2055-04-15      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc                                                       | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |  20675000 | PA      | $20826361.68  | 0.13%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Romanian Government International Bond                                          | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 77586RAY6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |  28140000 | PA      | $28424664.24  | 0.17%             | 2030-09-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Romanian Government International Bond                                          | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 77586RAX8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |  23772000 | PA      | $23800288.68  | 0.15%             | 2036-05-16      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Ross Stores Inc                                                                 | ROSS STORES INC                                                                 | CUSIP: 778296AG8<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |  20720000 | PA      | $17994739.84  | 0.11%             | 2031-04-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| RR 28 Ltd                                                                       | RR 28 LTD                                                                       | CUSIP: 74989NAA7<br>LEI: 254900ZSKVCYOXP11C98 | Long             | ABS-CBDO         | CORP              | KY        |  21300000 | PA      | $21337342.52  | 0.13%             | 2037-04-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| RR 34 LTD                                                                       | RR 34 LTD                                                                       | CUSIP: 74988WAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8260000 | PA      | $8268314.19   | 0.05%             | 2039-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| RTE Reseau de Transport d Electricite SADIR                                     | RTE RESEAU DE TRANSPORT D'ELECTRICITE SADIR                                     | CUSIP: AU5894319<br>LEI: 969500JRJW0K2ET1UP76 | Long             | DBT              | CORP              | FR        |   3900000 | PA      | $4232048.91   | 0.03%             | 2030-09-27      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Sammons Financial Group Global Funding                                          | SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                          | CUSIP: 79587J2B8<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |   4775000 | PA      | $4850803.13   | 0.03%             | 2028-01-10      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Sammons Financial Group Global Funding                                          | SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                          | CUSIP: 79587J2A0<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $9245493.00   | 0.06%             | 2029-12-10      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Sandisk Corp/DE                                                                 | SANDISK CORP                                                                    | CUSIP: 80004YAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   6632791 | PA      | $6607917.64   | 0.04%             | 2032-02-20      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2023-B                           | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2023-B                           | CUSIP: 80290CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    344649 | PA      | $347484.65    | 0.00%             | 2033-12-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2020-4                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-4                                   | CUSIP: 80286WAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22810990 | PA      | $22728904.80  | 0.14%             | 2028-04-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2021-1                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-1                                   | CUSIP: 80286NAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  35281547 | PA      | $35071722.46  | 0.21%             | 2028-12-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2021-3                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-3                                   | CUSIP: 80287EAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  55750000 | PA      | $55680077.79  | 0.34%             | 2028-10-16      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2021-4                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4                                   | CUSIP: 80285VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  34950000 | PA      | $34850357.55  | 0.21%             | 2029-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2025-1                                   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-1                                   | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7575000 | PA      | $7603868.33   | 0.05%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA Inc                                                      | SANTANDER HOLDINGS USA INC                                                      | CUSIP: 80282KBN5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   9975000 | PA      | $10212045.90  | 0.06%             | 2029-03-20      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust 2025-NQM2                             | SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM2                             | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8314476 | PA      | $8397889.85   | 0.05%             | 2065-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings PLC                                                 | SANTANDER UK GROUP HOLDINGS PLC                                                 | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    642000 | PA      | $674285.54    | 0.00%             | 2029-01-10      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Sartorius Finance BV                                                            | SARTORIUS FINANCE BV                                                            | CUSIP: ZI6854262<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |  14300000 | PA      | $17677969.32  | 0.11%             | 2035-09-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Saudi Government International Bond                                             | SAUDI GOVERNMENT INTERNATIONAL BOND                                             | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   9600000 | PA      | $9809330.30   | 0.06%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DAV2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  21685000 | PA      | $20782650.50  | 0.13%             | 2027-04-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17915000 | PA      | $17948057.12  | 0.11%             | 2029-10-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                 | SBA TOWER TRUST                                                                 | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17515000 | PA      | $15427459.66  | 0.09%             | 2031-10-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| SDR Commercial Mortgage Trust 2024-DSNY                                         | SDR COMMERCIAL MORTGAGE TRUST 2024-DSNY                                         | CUSIP: 811304AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24450000 | PA      | $24449997.56  | 0.15%             | 2039-05-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                                                 | SEB FUNDING LLC                                                                 | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21626000 | PA      | $22193528.96  | 0.14%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Securitized Term Auto Receivables Trust 2025-B                                  | SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-B                                  | CUSIP: 81378WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   7211402 | PA      | $7263670.43   | 0.04%             | 2032-12-29      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Segro Capital Sarl                                                              | SEGRO CAPITAL SARL                                                              | CUSIP: BV2275139<br>LEI: 549300HY425AKJLQVX75 | Long             | DBT              | CORP              | LU        |   1685000 | PA      | $1874412.73   | 0.01%             | 2030-03-23      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH1                                                 | SEQUOIA MORTGAGE TRUST 2018-CH1                                                 | CUSIP: 81747DAB5<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |    473696 | PA      | $432125.72    | 0.00%             | 2048-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH2                                                 | SEQUOIA MORTGAGE TRUST 2018-CH2                                                 | CUSIP: 81747EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2073703 | PA      | $1946046.34   | 0.01%             | 2048-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH3                                                 | SEQUOIA MORTGAGE TRUST 2018-CH3                                                 | CUSIP: 81746WAB4<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |    156612 | PA      | $154809.02    | 0.00%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Service Properties Trust                                                        | SERVICE PROPERTIES TRUST                                                        | CUSIP: 81761LAC6<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |   6575000 | PA      | $6985937.50   | 0.04%             | 2031-11-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust 2024-1                                | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1                                | CUSIP: 78435VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2340000 | PA      | $2398776.35   | 0.01%             | 2032-01-20      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust 2024-1                                | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1                                | CUSIP: 78435VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4615000 | PA      | $4690606.16   | 0.03%             | 2031-01-21      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust 2024-2                                | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2                                | CUSIP: 78397XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2920000 | PA      | $3011512.22   | 0.02%             | 2030-08-20      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust 2024-2                                | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2                                | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13590000 | PA      | $13741184.67  | 0.08%             | 2029-11-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust 2019-3                                            | SG RESIDENTIAL MORTGAGE TRUST 2019-3                                            | CUSIP: 78432BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32256 | PA      | $32112.43     | 0.00%             | 2059-09-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare 2022-3 Receivables Funding LLC                                 | SIERRA TIMESHARE 2022-3 RECEIVABLES FUNDING LLC                                 | CUSIP: 826934AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    853351 | PA      | $873398.08    | 0.01%             | 2039-07-20      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 5 Ltd                                                           | SIGNAL PEAK CLO 5 LTD                                                           | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  29505000 | PA      | $29543031.95  | 0.18%             | 2037-04-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                             | SIRIUS XM RADIO LLC                                                             | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   4365000 | PA      | $4201312.50   | 0.03%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                                                | SKANDINAVISKA ENSKILDA BANKEN AB                                                | CUSIP: ZH8095577<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   2905000 | PA      | $3567875.73   | 0.02%             | 2028-11-06      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                                                | SKANDINAVISKA ENSKILDA BANKEN AB                                                | CUSIP: ZI3103200<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   3005000 | PA      | $3700115.85   | 0.02%             | 2033-08-17      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2018-C                                         | SMB PRIVATE EDUCATION LOAN TRUST 2018-C                                         | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |   2330861 | PA      | $2309442.00   | 0.01%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2021-A                                         | SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                         | CUSIP: 78448YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10287820 | PA      | $9396706.09   | 0.06%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Smurfit Westrock Financing DAC                                                  | SMURFIT WESTROCK FINANCING DAC                                                  | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |   3205000 | PA      | $3276481.12   | 0.02%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Snam SpA                                                                        | SNAM SPA                                                                        | CUSIP: 83304JAB3<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |   7900000 | PA      | $8159775.70   | 0.05%             | 2035-05-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Snam SpA                                                                        | SNAM SPA                                                                        | CUSIP: 83304JAC1<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |   4425000 | PA      | $4597654.65   | 0.03%             | 2055-05-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                             | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  13351000 | PA      | $14447250.61  | 0.09%             | 2034-01-10      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                             | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBT8<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  14430000 | PA      | $15128065.68  | 0.09%             | 2053-01-10      | Fixed         | 7.37%                 | No            |                  2 | On Loan: —       |
