# EDGAR Filing Document

**Accession Number:** 0001141819
**File Stem:** 0001145549-23-004599
**Filing Date:** 2023-1
**Character Count:** 775588
**Document Hash:** 735d20fdd498c0f81c5ee940b7fbc36f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-004599.hdr.sgml**: 20230130

**ACCESSION NUMBER**: 0001145549-23-004599

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230130

**DATE AS OF CHANGE**: 20230130

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TRUST FOR PROFESSIONAL MANAGERS
- **CENTRAL INDEX KEY:** 0001141819
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10401
- **FILM NUMBER:** 23567206

**BUSINESS ADDRESS:**
- **STREET 1:** U.S. BANCORP FUND SERVICES LLC
- **STREET 2:** 615 EAST MICHIGAN ST 2ND FLOOR
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202
- **BUSINESS PHONE:** 4147655067

**MAIL ADDRESS:**
- **STREET 1:** U.S. BANCORP FUND SERVICES LLC
- **STREET 2:** 615 EAST MICHIGAN ST 2ND FLOOR
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ZODIAC TRUST
- **DATE OF NAME CHANGE:** 20010601

## Series and Classes Contracts Data

### Performance Trust Strategic Bond Fund (Series ID: S000029835)

| Class ID   | Class Name                                                  | Ticker Symbol   |
|:---|:---|:---|
| C000091754 | Performance Trust Strategic Bond Fund - Institutional Class | PTIAX           |
| C000207405 | Performance Trust Strategic Bond Fund - Class A             | PTAOX           |
| C000207406 | Performance Trust Strategic Bond Fund - Class C             | PTCOX           |

## Nport-Ex

---

| | | |
|:---|:---|:---|
| **Performance Trust Strategic Bond Fund** |  |  |
| **Schedule of Investments** |  |  |
| **November 30, 2022 (Unaudited)** |  |  |
|  | **Principal** |  |
|  | **Amount** | **Value** |
| **ASSET BACKED SECURITIES - 3.07%** |  |  |
| American Credit Acceptance Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2022-3, 4.550%, 10/13/2026 (a) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000000 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;973480 |
| &nbsp;&nbsp;&nbsp; 2022-4, 6.750%, 10/13/2026 (a) | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1003307 |
| &nbsp;&nbsp;&nbsp; 2021-4, 1.320%, 02/14/2028 (a) | 1085000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1024957 |
| &nbsp;&nbsp;&nbsp; 2022-2, 4.410%, 06/13/2028 (a) | 4400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4289021 |
| &nbsp;&nbsp;&nbsp; 2022-3, 4.860%, 10/13/2028 (a) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3846593 |
| &nbsp;&nbsp;&nbsp; 2022-4, 7.860%, 02/15/2029 (a) | 4020000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4067073 |
| Exeter Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2022-5A, 5.430%, 04/15/2026 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4969456 |
| &nbsp;&nbsp;&nbsp; 2022-2A, 3.650%, 10/15/2026 | 9500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9205177 |
| &nbsp;&nbsp;&nbsp; 2022-5A, 5.970%, 03/15/2027 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4978510 |
| &nbsp;&nbsp;&nbsp; 2022-6A, 0.000%, 08/16/2027 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9999453 |
| &nbsp;&nbsp;&nbsp; 2022-5A, 6.510%, 12/15/2027 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4991536 |
| &nbsp;&nbsp;&nbsp; 2022-6A, 0.000%, 05/15/2028 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4999574 |
| &nbsp;&nbsp;&nbsp; 2022-4A, 4.920%, 12/15/2028 | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3766214 |
| First Investors Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2021-1A, 1.170%, 03/15/2027 (a) | 1795000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1692615 |
| &nbsp;&nbsp;&nbsp; 2022-1A, 3.130%, 05/15/2028 (a) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4644954 |
| Flagship Credit Auto Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2022-3, 4.550%, 04/15/2027 (a) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9772840 |
| GLS Auto Receivables Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2022-2A, 4.700%, 09/15/2026 (a) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4838688 |
| &nbsp;&nbsp;&nbsp; 2022-3A, 4.920%, 01/15/2027 (a) | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2925970 |
| &nbsp;&nbsp;&nbsp; 2021-4A, 1.940%, 10/15/2027 (a) | 8650000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7970397 |
| Honda Auto Receivables Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2022-2, 3.810%, 03/18/2025 | 4225000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4174070 |
| &nbsp;&nbsp;&nbsp; 2022-2, 3.730%, 07/20/2026 | 4125000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4024707 |
| New Residential Advance Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2020-T1, 2.269%, 08/15/2053 (a) | 1700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1625165 |
| &nbsp;&nbsp;&nbsp; 2020-T1, 3.011%, 08/15/2053 (a) | 4400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4202886 |
| Santander Drive Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2022-2, 3.440%, 09/15/2027 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9623028 |
| &nbsp;&nbsp;&nbsp; 2022-7, 5.950%, 01/17/2028 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10032880 |
| &nbsp;&nbsp;&nbsp; 2022-5, 4.740%, 10/16/2028 | 7500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7142892 |
| &nbsp;&nbsp;&nbsp; 2022-2, 3.760%, 07/16/2029 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4706074 |
| &nbsp;&nbsp;&nbsp; 2022-7, 6.690%, 03/17/2031 | 9000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9070262 |
| Westlake Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2022-2A, 3.750%, 04/15/2026 (a) | 4850000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4721025 |
| &nbsp;&nbsp;&nbsp; 2022-1A, 2.750%, 03/15/2027 (a) | 2645000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2536626 |
| TOTAL ASSET BACKED SECURITIES (Cost $155,180,266) |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151819430 |
| **COLLATERALIZED LOAN OBLIGATIONS - 6.75%** |  |  |
| Apidos CLO XI |  |  |
| &nbsp;&nbsp;&nbsp; 2012-11A, 7.829% (3 Month LIBOR USD + 3.750%), 04/17/2034 (a)(b)(c) | 1500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1465818 |
| Apidos CLO XII |  |  |
| &nbsp;&nbsp;&nbsp; 2013-12A, 6.679% (3 Month LIBOR USD + 2.600%), 04/15/2031 (a)(b)(c) | 3195000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2918156 |
| &nbsp;&nbsp;&nbsp; 2013-12A, 9.479% (3 Month LIBOR USD + 5.400%), 04/15/2031 (a)(b)(c) | 6150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5014987 |
| Apidos CLO XV |  |  |
| &nbsp;&nbsp;&nbsp; 2013-15A, 5.793% (3 Month LIBOR USD + 1.550%), 04/20/2031 (a)(b)(c) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3874936 |
| &nbsp;&nbsp;&nbsp; 2013-15A, 6.093% (3 Month LIBOR USD + 1.850%), 04/20/2031 (a)(b)(c) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4640050 |
| &nbsp;&nbsp;&nbsp; 2013-15A, 9.943% (3 Month LIBOR USD + 5.700%), 04/20/2031 (a)(b)(c) | 3843000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3358809 |
| Apidos CLO XX |  |  |
| &nbsp;&nbsp;&nbsp; 2015-20A, 6.029% (3 Month LIBOR USD + 1.950%), 07/16/2031 (a)(b)(c) | 1250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1173997 |
| &nbsp;&nbsp;&nbsp; 2015-20A, 9.779% (3 Month LIBOR USD + 5.700%), 07/16/2031 (a)(b)(c) | 1750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1426784 |
| Apidos CLO XXIV |  |  |
| &nbsp;&nbsp;&nbsp; 2016-24A, 10.043% (3 Month LIBOR USD + 5.800%), 10/20/2030 (a)(b)(c) | 2550000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2129357 |
| Apidos CLO XXIX |  |  |
| &nbsp;&nbsp;&nbsp; 2018-29A, 6.258% (3 Month LIBOR USD + 1.900%), 07/25/2030 (a)(b)(c) | 7600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7093999 |
| &nbsp;&nbsp;&nbsp; 2018-29A, 7.108% (3 Month LIBOR USD + 2.750%), 07/25/2030 (a)(b)(c) | 6250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5783169 |
| Apidos CLO XXVIII |  |  |
| &nbsp;&nbsp;&nbsp; 2017-28A, 5.393% (3 Month LIBOR USD + 1.150%), 01/20/2031 (a)(b)(c) | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1935424 |
| Apidos CLO XXX |  |  |
| &nbsp;&nbsp;&nbsp; XXXA, 6.194% (3 Month LIBOR USD + 2.000%), 10/18/2031 (a)(b)(c) | 3600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3378553 |
| Apidos CLO XXXI |  |  |
| &nbsp;&nbsp;&nbsp; 2019-31A, 10.679% (3 Month LIBOR USD + 6.600%), 04/15/2031 (a)(b)(c) | 1400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1245437 |
| Apidos CLO XXXII |  |  |
| &nbsp;&nbsp;&nbsp; 2019-32A, 10.993% (3 Month LIBOR USD + 6.750%), 01/20/2033 (a)(b)(c) | 1500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1344969 |
| Ares XLII CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2017-42A, 7.775% (3 Month LIBOR USD + 3.450%), 01/22/2028 (a)(b)(c) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4601500 |
| Ares XLVI CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2017-46A, 3.570%, 01/15/2030 (a)(c) | 3600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3207611 |
| &nbsp;&nbsp;&nbsp; 2017-46A, 5.779% (3 Month LIBOR USD + 1.700%), 01/15/2030 (a)(b)(c) | 1436843 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1341020 |
| Ares XLVII CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2018-47A, 6.779% (3 Month LIBOR USD + 2.700%), 04/15/2030 (a)(b)(c) | 1915000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1677291 |
| Ares XXXIR CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2014-31RA, 6.357% (3 Month LIBOR USD + 1.600%), 05/24/2030 (a)(b)(c) | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2876277 |
| Ares XXXIX CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2016-39A, 7.544% (3 Month LIBOR USD + 3.350%), 04/18/2031 (a)(b)(c) | 7335000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6536160 |
| Ares XXXVIII CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2015-38A, 6.743% (3 Month LIBOR USD + 2.500%), 04/20/2030 (a)(b)(c) | 7450000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6642904 |
| BCRED MML CLO, LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2022-1A, 6.713% (TSFR3M + 2.750%), 04/20/2035 (a)(b) | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1787870 |
| Betony CLO 2 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2018-1A, 6.265% (3 Month LIBOR USD + 1.850%), 04/30/2031 (a)(b)(c) | 1200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1132610 |
| BlueMountain CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2018-1A, 6.115% (3 Month LIBOR USD + 1.700%), 07/30/2030 (a)(b)(c) | 6996770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6730893 |
| &nbsp;&nbsp;&nbsp; 2014-2A, 5.993% (3 Month LIBOR USD + 1.750%), 10/20/2030 (a)(b)(c) | 5500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5280616 |
| Burnham Park CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2016-1A, 6.393% (3 Month LIBOR USD + 2.150%), 10/20/2029 (a)(b)(c) | 5250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5006788 |
| Buttermilk Park CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2018-1A, 7.179% (3 Month LIBOR USD + 3.100%), 10/15/2031 (a)(b)(c) | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;919318 |
| Catskill Park CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2017-1A, 7.943% (3 Month LIBOR USD + 3.700%), 04/20/2029 (a)(b)(c) | 3500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3213714 |
| &nbsp;&nbsp;&nbsp; 2017-1A, 10.243% (3 Month LIBOR USD + 6.000%), 04/20/2029 (a)(b)(c) | 1250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1066230 |
| Chenango Park CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2018-1A, 7.079% (3 Month LIBOR USD + 3.000%), 04/15/2030 (a)(b)(c) | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;914597 |
| CIFC Funding Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2017-3A, 6.043% (3 Month LIBOR USD + 1.800%), 07/20/2030 (a)(b)(c) | 2100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2050423 |
| &nbsp;&nbsp;&nbsp; 2018-1A, 5.944% (3 Month LIBOR USD + 1.750%), 04/18/2031 (a)(b)(c) | 3750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3504383 |
| Fillmore Park CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2018-1A, 9.479% (3 Month LIBOR USD + 5.400%), 07/15/2030 (a)(b)(c) | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;864895 |
| Gilbert Park CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2017-1A, 7.029% (3 Month LIBOR USD + 2.950%), 10/15/2030 (a)(b)(c) | 8475000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8012130 |
| &nbsp;&nbsp;&nbsp; 2017-1A, 10.479% (3 Month LIBOR USD + 6.400%), 10/15/2030 (a)(b)(c) | 1250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1065316 |
| Goldentree Loan Management US CLO 2 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2017-2A, 8.943% (3 Month LIBOR USD + 4.700%), 11/28/2030 (a)(b)(c) | 6561000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5620153 |
| Goldentree Loan Management US CLO 4 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2019-4A, 9.075% (3 Month LIBOR USD + 4.750%), 04/24/2031 (a)(b)(c) | 8000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6782920 |
| Goldentree Loan Management US CLO 5 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2019-5A, 7.393% (3 Month LIBOR USD + 3.150%), 10/20/2032 (a)(b)(c) | 2500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2344320 |