| Societe Generale SA                                                             | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  24245000 | PA      | $23616981.77  | 0.14%             | 2028-01-19      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                             | SOCIETE GENERALE SA                                                             | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  17160000 | PA      | $17524650.00  | 0.11%             | 2029-04-13      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Sodexo Inc                                                                      | SODEXO INC                                                                      | CUSIP: 833794AC4<br>LEI: 549300WSZGQGJQXRFU84 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1561570.48   | 0.01%             | 2030-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Solventum Corp                                                                  | SOLVENTUM CORP                                                                  | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |  16310000 | PA      | $16866823.40  | 0.10%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Solventum Corp                                                                  | SOLVENTUM CORP                                                                  | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |  32310000 | PA      | $32245250.76  | 0.20%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: —       |
| SOUND POINT CLO XXII LTD                                                        | SOUND POINT CLO XXII LTD                                                        | CUSIP: 83611KAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5045000 | PA      | $5050876.82   | 0.03%             | 2032-01-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| South Bow Canadian Infrastructure Holdings Ltd                                  | SOUTH BOW CANADIAN INFRASTRUCTURE HOLDINGS LTD                                  | CUSIP: 836720AJ1<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |   3315000 | PA      | $3480750.00   | 0.02%             | 2055-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: —       |
| South Bow USA Infrastructure Holdings LLC                                       | SOUTH BOW USA INFRASTRUCTURE HOLDINGS LLC                                       | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |  12225000 | PA      | $12330575.10  | 0.08%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co                                                      | SOUTHERN CALIFORNIA GAS CO                                                      | CUSIP: 842434DC3<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   7780000 | PA      | $7976725.08   | 0.05%             | 2035-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp                                                             | SPRINT CAPITAL CORP                                                             | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |  24540000 | PA      | $26411175.00  | 0.16%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp                                                             | SPRINT CAPITAL CORP                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |  15530000 | PA      | $18810712.50  | 0.11%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| SG ISSUER SA                                                                    | SPX US 09/19/25 P6200                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | US        |       471 | NC      | $871350.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| State of Illinois                                                               | STATE OF ILLINOIS                                                               | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |   3042857 | PA      | $3328872.02   | 0.02%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics Inc                                                              | STEEL DYNAMICS INC                                                              | CUSIP: 858119BS8<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |  10855000 | PA      | $10953378.87  | 0.07%             | 2035-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust 2025-B                   | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-B                   | CUSIP: 858933AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3375000 | PA      | $3392656.65   | 0.02%             | 2029-06-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRIT                                                  | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-B                   | CUSIP: 858933AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1930000 | PA      | $1936466.08   | 0.01%             | 2029-07-20      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                                                       | SUNOCO LP                                                                       | CUSIP: 86765KAC3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |   3641000 | PA      | $3845806.25   | 0.02%             | 2032-05-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Sutter Health                                                                   | SUTTER HEALTH                                                                   | CUSIP: 86944BAP8<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3515923.00   | 0.02%             | 2032-08-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Sutter Health                                                                   | SUTTER HEALTH                                                                   | CUSIP: 86944BAQ6<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |  11135000 | PA      | $11573195.66  | 0.07%             | 2035-08-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Sutter Health                                                                   | SUTTER HEALTH                                                                   | CUSIP: 86944BAK9<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |   5265000 | PA      | $5386521.47   | 0.03%             | 2033-08-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Swiss