| &nbsp;&nbsp;&nbsp; 2019-5A, 9.093% (3 Month LIBOR USD + 4.850%), 10/20/2032 (a)(b)(c) | 7500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6275453 |
| Goldentree Loan Opportunities X Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2015-10A, 7.293% (3 Month LIBOR USD + 3.050%), 07/20/2031 (a)(b)(c) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3810468 |
| Goldentree Loan Opportunities XI Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2015-11A, 6.594% (3 Month LIBOR USD + 2.400%), 01/18/2031 (a)(b)(c) | 2250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2126772 |
| &nbsp;&nbsp;&nbsp; 2015-11A, 9.594% (3 Month LIBOR USD + 5.400%), 01/18/2031 (a)(b)(c) | 3750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3192191 |
| GoldentTree Loan Management US CLO 1 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2021-9A, 8.993% (3 Month LIBOR USD + 4.750%), 01/20/2033 (a)(b)(c) | 6500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5499156 |
| Golub Capital BDC 3 CLO 1, LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2021-1A, 6.879% (3 Month LIBOR USD + 2.800%), 04/15/2033 (a)(b)(c) | 7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6422983 |
| Grippen Park CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2017-1A, 7.543% (3 Month LIBOR USD + 3.300%), 01/20/2030 (a)(b)(c) | 7550000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7211428 |
| &nbsp;&nbsp;&nbsp; 2017-1A, 9.943% (3 Month LIBOR USD + 5.700%), 01/20/2030 (a)(b)(c) | 1150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1016280 |
| Jay Park CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2016-1A, 6.893% (3 Month LIBOR USD + 2.650%), 10/20/2027 (a)(b)(c) | 1124000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1082323 |
| LCM 26 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 26A, 6.743% (3 Month LIBOR USD + 2.500%), 01/20/2031 (a)(b)(c) | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;826426 |
| &nbsp;&nbsp;&nbsp; 26A, 9.543% (3 Month LIBOR USD + 5.300%), 01/20/2031 (a)(b)(c) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2938728 |
| LCM 29 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 29A, 5.679% (3 Month LIBOR USD + 1.600%), 04/15/2031 (a)(b)(c) | 4750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4552357 |
| LCM 34 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 34A, 10.783% (3 Month LIBOR USD + 6.540%), 10/20/2034 (a)(b)(c) | 3250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2686050 |
| LCM 35 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 35A, 10.689% (3 Month LIBOR USD + 6.610%), 10/15/2034 (a)(b)(c) | 4750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3797255 |
| LCM 36 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 36A, 10.789% (3 Month LIBOR USD + 6.710%), 01/15/2034 (a)(b)(c) | 6000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4762128 |
| LCM Loan Income Fund I Income Note Issuer Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 27A, 6.029% (3 Month LIBOR USD + 1.950%), 07/16/2031 (a)(b)(c) | 2700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2489119 |
| &nbsp;&nbsp;&nbsp; 27A, 7.029% (3 Month LIBOR USD + 2.950%), 07/16/2031 (a)(b)(c) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3357760 |
| &nbsp;&nbsp;&nbsp; 27A, 9.679% (3 Month LIBOR USD + 5.600%), 07/16/2031 (a)(b)(c) | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1475792 |
| LCM XIV LP |  |  |
| &nbsp;&nbsp;&nbsp; 14A, 5.823% (3 Month LIBOR USD + 1.580%), 07/20/2031 (a)(b)(c) | 10800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10422972 |
| &nbsp;&nbsp;&nbsp; 14A, 6.093% (3 Month LIBOR USD + 1.850%), 07/20/2031 (a)(b)(c) | 6000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5476086 |
| &nbsp;&nbsp;&nbsp; 14A, 9.743% (3 Month LIBOR USD + 5.500%), 07/20/2031 (a)(b)(c) | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;720370 |
| LCM XV LP |  |  |
| &nbsp;&nbsp;&nbsp; 15A, 7.943% (3 Month LIBOR USD + 3.700%), 07/20/2030 (a)(b)(c) | 9000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7913673 |
| LCM XVI LP |  |  |
| &nbsp;&nbsp;&nbsp; 16A, 5.829% (3 Month LIBOR USD + 1.750%), 10/15/2031 (a)(b)(c) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3871832 |
| &nbsp;&nbsp;&nbsp; 16A, 6.229% (3 Month LIBOR USD + 2.150%), 10/15/2031 (a)(b)(c) | 5100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4779016 |
| &nbsp;&nbsp;&nbsp; 16A, 10.459% (3 Month LIBOR USD + 6.380%), 10/15/2031 (a)(b)(c) | 1600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1274730 |
| LCM XVII LP |  |  |
| &nbsp;&nbsp;&nbsp; 17A, 10.079% (3 Month LIBOR USD + 6.000%), 10/15/2031 (a)(b)(c) | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;735336 |
| LCM XVIII LP |  |  |
| &nbsp;&nbsp;&nbsp; 19A, 5.829% (3 Month LIBOR USD + 1.750%), 07/15/2027 (a)(b)(c) | 2500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2472913 |
| &nbsp;&nbsp;&nbsp; 19A, 6.779% (3 Month LIBOR USD + 2.700%), 07/15/2027 (a)(b)(c) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3949384 |
| &nbsp;&nbsp;&nbsp; 18A, 10.193% (3 Month LIBOR USD + 5.950%), 04/20/2031 (a)(b)(c) | 5300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3972371 |
| LCM XXII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 22A, 7.043% (3 Month LIBOR USD + 2.800%), 10/20/2028 (a)(b)(c) | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1738750 |
| LCM XXV Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 25A, 7.693% (3 Month LIBOR USD + 3.450%), 07/20/2030 (a)(b)(c) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3408032 |
| Long Point Park CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2017-1A, 6.479% (3 Month LIBOR USD + 2.400%), 01/17/2030 (a)(b)(c) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3478716 |
| &nbsp;&nbsp;&nbsp; 2017-1A, 9.679% (3 Month LIBOR USD + 5.600%), 01/17/2030 (a)(b)(c) | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1662358 |
| Magnetite VIII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2014-8A, 6.979% (3 Month LIBOR USD + 2.900%), 04/15/2031 (a)(b)(c) | 10150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9670605 |
| Magnetite XII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2015-12A, 9.759% (3 Month LIBOR USD + 5.680%), 10/15/2031 (a)(b)(c) | 8923000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7976180 |
| Magnetite XIV-R Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2015-14RA, 7.044% (3 Month LIBOR USD + 2.850%), 10/18/2031 (a)(b)(c) | 1500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1432208 |
| Magnetite XV Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2015-15A, 7.108% (3 Month LIBOR USD + 2.750%), 07/25/2031 (a)(b)(c) | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1871102 |
| &nbsp;&nbsp;&nbsp; 2015-15A, 9.558% (3 Month LIBOR USD + 5.200%), 07/25/2031 (a)(b)(c) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3510480 |
| Magnetite XVIII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2016-18A, 7.306% (3 Month LIBOR USD + 2.700%), 11/15/2028 (a)(b)(c) | 10315000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9893663 |
| Magnetite XXIII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2019-23A, 10.658% (3 Month LIBOR USD + 6.300%), 01/25/2035 (a)(b)(c) | 2750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2534092 |
| Magnetite XXVII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2020-27A, 10.243% (3 Month LIBOR USD + 6.000%), 10/20/2034 (a)(b)(c) | 5250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4634364 |
| Magnetite XXVIII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2020-28A, 10.393% (3 Month LIBOR USD + 6.150%), 01/20/2035 (a)(b)(c) | 2250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1998864 |
| Magnetite XXX Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2021-30A, 10.558% (3 Month LIBOR USD + 6.200%), 10/25/2034 (a)(b)(c) | 4100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3665482 |
| Mountain View CLO XV Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2019-2A, 5.979% (3 Month LIBOR USD + 1.900%), 01/15/2033 (a)(b)(c) | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2914779 |
| Neuberger Berman CLO XXI Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2016-21A, 7.543% (3 Month LIBOR USD + 3.300%), 04/20/2034 (a)(b)(c) | 2500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2379883 |
| Neuberger Berman Loan Advisers CLO 33 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2019-33A, 6.979% (3 Month LIBOR USD + 2.900%), 10/16/2033 (a)(b)(c) | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1845766 |
| Neuberger Berman Loan Advisers CLO 35 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2019-35A, 7.927% (3 Month LIBOR USD + 3.700%), 01/19/2033 (a)(b)(c) | 7971955 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7537021 |
| Niagara Park CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2019-1A, 10.029% (3 Month LIBOR USD + 5.950%), 07/17/2032 (a)(b)(c) | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1767238 |
| Octagon Investment Partners 26 Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2016-1A, 5.879% (3 Month LIBOR USD + 1.800%), 07/15/2030 (a)(b)(c) | 6220000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5721859 |
| Webster Park CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2015-1A, 6.043% (3 Month LIBOR USD + 1.800%), 07/20/2030 (a)(b)(c) | 10300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9624114 |
| &nbsp;&nbsp;&nbsp; 2015-1A, 7.143% (3 Month LIBOR USD + 2.900%), 07/20/2030 (a)(b)(c) | 4800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4416946 |
| Whetstone Park CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2021-1A, 2.791%, 01/20/2035 (a)(c) | 1400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1133682 |
| TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $359,228,090) |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 333891920 |
| **CORPORATE BONDS - 21.86%** |  |  |
| **Aerospace & Defense - 0.37%** |  |  |
| Howmet Aerospace, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.900%, 02/01/2027 | 6826000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6766273 |
| &nbsp;&nbsp;&nbsp; 3.000%, 01/15/2029 | 12437000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10524500 |
| TransDigm, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 8.000%, 12/15/2025 (a) | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1021500 |
| **Auto Components - 0.15%** |  |  |
| Dana, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.375%, 11/15/2027 | 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;458721 |
| &nbsp;&nbsp;&nbsp; 4.250%, 09/01/2030 | 4500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3606453 |
| &nbsp;&nbsp;&nbsp; 4.500%, 02/15/2032 | 4208000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3292470 |
| **Automobiles - 0.33%** |  |  |
| Thor Industries, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.000%, 10/15/2029 (a) | 8340000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6639581 |
| Volkswagen Group of America Finance, LLC |  |  |
| &nbsp;&nbsp;&nbsp; 3.750%, 05/13/2030 (a) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8808147 |
| Winnebago Industries, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.250%, 07/15/2028 (a) | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;923820 |
| **Banks - 7.46%** |  |  |
| Atlantic Union Bankshares Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.875% to 12/15/2026 then SOFR + 1.860%, 12/15/2031 (b) | 8000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6725261 |
| Australia and New Zealand Banking Group Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 6.742%, 12/08/2032 | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2018955 |
| Bank of America Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.087% to 05/14/2029 then SOFR + 1.060%, 06/14/2029 (b) | 12000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10120300 |
| &nbsp;&nbsp;&nbsp; 2.651% to 03/11/31 then SOFR + 1.220%, 03/11/2032 (b) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8095541 |
| Bank of Montreal |  |  |
| &nbsp;&nbsp;&nbsp; 3.088% (5 Year CMT Rate + 1.400%), 01/10/2037 (b)(c) | 15000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11397523 |
| Bank of Nova Scotia |  |  |
| &nbsp;&nbsp;&nbsp; 2.450%, 02/02/2032 (c) | 15000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12100326 |
| Bank of NT Butterfield & Son Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 5.250% to 06/01/2023 then 3 Month LIBOR USD + 2.255%, 06/01/2028 (b)(c) | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2984886 |
| &nbsp;&nbsp;&nbsp; 5.250% to 06/15/2025 then SOFR + 5.060%, 06/15/2030 (b)(c) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4873553 |
| Bank OZK |  |  |
| &nbsp;&nbsp;&nbsp; 2.750% to 10/01/2026 then SOFR + 2.090%, 10/01/2031 (b) | 13175000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11208879 |
| Banner Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.000% to 06/30/2025 then SOFR + 4.890%, 06/30/2030 (b) | 8000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7581358 |
| Barclays PLC |  |  |
| &nbsp;&nbsp;&nbsp; 6.125% (5 Year CMT Rate + 5.867%), 09/15/2166 (b)(c)(d) | 15050000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13599932 |
| Central Pacific Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.750% to 11/01/2025 then SOFR + 4.560%, 11/01/2030 (b) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4708373 |
| Citigroup, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.980% to 03/20/2029 then 3 Month LIBOR USD + 1.338%, 03/20/2030 (b) | 8679000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7924068 |
| CNB Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.250% to 6/15/2026 then SOFR + 2.580%, 06/15/2031 (a)(b) | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1754265 |
| First Busey Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.000% to 06/15/2027 then TSFR3M + 2.520%, 06/15/2032(b) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3836984 |
| &nbsp;&nbsp;&nbsp; 5.250% to 06/01/2025 then SOFR + 5.110%, 06/01/2030 (b) | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1822545 |
| First Citizens BancShares, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.375% to 03/15/2025 then SOFR + 2.465%, 03/15/2030 (b) | 1500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1419932 |
| First Financial Bancorp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.250% to 05/15/2025 then SOFR + 5.090%, 05/15/2030 (b) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3857167 |
| First Foundation, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.500% to 02/01/2027 then SOFR + 2.040%, 02/01/2032 (b) | 9500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8240010 |
| First Interstate BancSystem, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.250% to 05/15/2025 then SOFR + 5.180%, 05/15/2030 (b) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4846521 |
| First Mid Bancshares, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.950% to 10/15/2025 then SOFR + 3.830%, 10/15/2030 (b) | 5300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4886296 |
| First Midwest Bancorp, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.875%, 09/29/2026 | 8500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8643039 |
| Firstbank |  |  |
| &nbsp;&nbsp;&nbsp; 4.500% to 09/01/2030 then SOFR + 4.390%, 09/01/2030 (b) | 8000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7507765 |
| First-Citizens Bank & Trust Co. |  |  |
| &nbsp;&nbsp;&nbsp; 6.125%, 03/09/2028 | 6841000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7014930 |
| Flushing Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.125% to 12/01/2026 then SOFR + 2.035%, 12/01/2031 (b) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4252458 |
| Great Southern Bank |  |  |
| &nbsp;&nbsp;&nbsp; 5.500% to 06/15/2025 then TSFR3M + 5.325%, 06/15/2030 (b) | 4750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4587442 |
| Heartland Financial USA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.750% to 09/15/2026 then SOFR + 2.100%, 09/15/2031 (b) | 6000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5231238 |
| Hilltop Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.125% to 05/15/2030 then SOFR + 5.800%, 05/15/2035 (b) | 9000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8757619 |
| Home BancShares, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.125% to 01/30/2027 then SOFR + 1.820%, 01/30/2032 (b) | 8000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6864487 |
| HomeStreet, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.500% to 01/30/2027 then SOFR + 2.150%, 01/30/2032 (b) | 6500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5635245 |
| Huntington National Bank |  |  |
| &nbsp;&nbsp;&nbsp; 5.500% to 05/06/2030 then 3 Month LIBOR USD + 5.090%, 05/06/2030 (b) | 9000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8892844 |
| Independent Bank Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.000% to 09/15/2025 then SOFR + 3.885%, 09/15/2030 (b) | 7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6352159 |
| JPMorgan Chase & Co. |  |  |
| &nbsp;&nbsp;&nbsp; 2.069% to 06/01/2028 then SOFR + 1.015%, 06/01/2029 (b) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4203081 |
| &nbsp;&nbsp;&nbsp; 2.963% to 01/25/2032 then SOFR + 1.260%, 01/25/2033(b) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8222656 |
| Mercantile Bank Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.250% to 01/30/2027 then SOFR + 2.120%, 01/30/2032(b) | 7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6037761 |
| National Australia Bank Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 3.347% (5 Year CMT Rate + 1.700%), 01/12/2037 (a)(b)(c) | 9500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7176997 |
| NBT Bancorp, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.000% to 07/01/2025 then SOFR + 4.850%, 07/01/2030 (b) | 7500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7088011 |
| NexBank Capital, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.000% to 08/15/2026 then TSFR3M + 3.390%, 08/15/2031 (a)(b) | 6500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5770792 |
| OceanFirst Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.250% to 05/15/2025 then SOFR + 5.095%, 05/15/2030 (b) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4755562 |
| Pacific Premier Bancorp, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.875% to 05/15/2024 then 3 Month LIBOR USD + 2.500%, 05/15/2029 (b) | 3500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3438198 |
| &nbsp;&nbsp;&nbsp; 5.375% to 06/15/2025 then SOFR + 5.170%, 06/15/2030 (b) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4814433 |
| Park National Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.500% to 09/01/2025 then SOFR + 4.390%, 09/01/2030 (b) | 15100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14170906 |
| Peapack-Gladstone Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.500% to 12/30/2025 then SOFR + 3.260%, 12/30/2030 (b) | 7500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6784548 |
| RBB Bancorp |  |  |
| &nbsp;&nbsp;&nbsp; 4.000% to 04/01/2026 then SOFR + 3.290%, 04/01/2031 (b) | 5450000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4892721 |
| Renasant Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.000% to 12/01/2026 then SOFR + 1.910%, 12/01/2031 (b) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4231210 |
| &nbsp;&nbsp;&nbsp; 4.500% to 09/15/2030 then SOFR + 4.025%, 09/15/2035 (b) | 9000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7893452 |
| Sandy Spring Bancorp, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.250% to 11/15/2024 then SOFR + 2.882%, 11/15/2029 (b) | 5500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5198062 |
| Southside Bancshares, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.875% to 11/15/2025 then SOFR + 3.660%, 11/15/2030 (b) | 8000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7335631 |
| Summit Financial Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.250% to 12/01/2026 then SOFR + 2.300%, 12/01/2031(b) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3419126 |
| Synovus Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.900% (5 Year Swap Rate USD + 3.379%), 02/07/2029 (b) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3911203 |
| Texas Capital Bancshares, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.000% (5 Year CMT Rate + 3.150%), 05/06/2031 (b) | 10942000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9545677 |
| Texas Capital Bank, NA |  |  |
| &nbsp;&nbsp;&nbsp; 5.250%, 01/31/2026 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4790734 |
| Towne Bank |  |  |
| &nbsp;&nbsp;&nbsp; 3.125% to 02/15/2027 then SOFR + 1.680%, 02/15/2032 (b) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3427335 |
| Trustmark Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.625% to 12/01/2025 then SOFR + 3.387%, 12/01/2030 (b) | 6500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5943465 |
| UMB Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.700% (5 Year CMT Rate + 3.437%), 09/17/2030 (b) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4660432 |
| Valley National Bancorp |  |  |
| &nbsp;&nbsp;&nbsp; 3.000% to 06/15/2026 then SOFR + 2.360%, 06/15/2031 (b) | 7300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6474023 |
| Western Alliance Bancorp |  |  |
| &nbsp;&nbsp;&nbsp; 3.000% to 06/15/2026 then SOFR + 2.250%, 06/15/2031 (b) | 5900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5034652 |
| Western Alliance Bank |  |  |
| &nbsp;&nbsp;&nbsp; 3.000% to 06/15/2026 then SOFR + 2.250%, 06/15/2031 (b) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4834028 |
| WSFS Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.250% to 02/21/2023 then 3 Month LIBOR USD + 2.050%, 12/15/2027 (b) | 3500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3496141 |
| &nbsp;&nbsp;&nbsp; 2.750% to 12/15/2025 then SOFR + 2.485%, 12/15/2030 (b) | 4470000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3961258 |
| **Building Products - 0.48%** |  |  |
| Builders FirstSource, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.250%, 02/01/2032 (a) | 5750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4673528 |
| &nbsp;&nbsp;&nbsp; 6.375%, 06/15/2032 (a) | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1852065 |
| Masonite International Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.375%, 02/01/2028 (a)(c) | 500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;460035 |
| &nbsp;&nbsp;&nbsp; 3.500%, 02/15/2030 (a)(c) | 10536000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8233594 |
| TopBuild Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.625%, 03/15/2029 (a) | 8815000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7167129 |
| &nbsp;&nbsp;&nbsp; 4.125%, 02/15/2032 (a) | 1565000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1255261 |
| **Capital Markets - 0.83%** |  |  |
| Ares Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.200%, 11/15/2031 | 15000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11146881 |
| Blackstone Holdings Finance Co., LLC |  |  |
| &nbsp;&nbsp;&nbsp; 1.625%, 08/05/2028 (a) | 15000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12292946 |
| Brookfield Asset Management, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 7.375%, 03/01/2033 (c) | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3290344 |
| MSCI, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.000%, 11/15/2029 (a) | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;884465 |
| &nbsp;&nbsp;&nbsp; 3.625%, 11/01/2031 (a) | 7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5818925 |
| UBS Group AG |  |  |
| &nbsp;&nbsp;&nbsp; 2.746% (1 Year CMT Rate + 1.100%), 02/11/2033 (a)(b)(c) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7784497 |
| **Chemicals - 0.52%** |  |  |
| Axalta Coating Systems, LLC |  |  |
| &nbsp;&nbsp;&nbsp; 3.375%, 02/15/2029 (a) | 15505000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12714100 |
| Scotts Miracle-Gro Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.000%, 04/01/2031 | 1775000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1352213 |
| &nbsp;&nbsp;&nbsp; 4.375%, 02/01/2032 | 6828000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5264581 |
| Valvoline, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.625%, 06/15/2031 (a) | 7948000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6491887 |
| **Commercial Services & Supplies - 0.35%** |  |  |
| Central Storage Safety Project Trust |  |  |
| &nbsp;&nbsp;&nbsp; 4.823%, 02/01/2038 (a)(e) | 6278720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5728279 |
| Oglethorpe Power Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 6.191%, 01/01/2031 (a) | 6445000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6505600 |
| Wildflower Improvement Association |  |  |
| &nbsp;&nbsp;&nbsp; 6.625%, 03/01/2031 (a)(e) | 5527867 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5275773 |
| **Construction & Engineering - 0.08%** |  |  |
| AECOM |  |  |
| &nbsp;&nbsp;&nbsp; 5.125%, 03/15/2027 | 4084000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3915698 |
| **Consumer Finance - 0.42%** |  |  |
| BlueHub Loan Fund, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.099%, 01/01/2030 | 3040000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2657054 |
| Ford Motor Credit Co., LLC |  |  |
| &nbsp;&nbsp;&nbsp; 4.950%, 05/28/2027 | 5853000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5545454 |
| OneMain Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.500%, 01/15/2027 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4100923 |
| &nbsp;&nbsp;&nbsp; 5.375%, 11/15/2029 | 10353000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8660802 |
| **Containers & Packaging - 0.60%** |  |  |
| AptarGroup, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.600%, 03/15/2032 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8351502 |
| Ball Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.875%, 08/15/2030 | 18437000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14769544 |
| &nbsp;&nbsp;&nbsp; 3.125%, 09/15/2031 | 2500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1989568 |