RE Subordinated Finance PLC                                               | SWISS RE SUBORDINATED FINANCE PLC                                               | CUSIP: 87088QAB0<br>LEI: 636700H29EH5Z8ZU8L04 | Long             | DBT              | CORP              | GB        |   7000000 | PA      | $7030653.00   | 0.04%             | 2046-04-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Symphony CLO 40 Ltd                                                             | SYMPHONY CLO 40 LTD                                                             | CUSIP: 871989AR0<br>LEI: 25490001HYY3IX1I5Z32 | Long             | ABS-CBDO         | CORP              | BM        |   8515000 | PA      | $8543185.42   | 0.05%             | 2038-01-05      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XVI Ltd                                                            | SYMPHONY CLO XVI LTD                                                            | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |  22944208 | PA      | $22949825.33  | 0.14%             | 2031-10-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXXI Ltd                                                           | SYMPHONY CLO XXXI LTD                                                           | CUSIP: 87168YAQ3<br>LEI: 549300OJB1EXT6QKOX87 | Long             | ABS-CBDO         | CORP              | BM        |  13970000 | PA      | $13981984.16  | 0.09%             | 2038-01-22      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Issuance Trust                                                   | SYNCHRONY CARD ISSUANCE TRUST                                                   | CUSIP: 87166PAP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16765000 | PA      | $17058095.79  | 0.10%             | 2031-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Synopsys Inc                                                                    | SYNOPSYS INC                                                                    | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |  11925000 | PA      | $12165181.43  | 0.07%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Synopsys Inc                                                                    | SYNOPSYS INC                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |  12155000 | PA      | $11931019.82  | 0.07%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                                                | T-MOBILE USA INC                                                                | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   3978000 | PA      | $4006928.02   | 0.02%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                                                | T-MOBILE USA INC                                                                | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  14080000 | PA      | $13298236.16  | 0.08%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T. Rowe Price Government Reserve Fund                                           | T. Rowe Price Government Reserve Fund                                           | CUSIP: 76105Y109<br>LEI: 5493002Y0IYARJVQ5N24 | Long             | STIV             | RF                | US        | 421932652 | NS      | $421932652.23 | 2.57%             |  |  |  | No            |                  1 | On Loan: No      |
| T. Rowe Price Government Reserve Fund                                           | T. Rowe Price Government Reserve Fund - Collateral                              | CUSIP: 76105YYY8<br>LEI: 5493002Y0IYARJVQ5N24 | Long             | STIV             | RF                | US        | 286982519 | NS      | $286982519.45 | 1.75%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price Institutional Floating Rate Fund                                   | T. Rowe Price Institutional Floating Rate Fund - Class Z                        | CUSIP: 77958B873<br>LEI: 863VOPTBPYYVTH00FU88 | Long             | EC               | RF                | US        |     37502 | NS      | $353266.72    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Talen Energy Supply LLC                                                         | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422VAK4<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |   5968000 | PA      | $6355920.00   | 0.04%             | 2030-06-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Talen Energy Supply LLC                                                         | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422LAV2<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |   3212881 | PA      | $3219564.09   | 0.02%             | 2030-05-17      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Talen Energy Supply LLC                                                         | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422LAY6<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |   5233700 | PA      | $5246784.25   | 0.03%             | 2031-12-13      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp                                                            | TARGA RESOURCES CORP                                                            | CUSIP: 87612GAE1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |  15155000 | PA      | $15968868.97  | 0.10%             | 2029-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp                                                            | TARGA RESOURCES CORP                                                            | CUSIP: 87612GAN1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   2705000 | PA      | $2636509.40   | 0.02%             | 2055-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp                                                            | TARGA RESOURCES CORP                                                            | CUSIP: 87612GAQ4<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   5745000 | PA      | $5823878.85   | 0.04%             | 2036-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp                                                            | TARGA RESOURCES CORP                                                            | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   8995000 | PA      | $9071232.63   | 0.06%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp             | TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP             | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5907000 | PA      | $6007395.37   | 0.04%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TDC Net A/S                                                                     | TDC NET A/S                                                                     | CUSIP: ZK3492350<br>LEI: 549300SH2G3R15Y3FX20 | Long             | DBT              | CORP              | DK        |   5340000 | PA      | $6933215.81   | 0.04%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Inc                                                           | TEXAS INSTRUMENTS INC                                                           | CUSIP: 882508CM4<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |  16175000 | PA      | $16520595.05  | 