| Graphic Packaging International, LLC |  |  |
| &nbsp;&nbsp;&nbsp; 4.750%, 07/15/2027 (a) | 900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;840082 |
| &nbsp;&nbsp;&nbsp; 3.500%, 03/15/2028 (a) | 1558000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1357299 |
| &nbsp;&nbsp;&nbsp; 3.750%, 02/01/2030 (a) | 2933000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2495118 |
| **Diversified Consumer Services - 0.73%** |  |  |
| ADT Security Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.125%, 08/01/2029 (a) | 4730000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4132814 |
| Liberty University, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.338%, 03/01/2034 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8637021 |
| Nature Conservancy |  |  |
| &nbsp;&nbsp;&nbsp; 1.711%, 07/01/2031 | 1250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;993939 |
| &nbsp;&nbsp;&nbsp; 1.811%, 07/01/2032 | 1150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;893644 |
| &nbsp;&nbsp;&nbsp; 1.861%, 07/01/2033 | 532000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;402124 |
| Service Corp. International |  |  |
| &nbsp;&nbsp;&nbsp; 3.375%, 08/15/2030 | 12676000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10583573 |
| &nbsp;&nbsp;&nbsp; 4.000%, 05/15/2031 | 7475000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6413475 |
| United Jewish Appeal-Federation of Jewish Philanthropies of New York, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.145%, 02/01/2031 | 4565000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3741908 |
| **Diversified Financial Services - 0.52%** |  |  |
| American AGcredit FLCA |  |  |
| &nbsp;&nbsp;&nbsp; 3.375% to 06/15/2031 then SOFR + 2.120%, 06/15/2036 (a)(b) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7744881 |
| Compeer Financial FLCA |  |  |
| &nbsp;&nbsp;&nbsp; 2.750% to 06/01/2026 then SOFR + 2.030%, 06/01/2031 (a)(b) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4417502 |
| &nbsp;&nbsp;&nbsp; 3.375% to 06/01/2031 then SOFR + 1.965%, 06/01/2036 (a)(b) | 4750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3693677 |
| Enterprise Community Loan Fund, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.685%, 11/01/2023 | 5010000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4947640 |
| &nbsp;&nbsp;&nbsp; 4.152%, 11/01/2028 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4763316 |
| **Diversified Telecommunication Services - 0.18%** |  |  |
| Verizon Communications, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.500%, 08/10/2033 | 9180000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8671603 |
| **Electrical Equipment - 0.26%** |  |  |
| Sensata Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.375%, 02/15/2030 (a) | 8393000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7442912 |
| &nbsp;&nbsp;&nbsp; 3.750%, 02/15/2031 (a) | 6355000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5233330 |
| **Electronic Equipment, Instruments & Components - 0.50%** |  |  |
| CDW Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.276%, 12/01/2028 | 3830000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3226086 |
| &nbsp;&nbsp;&nbsp; 3.250%, 02/15/2029 | 17218000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14538172 |
| &nbsp;&nbsp;&nbsp; 3.569%, 12/01/2031 | 2482000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2028111 |
| Corning, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.750%, 08/15/2040 | 5107000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5173918 |
| **Equity Real Estate Investment Trusts (REITs) - 0.30%** |  |  |
| American Finance Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.500%, 09/30/2028 (a) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7666250 |
| Simon Property Group LP |  |  |
| &nbsp;&nbsp;&nbsp; 6.750%, 02/01/2040 | 6738000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7228092 |
| **Healthcare Providers & Services - 2.10%** |  |  |
| Baptist Health South Florida, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.342%, 11/15/2041 | 14760000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12784855 |
| Centene Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.450%, 07/15/2028 | 16390000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13800023 |
| &nbsp;&nbsp;&nbsp; 3.000%, 10/15/2030 | 5965000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4896012 |
| CHRISTUS Health |  |  |
| &nbsp;&nbsp;&nbsp; 4.341%, 07/01/2028 | 13170000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12464755 |
| CommonSpirit Health |  |  |
| &nbsp;&nbsp;&nbsp; 3.347%, 10/01/2029 | 13075000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11357845 |
| &nbsp;&nbsp;&nbsp; 2.782%, 10/01/2030 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8050268 |
| &nbsp;&nbsp;&nbsp; 3.817%, 10/01/2049 | 1800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1324853 |
| Hackensack Meridian Health, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.675%, 09/01/2041 | 9920000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6782031 |
| HumanGood California Obligated Group |  |  |
| &nbsp;&nbsp;&nbsp; 3.000%, 10/01/2028 | 5850000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5399595 |
| Northwell Healthcare, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.391%, 11/01/2027 | 4652000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4282632 |
| Orlando Health Obligated Group |  |  |
| &nbsp;&nbsp;&nbsp; 2.891%, 10/01/2035 | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;788057 |
| Penn State Health |  |  |
| &nbsp;&nbsp;&nbsp; 3.806%, 11/01/2049 | 4250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3110405 |
| Piedmont Healthcare, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.044%, 01/01/2032 | 12725000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9918330 |
| Sutter Health |  |  |
| &nbsp;&nbsp;&nbsp; 3.161%, 08/15/2040 | 2766000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2052012 |
| Toledo Hospital |  |  |
| &nbsp;&nbsp;&nbsp; 6.015%, 11/15/2048 | 6980000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6755258 |
| **Hotels, Restaurants & Leisure - 0.39%** |  |  |
| New Red Finance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.500%, 02/15/2029 (a)(c) | 1200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1022773 |
| Papa John's International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.875%, 09/15/2029 (a) | 10274000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8601758 |
| Station Casinos, LLC |  |  |
| &nbsp;&nbsp;&nbsp; 4.625%, 12/01/2031 (a) | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1642990 |
| YMCA of Greater New York |  |  |
| &nbsp;&nbsp;&nbsp; 2.303%, 08/01/2026 | 5730000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5107469 |
| Yum! Brands, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.750%, 01/15/2030 (a) | 3600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3290004 |
| **Household Durables - 0.68%** |  |  |
| Ashton Woods USA, LLC |  |  |
| &nbsp;&nbsp;&nbsp; 4.625%, 04/01/2030 (a) | 8120000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6267016 |
| Century Communities, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.875%, 08/15/2029 (a) | 3925000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3174717 |
| KB Home |  |  |
| &nbsp;&nbsp;&nbsp; 4.800%, 11/15/2029 | 8222000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7048048 |
| &nbsp;&nbsp;&nbsp; 7.250%, 07/15/2030 | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;955634 |
| LGI Homes, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.000%, 07/15/2029 (a) | 1250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;945947 |
| M/I Homes, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.950%, 02/15/2030 | 7266000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5581043 |
| Meritage Homes Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.875%, 04/15/2029 (a) | 4500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3821715 |
| Tempur Sealy International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.875%, 10/15/2031 (a) | 7541000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5832511 |
| **Information Technology - 0.34%** |  |  |
| Dell International LLC / EMC Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 8.100%, 07/15/2036 | 14660000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16845836 |
| **Insurance - 0.36%** |  |  |
| Pacific Life Global Funding II |  |  |
| &nbsp;&nbsp;&nbsp; 2.450%, 01/11/2032 (a) | 14000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11168403 |
| RGA Global Funding |  |  |
| &nbsp;&nbsp;&nbsp; 2.700%, 01/18/2029 (a) | 7750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6627453 |
| **IT Services - 0.08%** |  |  |
| Gartner, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.625%, 06/15/2029 (a) | 4678000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4102635 |
| **Machinery - 0.23%** |  |  |
| Allison Transmission, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.750%, 01/30/2031 (a) | 13782000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11506909 |
| **Media - 0.49%** |  |  |
| CCO Holdings Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.750%, 02/01/2032 (a) | 11912000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9976240 |
| &nbsp;&nbsp;&nbsp; 4.250%, 01/15/2034 (a) | 11250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8777419 |
| Sirius XM Radio, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.875%, 09/01/2031 (a) | 6500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5304228 |
| **Mortgage Real Estate Investment Trusts (REITs) - 0.25%** |  |  |
| Arbor Realty SR, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.000%, 12/30/2028 (a) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4282711 |
| Arbor Realty Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.750%, 10/15/2024 (a) | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3772218 |
| &nbsp;&nbsp;&nbsp; 4.500%, 03/15/2027 (a) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4215419 |
| **Pharmaceuticals - 0.65%** |  |  |
| Bristol-Myers Squibb Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.125%, 06/15/2039 | 8734000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7917028 |
| Johnson & Johnson |  |  |
| &nbsp;&nbsp;&nbsp; 5.850%, 07/15/2038 | 8180000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9091535 |
| Wyeth, LLC |  |  |
| &nbsp;&nbsp;&nbsp; 5.950%, 04/01/2037 | 13738000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15008898 |
| **Professional Services - 0.08%** |  |  |
| Equifax, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.350%, 09/15/2031 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3861022 |
| **Road & Rail - 0.20%** |  |  |
| ERAC USA Finance, LLC |  |  |
| &nbsp;&nbsp;&nbsp; 7.000%, 10/15/2037 (a) | 9316000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10113589 |
| **Software - 0.59%** |  |  |
| Open Text Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 6.900%, 12/01/2027 (a)(c) | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1002460 |
| &nbsp;&nbsp;&nbsp; 3.875%, 12/01/2029 (a)(c) | 8830000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7050879 |
| Open Text Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.125%, 12/01/2031 (a) | 5750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4469073 |
| Oracle Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.850%, 07/15/2036 | 10200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8290335 |
| &nbsp;&nbsp;&nbsp; 6.500%, 04/15/2038 | 8000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8286851 |
| **Specialty Retail - 1.00%** |  |  |
| Asbury Automotive Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.000%, 02/15/2032 (a) | 6800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5753221 |
| AutoNation, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.850%, 03/01/2032 | 1750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1439650 |
| Group 1 Automotive, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.000%, 08/15/2028 (a) | 17214000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14622619 |
| Home Depot, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.400%, 09/15/2040 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5192172 |
| Lithia Motors, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.875%, 06/01/2029 (a) | 10685000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8978231 |
| &nbsp;&nbsp;&nbsp; 4.375%, 01/15/2031 (a) | 7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5929000 |
| Penske Automotive Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.750%, 06/15/2029 | 8950000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7466672 |
| **Trading Companies & Distributors - 0.14%** |  |  |
| United Rentals North America, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.750%, 01/15/2032 | 8500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7063405 |
| **Wireless Telecommunication Services - 0.20%** |  |  |
| T-Mobile USA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.625%, 02/15/2029 | 11689000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9969358 |
| TOTAL CORPORATE BONDS (Cost $1,246,624,999) |  | &nbsp;&nbsp;&nbsp;&nbsp; 1081888621 |
| **NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 11.06%** |  |  |
| Adjustable Rate Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-3, 2.990%, 07/25/2035 (f) | 283215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;275467 |
| &nbsp;&nbsp;&nbsp; 2005-10, 3.828%, 01/25/2036 (f) | 5259402 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4104910 |
| &nbsp;&nbsp;&nbsp; 2006-2, 3.227%, 05/25/2036 (f) | 872233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;754363 |
| Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2004-28CB, 5.000%, 01/25/2020 (g) | 127195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89765 |
| &nbsp;&nbsp;&nbsp; 2006-J3, 5.750%, 05/25/2026 | 535777 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;496885 |
| &nbsp;&nbsp;&nbsp; 2004-24CB, 6.000%, 11/25/2034 | 1430534 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1389610 |
| &nbsp;&nbsp;&nbsp; 2004-27CB, 6.000%, 12/25/2034 | 1017106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900547 |
| &nbsp;&nbsp;&nbsp; 2004-28CB, 6.000%, 01/25/2035 | 302047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;273344 |
| &nbsp;&nbsp;&nbsp; 2005-6CB, 5.750%, 04/25/2035 | 1896931 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1633171 |
| &nbsp;&nbsp;&nbsp; 2005-6CB, 7.500%, 04/25/2035 | 222434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;205416 |
| &nbsp;&nbsp;&nbsp; 2005-13CB, 4.544% (1 Month LIBOR USD + 0.500%), 05/25/2035 (b) | 945045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;775412 |
| &nbsp;&nbsp;&nbsp; 2005-9CB, 4.544% (1 Month LIBOR USD + 0.500%), 05/25/2035 (b) | 2013651 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1769795 |
| &nbsp;&nbsp;&nbsp; 2005-9CB, 6.000%, 05/25/2035 | 7194924 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3846056 |
| &nbsp;&nbsp;&nbsp; 2005-21CB, 5.250%, 06/25/2035 | 2731213 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2119444 |
| &nbsp;&nbsp;&nbsp; 2005-21CB, 6.000%, 06/25/2035 | 1648231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1322091 |
| &nbsp;&nbsp;&nbsp; 2005-J6, 4.544% (1 Month LIBOR USD + 0.500%), 07/25/2035 (b) | 2744221 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2303517 |
| &nbsp;&nbsp;&nbsp; 2005-20CB, 5.500%, 07/25/2035 | 1023637 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;791121 |
| &nbsp;&nbsp;&nbsp; 2005-43, 4.149%, 09/25/2035 (f) | 139516 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;117565 |
| &nbsp;&nbsp;&nbsp; 2005-63, 3.800%, 11/25/2035 (f) | 852517 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;719710 |
| &nbsp;&nbsp;&nbsp; 2005-54CB, 5.500%, 11/25/2035 | 580419 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;337647 |
| &nbsp;&nbsp;&nbsp; 2005-J13, 5.500%, 11/25/2035 | 491539 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;343520 |
| &nbsp;&nbsp;&nbsp; 2005-65CB, 0.000%, 12/25/2035 (e)(h) | 739892 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;343592 |
| &nbsp;&nbsp;&nbsp; 2005-65CB, 5.500%, 01/25/2036 | 104925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72438 |
| &nbsp;&nbsp;&nbsp; 2005-75CB, 5.500%, 01/25/2036 | 1341497 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;960759 |
| &nbsp;&nbsp;&nbsp; 2005-73CB, 5.750%, 01/25/2036 | 349919 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;203219 |
| &nbsp;&nbsp;&nbsp; 2005-86CB, 5.500%, 02/25/2036 | 133696 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85610 |
| &nbsp;&nbsp;&nbsp; 2005-86CB, 5.500%, 02/25/2036 | 964785 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;617784 |
| &nbsp;&nbsp;&nbsp; 2005-80CB, 6.000%, 02/25/2036 | 4464130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4183312 |
| &nbsp;&nbsp;&nbsp; 2006-6CB, 5.500%, 05/25/2036 | 99608 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81945 |
| &nbsp;&nbsp;&nbsp; 2006-12CB, 5.750% (1 Month LIBOR USD + 5.750%), 05/25/2036 (b) | 569207 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300593 |
| &nbsp;&nbsp;&nbsp; 2006-14CB, 6.000%, 06/25/2036 | 2436154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1382431 |
| &nbsp;&nbsp;&nbsp; 2006-16CB, 6.000%, 06/25/2036 | 389531 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;238734 |
| &nbsp;&nbsp;&nbsp; 2006-16CB, 6.000%, 06/25/2036 | 1021003 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;625747 |
| &nbsp;&nbsp;&nbsp; 2006-16CB, 6.000%, 06/25/2036 | 886335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;543191 |
| &nbsp;&nbsp;&nbsp; 2006-19CB, 4.444% (1 Month LIBOR USD + 0.400%), 08/25/2036 (b) | 665291 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;338799 |
| &nbsp;&nbsp;&nbsp; 2006-24CB, 5.750%, 08/25/2036 | 4009424 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2285681 |
| &nbsp;&nbsp;&nbsp; 2006-24CB, 5.750%, 08/25/2036 | 2487200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1417895 |
| &nbsp;&nbsp;&nbsp; 2006-19CB, 6.000% (1 Month LIBOR USD + 1.000%), 08/25/2036 (b) | 2536376 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1561815 |
| &nbsp;&nbsp;&nbsp; 2006-19CB, 6.000% (1 Month LIBOR USD + 1.000%), 08/25/2036 (b) | 1000068 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;616052 |
| &nbsp;&nbsp;&nbsp; 2006-19CB, 6.000%, 08/25/2036 | 224576 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;138165 |
| &nbsp;&nbsp;&nbsp; 2006-19CB, 6.000%, 08/25/2036 | 3876010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2386571 |
| &nbsp;&nbsp;&nbsp; 2006-23CB, 6.000%, 08/25/2036 | 619843 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;574365 |
| &nbsp;&nbsp;&nbsp; 2006-23CB, 6.500%, 08/25/2036 | 5681826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2047152 |
| &nbsp;&nbsp;&nbsp; 2006-J6, 6.000%, 09/25/2036 | 2752353 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1536852 |
| &nbsp;&nbsp;&nbsp; 2006-J6, 6.000%, 09/25/2036 | 2043277 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1140920 |
| &nbsp;&nbsp;&nbsp; 2006-26CB, 6.250%, 09/25/2036 | 5568200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3125040 |
| &nbsp;&nbsp;&nbsp; 2006-J5, 6.500%, 09/25/2036 | 1932467 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1119577 |
| &nbsp;&nbsp;&nbsp; 2006-J5, 6.500%, 09/25/2036 | 9355236 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5419966 |
| &nbsp;&nbsp;&nbsp; 2006-31CB, 5.750%, 11/25/2036 | 1960829 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1181727 |
| &nbsp;&nbsp;&nbsp; 2006-31CB, 6.000%, 11/25/2036 | 217368 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;133852 |
| &nbsp;&nbsp;&nbsp; 2006-30T1, 6.500%, 11/25/2036 (e) | 8390698 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2932007 |
| &nbsp;&nbsp;&nbsp; 2006-39CB, 6.000%, 01/25/2037 | 2450629 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2031968 |
| &nbsp;&nbsp;&nbsp; 2006-41CB, 6.000%, 01/25/2037 | 534977 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;311743 |
| &nbsp;&nbsp;&nbsp; 2007-2CB, 5.750%, 03/25/2037 | 5675055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3113669 |
| &nbsp;&nbsp;&nbsp; 2007-4CB, 5.750%, 04/25/2037 | 1159991 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;970990 |
| &nbsp;&nbsp;&nbsp; 2007-4CB, 5.750%, 04/25/2037 | 1542127 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1290863 |
| &nbsp;&nbsp;&nbsp; 2007-8CB, 5.500%, 05/25/2037 | 5882983 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3341991 |
| &nbsp;&nbsp;&nbsp; 2007-8CB, 6.000%, 05/25/2037 | 794898 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;474952 |
| &nbsp;&nbsp;&nbsp; 2007-J2, 6.000%, 07/25/2037 | 3915757 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3561867 |
| &nbsp;&nbsp;&nbsp; 2008-2R, 6.000%, 08/25/2037 (f) | 7018697 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3649597 |
| &nbsp;&nbsp;&nbsp; 2007-23CB, 6.000%, 09/25/2037 | 4381928 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2531288 |
| &nbsp;&nbsp;&nbsp; 2007-13, 6.000%, 06/25/2047 | 2497710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1325204 |
| American Home Mortgage Investment Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2006-2, 6.750%, 06/25/2036 (i) | 2747648 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;478327 |
| Banc of America Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-11, 5.750%, 12/25/2035 | 716585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;601480 |
| &nbsp;&nbsp;&nbsp; 2005-11, 5.750%, 12/25/2035 | 116821 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98056 |
| &nbsp;&nbsp;&nbsp; 2006-9, 4.444% (1 Month LIBOR USD + 0.400%), 01/25/2037 (b) | 922556 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;707094 |
| &nbsp;&nbsp;&nbsp; 2006-9, 6.000%, 01/25/2037 | 188543 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;160028 |
| &nbsp;&nbsp;&nbsp; 2006-4, 6.000%, 05/25/2046 | 942868 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800359 |
| &nbsp;&nbsp;&nbsp; 2006-4, 6.500%, 05/25/2046 | 569632 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;498477 |
| &nbsp;&nbsp;&nbsp; 2006-4, 6.500%, 05/25/2046 | 1117744 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;937754 |
| &nbsp;&nbsp;&nbsp; 2006-5, 6.000%, 06/25/2046 | 275338 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;241338 |
| &nbsp;&nbsp;&nbsp; 2006-6, 6.000%, 07/25/2046 | 1096882 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;914088 |
| Banc of America Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2003-3, 5.500%, 10/25/2033 | 190051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;177273 |
| &nbsp;&nbsp;&nbsp; 2004-1, 6.000%, 02/25/2034 | 578141 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;557578 |
| &nbsp;&nbsp;&nbsp; 2004-1, 6.000%, 03/25/2034 | 3514750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3484690 |
| &nbsp;&nbsp;&nbsp; 2004-B, 3.065%, 11/20/2034 (f) | 2032832 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1825429 |
| &nbsp;&nbsp;&nbsp; 2007-4, 5.500%, 11/25/2034 | 251417 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;221841 |
| &nbsp;&nbsp;&nbsp; 2005-3, 5.500%, 06/25/2035 | 77478 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72907 |
| &nbsp;&nbsp;&nbsp; 2014-R3, 3.225%, 06/26/2035 (a)(f) | 3022121 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2781412 |
| &nbsp;&nbsp;&nbsp; 2014-R3, 3.811%, 06/26/2035 (a)(f) | 1586782 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1515023 |
| &nbsp;&nbsp;&nbsp; 2005-4, 5.500%, 08/25/2035 | 36578 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34901 |
| &nbsp;&nbsp;&nbsp; 2005-5, 5.500%, 09/25/2035 | 160203 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153492 |
| &nbsp;&nbsp;&nbsp; 2005-5, 5.500%, 09/25/2035 | 1673173 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1595743 |
| &nbsp;&nbsp;&nbsp; 2005-7, 5.500%, 11/25/2035 | 3058342 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2710995 |
| &nbsp;&nbsp;&nbsp; 2005-7, 5.750%, 11/25/2035 | 3973 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3874 |
| &nbsp;&nbsp;&nbsp; 2005-7, 6.000%, 11/25/2035 | 19763 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19002 |
| &nbsp;&nbsp;&nbsp; 2005-8, 5.750%, 01/25/2036 | 1976433 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1752220 |
| &nbsp;&nbsp;&nbsp; 2006-B, 2.673%, 03/20/2036 (f) | 628255 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;515431 |
| &nbsp;&nbsp;&nbsp; 2006-F, 3.488%, 07/20/2036 (f) | 6548930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5524019 |
| &nbsp;&nbsp;&nbsp; 2006-5, 5.750%, 09/25/2036 | 333071 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;293835 |
| &nbsp;&nbsp;&nbsp; 2006-7, 6.000%, 09/25/2036 | 507037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;420315 |
| &nbsp;&nbsp;&nbsp; 2006-I, 3.117%, 12/20/2036 (f) | 2494520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2320565 |
| &nbsp;&nbsp;&nbsp; 2006-I, 3.117%, 12/20/2036 (f) | 433910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;396900 |
| &nbsp;&nbsp;&nbsp; 2006-I, 3.332%, 12/20/2036 (f) | 564856 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;542251 |
| &nbsp;&nbsp;&nbsp; 2007-1, 6.689%, 01/25/2037 (i) | 735737 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;634089 |
| &nbsp;&nbsp;&nbsp; 2007-2, 4.104% (1 Month LIBOR USD + 0.060%), 03/25/2037 (b) | 378266 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;363318 |
| &nbsp;&nbsp;&nbsp; 2007-3, 4.904% (1 Month LIBOR USD + 0.860%), 04/25/2037 (b) | 909419 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;802301 |
| &nbsp;&nbsp;&nbsp; 2007-6, 4.324% (1 Month LIBOR USD + 0.280%), 07/25/2037 (b) | 4245775 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3904795 |
| &nbsp;&nbsp;&nbsp; 2007-6, 4.334% (1 Month LIBOR USD + 0.290%), 07/25/2037 (b) | 1028691 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;946941 |
| &nbsp;&nbsp;&nbsp; 2007-5, 5.500%, 07/25/2037 | 1378911 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1027467 |
| &nbsp;&nbsp;&nbsp; 2010-R3, 6.000%, 09/26/2037 (a)(f) | 6514103 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6126807 |
| &nbsp;&nbsp;&nbsp; 2006-J, 3.743%, 01/20/2047 (f) | 123124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;111697 |