0.10%             | 2035-05-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| TIAA CLO I Ltd                                                                  | TIAA CLO I LTD                                                                  | CUSIP: 87271LAY8<br>LEI: 549300SWQCCOXV4X1761 | Long             | ABS-CBDO         | CORP              | KY        |  10147570 | PA      | $10151301.32  | 0.06%             | 2031-07-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                               | TIME WARNER CABLE ENTERPRISES LLC                                               | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7749000 | PA      | $9025275.80   | 0.05%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                           | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   1398000 | PA      | $1445186.69   | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                           | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   2193000 | PA      | $2384126.53   | 0.01%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                           | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   7092000 | PA      | $7336191.74   | 0.04%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TK Elevator US Newco Inc                                                        | TK ELEVATOR US NEWCO INC                                                        | CUSIP: 8869969C3<br>LEI: 549300C2AFWPAYWS5574 | Long             | LON              | CORP              | US        |   8293814 | PA      | $8320685.46   | 0.05%             | 2030-04-30      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                          | TOTALENERGIES CAPITAL INTERNATIONAL SA                                          | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   7180000 | PA      | $5040453.34   | 0.03%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                          | TOTALENERGIES CAPITAL INTERNATIONAL SA                                          | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   7904000 | PA      | $5190011.42   | 0.03%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2019-HY3                                              | TOWD POINT MORTGAGE TRUST 2019-HY3                                              | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2088473 | PA      | $2098406.42   | 0.01%             | 2059-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2024-5                                                | TOWD POINT MORTGAGE TRUST 2024-5                                                | CUSIP: 891944AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7240015 | PA      | $7194302.31   | 0.04%             | 2064-10-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2025-1                                                | TOWD POINT MORTGAGE TRUST 2025-1                                                | CUSIP: 89190KAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7458139 | PA      | $7474567.94   | 0.05%             | 2065-06-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2025-1                                                | TOWD POINT MORTGAGE TRUST 2025-1                                                | CUSIP: 89190KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14784664 | PA      | $14901155.41  | 0.09%             | 2065-06-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| TPIC SPV I LLC                                                                  | TPIC SPV I LLC                                                                  | CUSIP: 872660AA3<br>LEI: 98450079E44D2D1B6432 | Long             | ABS-O            | CORP              | US        |  21268994 | PA      | $21268993.82  | 0.13%             | 2044-11-30      | Fixed         | 7.13%                 | Yes           |                  3 | On Loan: No      |
| Trans-Allegheny Interstate Line Co                                              | TRANS-ALLEGHENY INTERSTATE LINE CO                                              | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2080000 | PA      | $2130150.88   | 0.01%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                                   | TRANSDIGM INC                                                                   | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   4720000 | PA      | $4914700.00   | 0.03%             | 2031-12-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                                   | TRANSDIGM INC                                                                   | CUSIP: 89364MCE2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |   2040000 | PA      | $2040469.20   | 0.01%             | 2032-08-19      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                                   | TRANSDIGM INC                                                                   | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1740700.00   | 0.01%             | 2034-01-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                                   | TRANSDIGM INC                                                                   | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1515150.00   | 0.01%             | 2034-01-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| TransDigm Inc                                                                   | TRANSDIGM INC                                                                   | CUSIP: 893647BS5<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   2555000 | PA      | $2650812.50   | 0.02%             | 2030-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                                   | TRANSDIGM INC                                                                   | CUSIP: 89364MCB8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |   5102596 | PA      | $5114382.82   | 0.03%             | 2030-03-22      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Tricon Residential 2024-SFR2 Trust                                              | TRICON RESIDENTIAL 2024-SFR2 TRUST                                              | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7025387 | PA      | $7067240.55   | 0.04%             | 2040-06-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Trinitas Clo IX Ltd                                                             | TRINITAS CLO IX LTD                                                             | CUSIP: 89641JAW6<br>LEI: 549300QFERVNPGSISO16 | Long             | ABS-CBDO         | CORP              | KY        |   1581024 | PA      | $1582195.06   | 0.01%             | 2032-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Trinitas Clo VII Ltd                                                            | TRINITAS CLO VII LTD                                                            | CUSIP: 89641CAU5<br>LEI: 549300F3XEPDOX3FOP69 | Long             | ABS-CBDO         | CORP              | KY        |  14130000 | PA      | $14114233.89  | 0.09%             | 2035-01-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| US 2YR FUTR OPTN  Oct25P 103.75                                                 | TUV5P    103.75 