| Banc of America Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-A, 2.542%, 02/25/2035 (f) | 1398282 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1328386 |
| &nbsp;&nbsp;&nbsp; 2005-F, 3.942%, 07/25/2035 (f) | 750376 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;673850 |
| &nbsp;&nbsp;&nbsp; 2007-1, 6.000%, 03/25/2037 | 1571901 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1271204 |
| &nbsp;&nbsp;&nbsp; 2006-B, 3.538%, 10/20/2046 (f) | 429416 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;388061 |
| BCAP LLC Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2007-AA2, 7.500%, 04/25/2037 (j) | 301361 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;185493 |
| Bear Stearns ALT-A Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2006-6, 3.660%, 11/25/2036 (f) | 823092 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;384362 |
| Bear Stearns ARM Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2004-12, 2.855%, 02/25/2035 (f) | 46739 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43793 |
| Bear Stearns Asset Backed Securities I Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-AC5, 5.044% (1 Month LIBOR USD + 1.000%), 08/25/2035 (b) | 523344 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;366381 |
| &nbsp;&nbsp;&nbsp; 2006-AC4, 4.294% (1 Month LIBOR USD + 0.250%), 07/25/2036 (b) | 3026718 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2551800 |
| &nbsp;&nbsp;&nbsp; 2006-AC4, 18.729% (1 Month LIBOR USD + 36.250%), 07/25/2036 (b)(e)(j) | 699450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;704487 |
| Chase Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2004-1, 4.794% (1 Month LIBOR USD + 0.750%), 09/25/2033 (b) | 47058 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46909 |
| Chase Mortgage Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-S2, 5.500%, 10/25/2035 | 640910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;598913 |
| &nbsp;&nbsp;&nbsp; 2005-S3, 5.500%, 11/25/2035 | 5486494 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4076755 |
| &nbsp;&nbsp;&nbsp; 2005-A1, 3.593%, 12/25/2035 (f) | 770123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;704525 |
| &nbsp;&nbsp;&nbsp; 2005-A1, 3.593%, 12/25/2035 (f) | 802885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;734497 |
| &nbsp;&nbsp;&nbsp; 2006-S3, 6.000%, 11/25/2036 | 6769895 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3067251 |
| &nbsp;&nbsp;&nbsp; 2006-S4, 6.000%, 12/25/2036 | 1226693 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;601367 |
| &nbsp;&nbsp;&nbsp; 2006-S4, 6.000%, 12/25/2036 | 3958334 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1940512 |
| &nbsp;&nbsp;&nbsp; 2007-S1, 6.000%, 02/25/2037 | 4023500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1655644 |
| &nbsp;&nbsp;&nbsp; 2007-S3, 5.750%, 05/25/2037 | 691713 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;340928 |
| &nbsp;&nbsp;&nbsp; 2007-S3, 6.000%, 05/25/2037 | 2107646 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1058092 |
| &nbsp;&nbsp;&nbsp; 2007-A2, 3.489%, 07/25/2037 (f) | 867906 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;740257 |
| ChaseFlex Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-1, 5.500%, 02/25/2035 | 299167 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;247735 |
| &nbsp;&nbsp;&nbsp; 2006-2, 4.447%, 09/25/2036 (f) | 2456145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2158489 |
| &nbsp;&nbsp;&nbsp; 2007-M1, 4.149%, 08/25/2037 (i) | 1390748 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1160727 |
| CHL Mortgage Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-20, 5.250%, 12/25/2027 | 19691 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12636 |
| &nbsp;&nbsp;&nbsp; 2003-42, 3.777%, 10/25/2033 (f) | 900622 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;821228 |
| &nbsp;&nbsp;&nbsp; 2003-44, 5.000%, 10/25/2033 | 256000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;248427 |
| &nbsp;&nbsp;&nbsp; 2004-4, 5.500%, 05/25/2034 | 434389 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;398326 |
| &nbsp;&nbsp;&nbsp; 2004-14, 4.287%, 08/25/2034 (f) | 2201526 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2012932 |
| &nbsp;&nbsp;&nbsp; 2004-21, 4.000%, 11/25/2034 | 519661 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;454658 |
| &nbsp;&nbsp;&nbsp; 2004-24, 5.500%, 12/25/2034 | 2446422 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2222270 |
| &nbsp;&nbsp;&nbsp; 2004-J9, 5.500%, 01/25/2035 | 495349 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;474927 |
| &nbsp;&nbsp;&nbsp; 2004-HYB5, 3.711%, 04/20/2035 (f) | 584160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;563059 |
| &nbsp;&nbsp;&nbsp; 2005-HYB2, 3.011%, 05/20/2035 (f) | 757487 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;702411 |
| &nbsp;&nbsp;&nbsp; 2005-13, 5.500%, 06/25/2035 | 1666679 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1016334 |
| &nbsp;&nbsp;&nbsp; 2005-J3, 5.500%, 09/25/2035 | 55842 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48790 |
| &nbsp;&nbsp;&nbsp; 2005-27, 5.500%, 12/25/2035 | 994972 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;748476 |
| &nbsp;&nbsp;&nbsp; 2005-27, 5.500%, 12/25/2035 | 508701 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;228476 |
| &nbsp;&nbsp;&nbsp; 2005-31, 2.844%, 01/25/2036 (f) | 853574 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;759690 |
| &nbsp;&nbsp;&nbsp; 2005-30, 5.500%, 01/25/2036 | 63801 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40777 |
| &nbsp;&nbsp;&nbsp; 2005-HY10, 3.349%, 02/20/2036 (f) | 1620237 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1284390 |
| &nbsp;&nbsp;&nbsp; 2005-HY10, 3.528%, 02/20/2036 (f) | 61178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48360 |
| &nbsp;&nbsp;&nbsp; 2006-6, 6.000%, 04/25/2036 | 629885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;352755 |
| &nbsp;&nbsp;&nbsp; 2006-9, 6.000%, 05/25/2036 | 1149015 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;579664 |
| &nbsp;&nbsp;&nbsp; 2006-J4, 6.250%, 09/25/2036 | 96089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38779 |
| &nbsp;&nbsp;&nbsp; 2006-16, 6.500%, 11/25/2036 | 514337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;202765 |
| &nbsp;&nbsp;&nbsp; 2006-17, 6.000% (1 Month LIBOR USD + 0.550%), 12/25/2036 (b) | 2892179 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1340302 |
| &nbsp;&nbsp;&nbsp; 2006-17, 6.000%, 12/25/2036 | 2138442 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;978565 |
| &nbsp;&nbsp;&nbsp; 2006-18, 6.000%, 12/25/2036 | 268535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153086 |
| &nbsp;&nbsp;&nbsp; 2006-21, 5.750%, 02/25/2037 | 1201359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;597061 |
| &nbsp;&nbsp;&nbsp; 2006-21, 6.000%, 02/25/2037 | 2774103 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1417373 |
| &nbsp;&nbsp;&nbsp; 2006-21, 6.000%, 02/25/2037 | 633390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;323618 |
| &nbsp;&nbsp;&nbsp; 2007-1, 6.000%, 03/25/2037 | 1977093 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1001996 |
| &nbsp;&nbsp;&nbsp; 2007-5, 5.500%, 05/25/2037 | 786167 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;428844 |
| &nbsp;&nbsp;&nbsp; 2007-5, 5.750%, 05/25/2037 | 5596349 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3116057 |
| &nbsp;&nbsp;&nbsp; 2007-5, 5.750%, 05/25/2037 | 854529 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;475804 |
| &nbsp;&nbsp;&nbsp; 2007-5, 5.750%, 05/25/2037 | 1648936 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;918131 |
| &nbsp;&nbsp;&nbsp; 2007-10, 6.000%, 07/25/2037 | 1779434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;878828 |
| &nbsp;&nbsp;&nbsp; 2007-J2, 6.000%, 07/25/2037 | 2956129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1241026 |
| &nbsp;&nbsp;&nbsp; 2007-J2, 6.000%, 07/25/2037 | 190919 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80150 |
| &nbsp;&nbsp;&nbsp; 2007-HY5, 4.029%, 09/25/2037 (f) | 1896015 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1699340 |
| &nbsp;&nbsp;&nbsp; 2007-HY6, 3.815%, 11/25/2037 (f) | 254882 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;219423 |
| &nbsp;&nbsp;&nbsp; 2007-HY5, 3.970%, 09/25/2047 (f) | 5541040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4067582 |
| Citicorp Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2006-3, 5.500%, 06/25/2021 (g) | 50926 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32930 |
| &nbsp;&nbsp;&nbsp; 2006-1, 6.000%, 02/25/2036 | 77655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72321 |
| &nbsp;&nbsp;&nbsp; 2006-3, 5.750%, 06/25/2036 | 355819 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;308020 |
| &nbsp;&nbsp;&nbsp; 2006-3, 6.000%, 06/25/2036 | 1248010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1090031 |
| &nbsp;&nbsp;&nbsp; 2006-3, 6.250%, 06/25/2036 | 781359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;688477 |
| &nbsp;&nbsp;&nbsp; 2006-7, 6.000%, 12/25/2036 | 2702852 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2239688 |
| &nbsp;&nbsp;&nbsp; 2007-3, 5.500%, 04/25/2037 | 37458 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34609 |
| &nbsp;&nbsp;&nbsp; 2007-3, 6.000%, 04/25/2037 | 477854 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;433574 |
| Citigroup Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2004-2, 9.250%, 08/25/2033 (a) | 13449 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12271 |
| &nbsp;&nbsp;&nbsp; 2004-HYB3, 3.387%, 09/25/2034 (f) | 471376 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;428669 |
| &nbsp;&nbsp;&nbsp; 2005-WF1, 5.830%, 11/25/2034 (i) | 2742380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2660309 |
| &nbsp;&nbsp;&nbsp; 2005-1, 2.809%, 04/25/2035 (f) | 333913 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;307070 |
| &nbsp;&nbsp;&nbsp; 2005-2, 2.911%, 05/25/2035 (f) | 398346 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;379890 |
| &nbsp;&nbsp;&nbsp; 2005-5, 6.000%, 08/25/2035 | 1854061 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1663544 |
| &nbsp;&nbsp;&nbsp; 2005-7, 2.995%, 09/25/2035 (f) | 410058 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;346129 |
| &nbsp;&nbsp;&nbsp; 2005-10, 3.679%, 12/25/2035 (f) | 1040864 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;678729 |
| &nbsp;&nbsp;&nbsp; 2006-WF1, 5.040%, 03/25/2036 (i) | 26417218 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13436029 |
| &nbsp;&nbsp;&nbsp; 2006-AR7, 3.841%, 11/25/2036 (f) | 1407678 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1250364 |
| &nbsp;&nbsp;&nbsp; 2007-AR4, 3.329%, 03/25/2037 (f) | 1019826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;885894 |
| CitiMortgage Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2006-A2, 4.644% (1 Month LIBOR USD + 0.600%), 05/25/2036 (b) | 398227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;353105 |
| &nbsp;&nbsp;&nbsp; 2006-A4, 6.000%, 09/25/2036 | 1011313 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;889706 |
| &nbsp;&nbsp;&nbsp; 2007-A1, 6.000%, 01/25/2037 | 1494750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1312570 |
| &nbsp;&nbsp;&nbsp; 2007-A1, 6.000%, 01/25/2037 | 2402190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2109411 |
| Connecticut Avenue Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2021-R03, 6.271% (SOFR30A + 2.750%), 12/25/2041 (a)(b) | 5685000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5082064 |
| &nbsp;&nbsp;&nbsp; 2022-R02, 6.521% (SOFR30A + 3.000%), 01/25/2042 (a)(b) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9285272 |
| Credit Suisse First Boston Mortgage Securities Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2005-8, 7.000%, 09/25/2035 | 2698470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1370275 |
| CSFB Mortgage-Backed Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp; 2004-8, 5.500%, 12/25/2034 | 142886 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;136443 |
| &nbsp;&nbsp;&nbsp; 2005-3, 5.500%, 07/25/2035 | 385736 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;378792 |
| &nbsp;&nbsp;&nbsp; 2005-9, 5.500%, 10/25/2035 | 563740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;307366 |
| &nbsp;&nbsp;&nbsp; 2005-10, 5.500%, 11/25/2035 | 425288 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;319177 |
| &nbsp;&nbsp;&nbsp; 2005-10, 5.500%, 11/25/2035 | 1676442 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1258164 |
| &nbsp;&nbsp;&nbsp; 2005-10, 6.000%, 11/25/2035 | 815774 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;244331 |
| CSMC Mortgage-Backed Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2006-CF1, 5.500%, 11/25/2035 (a)(i) | 2565000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2224565 |
| &nbsp;&nbsp;&nbsp; 2006-1, 5.500%, 02/25/2036 | 300296 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;267206 |
| &nbsp;&nbsp;&nbsp; 2006-1, 5.500%, 02/25/2036 | 31355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28252 |
| &nbsp;&nbsp;&nbsp; 2006-2, 5.750%, 03/25/2036 | 560915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;379217 |
| &nbsp;&nbsp;&nbsp; 2006-2, 6.000%, 03/25/2036 | 4174212 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1870694 |
| &nbsp;&nbsp;&nbsp; 2006-4, 6.000%, 05/25/2036 | 517629 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;305150 |
| &nbsp;&nbsp;&nbsp; 2006-4, 7.000%, 05/25/2036 | 505858 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86461 |
| &nbsp;&nbsp;&nbsp; 2011-12R, 3.514%, 07/27/2036 (a)(f) | 1142700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1121793 |
| &nbsp;&nbsp;&nbsp; 2006-7, 6.000%, 08/25/2036 | 720411 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;564947 |
| &nbsp;&nbsp;&nbsp; 2007-2, 5.500%, 03/25/2037 | 1351985 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;759754 |
| &nbsp;&nbsp;&nbsp; 2007-3, 5.500%, 04/25/2037 | 302275 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;245764 |
| &nbsp;&nbsp;&nbsp; 2007-3, 5.500%, 04/25/2037 | 422887 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;343828 |
| &nbsp;&nbsp;&nbsp; 2013-2R, 3.171%, 05/27/2037 (a)(f) | 1964276 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1282864 |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-3, 4.544% (1 Month LIBOR USD + 0.500%), 05/25/2035 (b) | 1175077 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1117512 |
| &nbsp;&nbsp;&nbsp; 2005-6, 5.500%, 12/25/2035 | 1453075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1170415 |
| Deutsche Alt-B Securities, Inc. Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2006-AB4, 4.116% (1 Month LIBOR USD + 0.100%), 10/25/2036 (b) | 456051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;388335 |
| DFC HEL Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2001-1, 5.525% (1 Month LIBOR USD + 1.650%), 08/15/2031 (b) | 1436148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1371901 |
| Equity One Mortgage Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2003-1, 4.860%, 08/25/2033 (f) | 464131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;451218 |
| &nbsp;&nbsp;&nbsp; 2003-3, 4.868%, 12/25/2033 (f) | 1318929 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1221590 |
| Fannie Mae Connecticut Avenue Securities |  |  |
| &nbsp;&nbsp;&nbsp; 2015-C03, 9.016% (1 Month LIBOR USD + 5.000%), 07/25/2025 (b) | 2568924 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2606772 |
| &nbsp;&nbsp;&nbsp; 2016-C01, 10.966% (1 Month LIBOR USD + 6.950%), 08/25/2028 (b) | 1306787 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1360052 |
| &nbsp;&nbsp;&nbsp; 2017-C05, 7.616% (1 Month LIBOR USD + 3.600%), 01/25/2030 (b) | 6599636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6518855 |
| &nbsp;&nbsp;&nbsp; 2018-C03, 7.766% (1 Month LIBOR USD + 3.750%), 10/25/2030 (b) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4946300 |
| &nbsp;&nbsp;&nbsp; 2021-R02, 5.521% (SOFR30A + 2.000%), 11/25/2041 (a)(b) | 2250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2003945 |
| First Horizon Alternative Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-FA11, 5.250%, 02/25/2021 (g) | 698 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; - |
| &nbsp;&nbsp;&nbsp; 2006-FA6, 5.750%, 11/25/2021 (g) | 969 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 733 |
| &nbsp;&nbsp;&nbsp; 2004-AA6, 3.613%, 01/25/2035 (f) | 278334 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;269728 |
| &nbsp;&nbsp;&nbsp; 2004-AA7, 3.622%, 02/25/2035 (f) | 817235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;752459 |
| &nbsp;&nbsp;&nbsp; 2005-AA5, 3.705%, 07/25/2035 (f) | 1386335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1241484 |
| &nbsp;&nbsp;&nbsp; 2005-AA7, 3.721%, 09/25/2035 (f) | 1443657 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1240953 |
| &nbsp;&nbsp;&nbsp; 2005-FA8, 5.500%, 11/25/2035 | 1195728 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;653324 |
| &nbsp;&nbsp;&nbsp; 2006-FA1, 5.750%, 04/25/2036 | 1919181 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;932056 |
| &nbsp;&nbsp;&nbsp; 2006-FA2, 6.000%, 05/25/2036 | 2255857 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1074474 |
| &nbsp;&nbsp;&nbsp; 2006-FA2, 6.000%, 05/25/2036 | 1431909 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;682024 |
| &nbsp;&nbsp;&nbsp; 2006-FA6, 6.000%, 11/25/2036 | 955808 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;348558 |
| &nbsp;&nbsp;&nbsp; 2006-FA6, 6.250%, 11/25/2036 | 1211545 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;453336 |
| &nbsp;&nbsp;&nbsp; 2006-FA6, 6.250%, 11/25/2036 | 6440898 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3261867 |
| &nbsp;&nbsp;&nbsp; 2007-AA1, 3.580%, 05/25/2037 (f) | 2355214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1654775 |
| &nbsp;&nbsp;&nbsp; 2007-FA4, 6.250%, 08/25/2037 | 1828019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;803182 |
| First Horizon Mortgage Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-AR3, 3.889%, 08/25/2035 (f) | 1304757 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1213939 |
| &nbsp;&nbsp;&nbsp; 2006-AR4, 3.644%, 01/25/2037 (f) | 2322652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1469174 |
| &nbsp;&nbsp;&nbsp; 2006-4, 5.750%, 02/25/2037 | 923689 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;266958 |
| &nbsp;&nbsp;&nbsp; 2006-4, 6.000%, 02/25/2037 | 559327 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;168100 |
| &nbsp;&nbsp;&nbsp; 2007-AR1, 2.848%, 05/25/2037 (f) | 495585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;216441 |
| &nbsp;&nbsp;&nbsp; 2007-AR2, 3.546%, 08/25/2037 (f) | 2286111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;783513 |
| Freddie Mac STACR REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2021-HQA1, 5.771% (SOFR30A + 2.250%), 08/25/2033 (a)(b) | 5855000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5394082 |
| &nbsp;&nbsp;&nbsp; 2021-DNA5, 6.571% (SOFR30A + 3.050%), 01/25/2034 (a)(b) | 7759414 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6916035 |
| &nbsp;&nbsp;&nbsp; 2021-DNA7, 5.321% (SOFR30A + 1.800%), 11/25/2041 (a)(b) | 7750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7203604 |
| Freddie Mac Structured Agency Credit Risk Debt Notes |  |  |
| &nbsp;&nbsp;&nbsp; 2018-DNA2, 7.716% (1 Month LIBOR USD + 3.700%), 12/25/2030 (a)(b) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4917362 |
| &nbsp;&nbsp;&nbsp; 2022-DNA1, 5.371% (SOFR30A + 1.850%), 01/25/2042 (a)(b) | 6800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6229260 |
| &nbsp;&nbsp;&nbsp; 2022-DNA1, 6.021% (SOFR30A + 2.500%), 01/25/2042 (a)(b) | 9000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7961125 |
| &nbsp;&nbsp;&nbsp; 2018-HRP2, 8.216% (1 Month LIBOR USD + 4.200%), 02/25/2047 (a)(b) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9619107 |
| &nbsp;&nbsp;&nbsp; 2020-DNA5, 8.321% (SOFR30A + 4.800%), 10/25/2050 (a)(b) | 10606000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10545697 |
| GSAA Home Equity Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-1, 6.260%, 11/25/2034 (i) | 2050000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1922539 |
| &nbsp;&nbsp;&nbsp; 2006-15, 6.692%, 09/25/2036 (i) | 2121224 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;604984 |
| &nbsp;&nbsp;&nbsp; 2006-18, 6.182%, 11/25/2036 (i) | 1700521 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;438164 |
| &nbsp;&nbsp;&nbsp; 2007-7, 4.404% (1 Month LIBOR USD + 0.360%), 07/25/2037 (b) | 832243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;778212 |
| GSR Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-4F, 6.500%, 04/25/2020 (g) | 47650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47487 |
| &nbsp;&nbsp;&nbsp; 2003-5F, 3.000%, 08/25/2032 | 887332 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;804866 |
| &nbsp;&nbsp;&nbsp; 2004-15F, 6.000%, 12/25/2034 | 1089141 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;888894 |
| &nbsp;&nbsp;&nbsp; 2005-1F, 6.000%, 01/25/2035 | 14348 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12688 |
| &nbsp;&nbsp;&nbsp; 2005-AR4, 3.652%, 07/25/2035 (f) | 166767 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153039 |
| &nbsp;&nbsp;&nbsp; 2005-7F, 6.000%, 09/25/2035 | 20907 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19906 |
| &nbsp;&nbsp;&nbsp; 2005-AR5, 3.758%, 10/25/2035 (f) | 558809 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;502019 |
| &nbsp;&nbsp;&nbsp; 2005-AR7, 3.764%, 11/25/2035 (f) | 413511 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;366342 |
| &nbsp;&nbsp;&nbsp; 2006-2F, 5.750%, 02/25/2036 | 454318 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;397767 |
| HarborView Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2006-6, 3.446%, 08/19/2036 (f) | 2370882 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1861458 |
| Impac CMB Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-5, 4.544% (1 Month LIBOR USD + 0.250%), 08/25/2035 (b) | 429009 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;378502 |
| Impac Secured Assets CMN Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2002-2, 6.500%, 04/25/2033 | 1011812 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;953620 |
| &nbsp;&nbsp;&nbsp; 2004-2, 4.882%, 08/25/2034 (i) | 169687 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;163706 |
| IndyMac IMSC Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2007-AR1, 3.288%, 06/25/2037 (f) | 363054 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;249556 |
| IndyMac INDA Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2007-AR1, 3.014%, 03/25/2037 (f) | 324237 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;265810 |
| IndyMac INDX Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2004-AR4, 3.761%, 08/25/2034 (f) | 2415899 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2215212 |
| &nbsp;&nbsp;&nbsp; 2004-AR11, 3.001%, 12/25/2034 (f) | 925974 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;885337 |
| &nbsp;&nbsp;&nbsp; 2005-AR3, 3.013%, 04/25/2035 (f) | 877223 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;788520 |
| &nbsp;&nbsp;&nbsp; 2005-AR9, 3.559%, 07/25/2035 (f) | 2953246 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1670259 |
| &nbsp;&nbsp;&nbsp; 2005-AR23, 3.161%, 11/25/2035 (f) | 620985 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;525222 |
| &nbsp;&nbsp;&nbsp; 2005-AR23, 3.203%, 11/25/2035 (f) | 1074412 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;916533 |
| &nbsp;&nbsp;&nbsp; 2005-AR25, 3.219%, 12/25/2035 (f) | 1873833 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1195435 |
| &nbsp;&nbsp;&nbsp; 2005-AR35, 3.032%, 02/25/2036 (f) | 1161194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;994491 |
| &nbsp;&nbsp;&nbsp; 2006-AR3, 3.067%, 03/25/2036 (f) | 5113569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3584215 |
| &nbsp;&nbsp;&nbsp; 2006-AR9, 3.130%, 06/25/2036 (f) | 1629296 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1268440 |
| &nbsp;&nbsp;&nbsp; 2006-AR25, 3.178%, 09/25/2036 (f) | 1177538 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1009296 |
| &nbsp;&nbsp;&nbsp; 2006-AR25, 3.479%, 09/25/2036 (f) | 1977860 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1339564 |
| &nbsp;&nbsp;&nbsp; 2006-AR31, 3.460%, 11/25/2036 (f) | 3981915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3438327 |
| Jefferies Resecuritization Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2009-R1, 3.764%, 11/26/2035 (a)(f) | 568952 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;503419 |
| JP Morgan Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2006-S4, 6.460%, 12/25/2036 (i) | 446209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;421746 |
| &nbsp;&nbsp;&nbsp; 2008-R4, 6.000%, 12/27/2036 (a) | 6560053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3521066 |
| JP Morgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-S3, 5.750%, 01/25/2036 | 46686 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23413 |
| &nbsp;&nbsp;&nbsp; 2007-A3, 3.153%, 05/25/2037 (f) | 2602065 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2065607 |
| JP Morgan Resecuritization Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2009-7, 4.935%, 07/27/2037 (a)(f) | 17440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17371 |
| Lehman Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-2, 5.500%, 12/25/2035 | 1480585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;838775 |
| &nbsp;&nbsp;&nbsp; 2005-2, 5.750%, 12/25/2035 | 520672 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;299014 |
| &nbsp;&nbsp;&nbsp; 2005-3, 0.734% (1 Month LIBOR USD + 4.750%), 01/25/2036 (b)(e)(j)(k) | 854848 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65007 |
| &nbsp;&nbsp;&nbsp; 2005-3, 4.544% (1 Month LIBOR USD + 0.500%), 01/25/2036 (b) | 854848 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;361522 |
| &nbsp;&nbsp;&nbsp; 2005-3, 5.500%, 01/25/2036 | 211039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;112630 |
| &nbsp;&nbsp;&nbsp; 2006-1, 5.500%, 02/25/2036 | 366722 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;183870 |
| &nbsp;&nbsp;&nbsp; 2006-3, 6.000%, 07/25/2036 | 3167871 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1642154 |