PIT                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      5733 | NC      | $268740.11    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TX Trust 2024-HOU                                                               | TX TRUST 2024-HOU                                                               | CUSIP: 90216DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12745000 | PA      | $12725097.41  | 0.08%             | 2039-06-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| US 10YR FUT OPTN  Oct25P 112                                                    | TYV5P    112 PIT                                                                | CUSIP: 000000000<br>LEI: 254900HROIFWPRGM1V77 | N/A              | DIR              | CORP              | US        |      2231 | NC      | $941203.13    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Uber Technologies Inc                                                           | UBER TECHNOLOGIES INC                                                           | CUSIP: 90353TAK6<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |  17774000 | PA      | $17733990.73  | 0.11%             | 2029-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Uber Technologies Inc                                                           | UBER TECHNOLOGIES INC                                                           | CUSIP: 90353TAN0<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |  19620000 | PA      | $19708074.18  | 0.12%             | 2030-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS GROUP AG                                                                    | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  22790000 | PA      | $20990934.61  | 0.13%             | 2032-05-14      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS GROUP AG                                                                    | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   8871000 | PA      | $7798921.91   | 0.05%             | 2033-02-11      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| UCB SA                                                                          | UCB SA                                                                          | CUSIP: ZD5876747<br>LEI: 2138008J191VLSGY5A09 | Long             | DBT              | CORP              | BE        |   3100000 | PA      | $3732335.48   | 0.02%             | 2030-03-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UFC Holdings LLC                                                                | UFC HOLDINGS LLC                                                                | CUSIP: 90266UAK9<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |   7386298 | PA      | $7403655.53   | 0.05%             | 2031-11-21      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| UKG Inc                                                                         | UKG INC                                                                         | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |  19834680 | PA      | $19818217.33  | 0.12%             | 2031-02-10      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| UKG Inc                                                                         | UKG INC                                                                         | CUSIP: 90279XAA0<br>LEI: 529900FKHWSTQ1GXK240 | Long             | DBT              | CORP              | US        |   3205000 | PA      | $3305156.25   | 0.02%             | 2031-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 272825000 | PA      | $257904882.81 | 1.57%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 228435000 | PA      | $230719350.00 | 1.41%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 212795000 | PA      | $213967034.43 | 1.30%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 292825000 | PA      | $261998304.93 | 1.60%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20090000 | PA      | $20222625.34  | 0.12%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  93360000 | PA      | $94618171.64  | 0.58%             | 2032-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 134115000 | PA      | $133344886.19 | 0.81%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  93980000 | PA      | $82309592.73  | 0.50%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  76690000 | PA      | $63029593.75  | 0.38%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 158705000 | PA      | $153974846.67 | 0.94%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 300420000 | PA      | $250463440.59 | 1.53%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CBB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 106375000 | PA      | $99352587.36  | 0.61%             | 2027-12-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 153940000 | PA      | $153891893.75 | 0.94%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 268140000 | PA      | $274424531.25 | 1.67%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51240000 | PA      | $50967787.50  | 0.31%             | 2029-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 389730000 | PA      | $373531846.88 | 2.28%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 166145000 | PA      | $150899898.66 | 0.92%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CKR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 113000000 | PA      | $114500781.25 | 0.70%             | 2027-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 298045000 | PA      | $266668777.58 | 1.62%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7870000 | PA      | $7951159.38   | 0.05%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25840000 | PA      | $25135456.12  | 0.15%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  85420000 | PA      | $79747578.13  | 0.49%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54660000 | PA      | $50746258.73  | 0.31%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37775000 | PA      | $23479523.44  | 0.14%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 267715000 | PA      | $272985639.06 | 1.66%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 304955000 | PA      | $276091484.98 | 1.68%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 123885000 | PA      | $123415592.30 | 0.75%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  97625000 | PA      | $99394453.13  | 0.61%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 309520000 | PA      | $318878142.20 | 1.94%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 116375000 | PA      | $119120722.66 | 0.73%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 224195000 | PA      | $222609871.85 | 1.36%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 188070000 | PA      | $193418240.63 | 1.18%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30180000 | PA      | $30587901.41  | 0.19%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16555000 | PA      | $16782631.25  | 0.10%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 167935000 | PA      | $173701206.08 | 1.06%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  91880000 | PA      | $87601837.50  | 0.53%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44960000 | PA      | $43579587.28  | 0.27%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 288455000 | PA      | $291902937.23 | 1.78%             | 2031-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20665000 | PA      | $19685834.23  | 0.12%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 217505000 | PA      | $213239861.80 | 1.30%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 159815000 | PA      | $141935696.88 | 0.86%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |  24469000 | PA      | $21349545.07  | 0.13%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PFR8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   4270000 | PA      | $4246519.27   | 0.03%             | 2055-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PEV0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |  16060000 | PA      | $15726706.82  | 0.10%             | 2033-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   7575000 | PA      | $7732544.85   | 0.05%             | 2035-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ULTRA 10-YEAR US TREASURY NOTE FUTURES                                          | US 10YR ULTRA FUT DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       181 | NC      | $76383.78     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ULTRA 10-YEAR US TREASURY NOTE FUTURES                                          | US 10YR ULTRA FUT DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      7853 | NC      | $3314043.01   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ULTRA U.S. TREASURY BOND FUTURES                                                | US 2YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       397 | NC      | $96822.44     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ULTRA U.S. TREASURY BOND FUTURES                                                | US 2YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      6547 | NC      | $1596716.58   | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CBOT 5 YEAR US TREASURY NOTE                                                    | US 5YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      5260 | NC      | $2047192.00   | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| US Bancorp                                                                      | US BANCORP                                                                      | CUSIP: 91159HJG6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   4440000 | PA      | $4409865.72   | 0.03%             | 2033-07-22      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| US Bank NA                                                                      | US BANK NA                                                                      | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2332954 | PA      | $2360677.40   | 0.01%             | 2032-08-25      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| ULTRA U.S. TREASURY BOND FUTURES                                                | US ULTRA BOND CBT DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |     -2037 | NC      | $1092516.44   | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)                                            | USD/CAD FWD 20251024 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5747.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                                                    | USD/CAD FWD 20251024 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $86717.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                                                   | USD/EUR FWD 20251121 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11174.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                                                     | USD/JPY FWD 20251024 BNPAFRPP                                                   | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $101128.13    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                 | USD/JPY FWD 20251024 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-108609.52   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                                                   | USD/MXN FWD 20251017 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2723.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                                                              | USD/NZD FWD 20251024 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7033.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture Global LNG Inc                                                          | VENTURE GLOBAL LNG INC                                                          | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |   4275000 | PA      | $4697156.25   | 0.03%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG Inc                                                          | VENTURE GLOBAL LNG INC                                                          | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |   6325000 | PA      | $6269656.25   | 0.04%             | N/A             | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                              | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |   4295000 | PA      | $4488275.00   | 0.03%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                              | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |   2905000 | PA      | $3184606.25   | 0.02%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                              | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |   5780000 | PA      | $6437475.00   | 0.04%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                              | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |   5655000 | PA      | $5881200.00   | 0.04%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables 2024-1 LLC                                                  | VERDANT RECEIVABLES 2024-1 LLC                                                  | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4379690 | PA      | $4457161.91   | 0.03%             | 2031-12-12      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Verisk Analytics Inc                                                            | VERISK ANALYTICS INC                                                            | CUSIP: 92345YAN6<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   7540000 | PA      | $7489776.06   | 0.05%             | 2036-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                                            | VERIZON MASTER TRUST                                                            | CUSIP: 92348KBK8<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   9270000 | PA      | $9278088.08   | 0.06%             | 2029-01-22      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2022-1                                               | VERUS SECURITIZATION TRUST 2022-1                                               | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4688820 | PA      | $4393310.65   | 0.03%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust 2020-2                                         | VISTA POINT SECURITIZATION TRUST 2020-2                                         | CUSIP: 92838TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1161984 | PA      | $1118472.81   | 0.01%             | 2065-04-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                                                     | VISTRA CORP                                                                     | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2519400.00   | 0.02%             | N/A             | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                                                     | VISTRA CORP                                                                     | CUSIP: 92840MAD4<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |  17455000 | PA      | $18982312.50  | 0.12%             | N/A             | Variable      | 8.88%                 | No            |                  2 | On Loan: —       |
| Vistra Operations Co LLC                                                        | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   5820000 | PA      | $6054505.26   | 0.04%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                        | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    443000 | PA      | $453234.19    | 0.00%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                        | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |  20930000 | PA      | $23091524.82  | 0.14%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Vmed O2 UK Financing I PLC                                                      | VMED O2 UK FINANCING I PLC                                                      | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |   3509000 | PA      | $3668743.72   | 0.02%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VNDO Trust 2016-350P                                                            | VNDO TRUST 2016-350P                                                            | CUSIP: 91831UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8849000 | PA      | $8645256.20   | 0.05%             | 2035-01-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                         | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668CM2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   5075000 | PA      | $5132509.90   | 0.03%             | 2029-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                         | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668CQ3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   9735000 | PA      | $9987895.83   | 0.06%             | 2030-03-27      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                         | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |  13610000 | PA      | $13665025.23  | 0.08%             | 2028-11-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Volkswagen Leasing GmbH                                                         | VOLKSWAGEN LEASING GMBH                                                         | CUSIP: ZF1455392<br>LEI: 5299004GLEUX88BSNB74 | Long             | DBT              | CORP              | DE        |   3035000 | PA      | $3655426.08   | 0.02%             | 2028-10-11      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2021-2 Ltd                                                             | VOYA CLO 2021-2 LTD                                                             | CUSIP: 92919AAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  35005000 | PA      | $34934985.45  | 0.21%             | 2038-04-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| WB Commercial Mortgage Trust 2024-HQ                                            | WB COMMERCIAL MORTGAGE TRUST 2024-HQ                                            | CUSIP: 92943PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13100000 | PA      | $13123447.69  | 0.08%             | 2040-03-15      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| WEC Energy Group Inc                                                            | WEC ENERGY PP                                                                   | CUSIP: 000000000<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |   5060000 | PA      | $5150321.00   | 0.03%             | 2055-06-15      | Variable      | 6.69%                 | Yes           |                  3 | On Loan: No      |
| WEC US Holdings Inc                                                             | WEC US HOLDINGS INC                                                             | CUSIP: 92943LAC4<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |   5054472 | PA      | $5053613.10   | 0.03%             | 2031-01-27      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  49550000 | PA      | $45893903.70  | 0.28%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  18795000 | PA      | $15824713.38  | 0.10%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  16431000 | PA      | $16452836.80  | 0.10%             | 2031-04-04      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                | WELLS FARGO & CO                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  39452000 | PA      | $40553223.68  | 0.25%             | 2031-04-23      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Windfall Mining Group Inc / Groupe Minier Windfall Inc                          | WINDFALL MINING GROUP INC / GROUPE MINIER WINDFALL INC                          | CUSIP: 973244AA4<br>LEI: 984500E4L49391BFF948 | Long             | DBT              | CORP              | CA        |   2510000 | PA      | $2596012.68   | 0.02%             | 2032-05-13      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Wintershall Dea Finance BV                                                      | WINTERSHALL DEA FINANCE BV                                                      | CUSIP: ZR6354867<br>LEI: 529900SUC9JUI6M74U66 | Long             | DBT              | CORP              | NL        |   1800000 | PA      | $1864092.92   | 0.01%             | 2031-09-25      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Worldwide Plaza Trust 2017-WWP                                                  | WORLDWIDE PLAZA TRUST 2017-WWP                                                  | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4513791 | PA      | $2982067.62   | 0.02%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Wynnton Funding Trust                                                           | WYNNTON FUNDING TRUST                                                           | CUSIP: 983196AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7995000 | PA      | $7999269.33   | 0.05%             | 2035-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Yum  Brands Inc                                                                 | YUM! BRANDS INC                                                                 | CUSIP: 988498AR2<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |   3270000 | PA      | $3278175.00   | 0.02%             | 2032-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-02

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

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President