| &nbsp;&nbsp;&nbsp; 2006-3, 6.000%, 07/25/2036 | 7003617 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3630529 |
| &nbsp;&nbsp;&nbsp; 2007-4, 5.750%, 05/25/2037 | 1010976 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;501363 |
| &nbsp;&nbsp;&nbsp; 2007-4, 5.750%, 05/25/2037 | 2208982 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1095479 |
| &nbsp;&nbsp;&nbsp; 2007-5, 5.750%, 06/25/2037 | 1516385 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1325834 |
| &nbsp;&nbsp;&nbsp; 2007-5, 6.000%, 06/25/2037 | 2317120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;654503 |
| &nbsp;&nbsp;&nbsp; 2007-5, 6.000%, 06/25/2037 | 6328749 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1787645 |
| MASTR Adjustable Rate Mortgages Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2004-4, 3.602%, 05/25/2034 (f) | 90633 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82693 |
| &nbsp;&nbsp;&nbsp; 2005-1, 2.853%, 02/25/2035 (f) | 109594 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100060 |
| MASTR Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2003-5, 5.895%, 08/25/2033 (f) | 683742 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;435088 |
| &nbsp;&nbsp;&nbsp; 2003-7, 6.250%, 11/25/2033 | 68166 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67014 |
| &nbsp;&nbsp;&nbsp; 2004-6, 5.500%, 07/25/2034 | 184451 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;169595 |
| &nbsp;&nbsp;&nbsp; 2004-6, 6.000%, 07/25/2034 | 126215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;119513 |
| &nbsp;&nbsp;&nbsp; 2004-11, 6.500%, 10/25/2034 | 393590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;380317 |
| &nbsp;&nbsp;&nbsp; 2005-2, 5.500%, 03/25/2035 | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1917971 |
| MASTR Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2002-NC1, 7.194% (1 Month LIBOR USD + 3.150%), 10/25/2032 (b) | 244635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;239380 |
| &nbsp;&nbsp;&nbsp; 2006-1, 4.494% (1 Month LIBOR USD + 0.450%), 05/25/2036 (b) | 586796 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89254 |
| Merrill Lynch Mortgage Investors Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2006-F1, 6.000%, 04/25/2036 | 1993375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1012869 |
| Merrill Lynch Mortgage Investors Trust MLCC |  |  |
| &nbsp;&nbsp;&nbsp; 2004-D, 4.286% (6 Month LIBOR USD + 0.720%), 09/25/2029 (b) | 668506 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;627441 |
| Merrill Lynch Mortgage Investors Trust MLMI |  |  |
| &nbsp;&nbsp;&nbsp; 2005-A5, 3.482%, 06/25/2035 (f) | 310407 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;284633 |
| &nbsp;&nbsp;&nbsp; 2005-A7, 3.820%, 09/25/2035 (f) | 3849674 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3098210 |
| Morgan Stanley Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-7, 5.500%, 11/25/2035 | 828127 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;774532 |
| &nbsp;&nbsp;&nbsp; 2005-7, 5.500%, 11/25/2035 | 326343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;276663 |
| &nbsp;&nbsp;&nbsp; 2006-2, 5.467%, 02/25/2036 (f) | 1318222 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;778700 |
| &nbsp;&nbsp;&nbsp; 2006-2, 6.500%, 02/25/2036 | 893037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;452676 |
| &nbsp;&nbsp;&nbsp; 2006-11, 6.000%, 08/25/2036 | 1972070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;934799 |
| &nbsp;&nbsp;&nbsp; 2006-11, 6.000%, 08/25/2036 | 1385654 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;956116 |
| &nbsp;&nbsp;&nbsp; 2007-8XS, 6.000%, 04/25/2037 (f) | 1318091 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;478128 |
| &nbsp;&nbsp;&nbsp; 2007-3XS, 6.263%, 01/25/2047 (i) | 6633583 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2097997 |
| Morgan Stanley Reremic Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2012-R3, 3.332%, 11/26/2036 (a)(f) | 2036567 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1593903 |
| Nomura Asset Acceptance Corp. Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-WF1, 5.659%, 03/25/2035 (i) | 24992 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24189 |
| &nbsp;&nbsp;&nbsp; 2005-AR3, 5.688%, 07/25/2035 (f) | 703397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;679425 |
| Nomura Resecuritization Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2014-5R, 5.501%, 06/26/2035 (a)(f) | 3566821 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2923455 |
| &nbsp;&nbsp;&nbsp; 2011-4RA, 2.768%, 12/26/2036 (a)(f) | 5666218 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5091078 |
| Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp; 2005-5, 5.850%, 12/25/2035 (f) | 86547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85447 |
| RAAC Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-SP1, 6.000%, 09/25/2034 | 2788 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2554 |
| RALI Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2006-QA1, 5.236%, 01/25/2036 (f) | 98695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;105015 |
| &nbsp;&nbsp;&nbsp; 2006-QS1, 5.750%, 01/25/2036 | 189931 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;160344 |
| &nbsp;&nbsp;&nbsp; 2006-QS9, 4.744% (1 Month LIBOR USD + 0.700%), 07/25/2036 (b) | 1398176 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;956956 |
| &nbsp;&nbsp;&nbsp; 2006-QS13, 6.000%, 09/25/2036 | 2068929 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1586537 |
| &nbsp;&nbsp;&nbsp; 2006-QS17, 4.394% (1 Month LIBOR USD + 0.350%), 12/25/2036 (b) | 789941 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;542666 |
| &nbsp;&nbsp;&nbsp; 2006-QS17, 6.000%, 12/25/2036 | 313327 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;246271 |
| &nbsp;&nbsp;&nbsp; 2007-QS6, 6.000%, 04/25/2037 | 2674474 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2091947 |
| &nbsp;&nbsp;&nbsp; 2007-QS10, 6.500%, 09/25/2037 | 290030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;228246 |
| RBSSP Resecuritization Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2009-7, 6.000%, 03/26/2036 (a)(f) | 3795168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2199264 |
| Renaissance Home Equity Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-1, 5.516%, 05/25/2035 (i) | 131180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;129886 |
| Resecuritization Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-8R, 6.000%, 10/25/2034 | 1660934 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1574686 |
| Residential Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2003-A9, 4.000%, 08/25/2033 | 940916 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;867202 |
| &nbsp;&nbsp;&nbsp; 2004-R2, 5.500%, 08/25/2034 | 1657292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1557454 |
| &nbsp;&nbsp;&nbsp; 2005-A5, 5.500%, 05/25/2035 | 1060531 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;746172 |
| &nbsp;&nbsp;&nbsp; 2005-A11, 4.850%, 10/25/2035 | 3515627 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1588652 |
| &nbsp;&nbsp;&nbsp; 2005-A11, 5.500%, 10/25/2035 | 244236 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;170324 |
| &nbsp;&nbsp;&nbsp; 2005-A11, 6.000%, 10/25/2035 | 400397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;211343 |
| &nbsp;&nbsp;&nbsp; 2005-A15, 5.750%, 02/25/2036 | 3466766 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1347493 |
| &nbsp;&nbsp;&nbsp; 2006-A5CB, 6.000%, 06/25/2036 | 2275700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;978090 |
| &nbsp;&nbsp;&nbsp; 2006-A10, 1.806% (1 Month LIBOR USD + 5.850%), 09/25/2036 (b)(e)(j)(k) | 10202322 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1104868 |
| &nbsp;&nbsp;&nbsp; 2006-A10, 4.694% (1 Month LIBOR USD + 0.650%), 09/25/2036 (b) | 10202322 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2678500 |
| &nbsp;&nbsp;&nbsp; 2006-A15, 1.606% (1 Month LIBOR USD + 5.650%), 01/25/2037 (b)(e)(j)(k) | 16543929 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1846058 |
| &nbsp;&nbsp;&nbsp; 2006-A15, 4.644% (1 Month LIBOR USD + 0.600%), 01/25/2037 (b) | 16543929 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4369619 |
| RFMSI Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-SA4, 3.909%, 09/25/2035 (f) | 1668871 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1034730 |
| &nbsp;&nbsp;&nbsp; 2005-SA4, 4.138%, 09/25/2035 (f) | 1284227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;840868 |
| &nbsp;&nbsp;&nbsp; 2005-SA4, 4.172%, 09/25/2035 (f) | 40752 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38769 |
| &nbsp;&nbsp;&nbsp; 2006-S3, 5.500%, 03/25/2036 | 1954336 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1567546 |
| &nbsp;&nbsp;&nbsp; 2006-S4, 6.000%, 04/25/2036 | 1841529 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1508341 |
| &nbsp;&nbsp;&nbsp; 2006-S5, 6.000%, 06/25/2036 | 175030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;145227 |
| &nbsp;&nbsp;&nbsp; 2006-S5, 6.000%, 06/25/2036 | 360307 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;298956 |
| &nbsp;&nbsp;&nbsp; 2006-S5, 6.000%, 06/25/2036 | 1509966 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1252857 |
| &nbsp;&nbsp;&nbsp; 2006-S5, 6.000%, 06/25/2036 | 187662 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153065 |
| &nbsp;&nbsp;&nbsp; 2006-S6, 6.000%, 07/25/2036 | 106155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86032 |
| &nbsp;&nbsp;&nbsp; 2006-S6, 6.000%, 07/25/2036 | 546512 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;442912 |
| &nbsp;&nbsp;&nbsp; 2006-S7, 6.250%, 08/25/2036 | 1174433 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;976689 |
| &nbsp;&nbsp;&nbsp; 2006-S7, 6.500%, 08/25/2036 | 702148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;585241 |
| &nbsp;&nbsp;&nbsp; 2006-S9, 5.750%, 09/25/2036 | 1458503 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1135888 |
| &nbsp;&nbsp;&nbsp; 2007-S1, 6.000%, 01/25/2037 | 474787 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;377406 |
| &nbsp;&nbsp;&nbsp; 2007-S7, 6.000%, 07/25/2037 | 1506271 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1120460 |
| Specialty Underwriting & Residential Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2006-BC2, 3.684%, 02/25/2037 (i) | 799939 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;317496 |
| STARM Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2007-1, 2.423%, 02/25/2037 (f) | 4029560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3420800 |
| &nbsp;&nbsp;&nbsp; 2007-2, 2.262%, 04/25/2037 (f) | 451073 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;202895 |
| Structured Adjustable Rate Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2004-18, 3.567%, 12/25/2034 (f) | 475382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;433581 |
| &nbsp;&nbsp;&nbsp; 2005-12, 3.388%, 06/25/2035 (f) | 643089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;496831 |
| &nbsp;&nbsp;&nbsp; 2005-21, 4.172%, 11/25/2035 (f) | 3370041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2386960 |
| &nbsp;&nbsp;&nbsp; 2006-1, 2.732%, 02/25/2036 (f) | 170236 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153493 |
| &nbsp;&nbsp;&nbsp; 2006-1, 3.522%, 02/25/2036 (f) | 1115983 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;888058 |
| &nbsp;&nbsp;&nbsp; 2006-4, 3.745%, 05/25/2036 (f) | 606583 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;414323 |
| &nbsp;&nbsp;&nbsp; 2006-12, 3.809%, 01/25/2037 (f) | 583865 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;447150 |
| &nbsp;&nbsp;&nbsp; 2007-5, 4.484% (1 Month LIBOR USD + 0.440%), 06/25/2037 (b) | 1656098 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1395171 |
| &nbsp;&nbsp;&nbsp; 2007-6, 4.424% (1 Month LIBOR USD + 0.380%), 07/25/2037 (b) | 4649626 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3988783 |
| &nbsp;&nbsp;&nbsp; 2007-9, 6.431% (6 Month LIBOR USD + 1.500%), 10/25/2037 (b) | 916469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800504 |
| Suntrust Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-1F, 5.750%, 12/25/2035 | 844452 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;738858 |
| &nbsp;&nbsp;&nbsp; 2005-1F, 6.000%, 12/25/2035 | 1950021 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1719971 |
| &nbsp;&nbsp;&nbsp; 2005-1F, 6.500%, 12/25/2035 | 1988599 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1763866 |
| TBW Mortgage-Backed Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2006-2, 5.500%, 07/25/2036 (e) | 80750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7665 |
| Volt, LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2021-NPL4, 4.949%, 03/27/2051 (a)(i) | 1650000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1428546 |
| WaMu Mortgage Pass-Through Certificates Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2003-S4, 5.659%, 06/25/2033 (f) | 1862891 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1707105 |
| &nbsp;&nbsp;&nbsp; 2003-AR10, 4.238%, 10/25/2033 (f) | 7268620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6726019 |
| &nbsp;&nbsp;&nbsp; 2004-S2, 6.000%, 06/25/2034 | 46680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44913 |
| &nbsp;&nbsp;&nbsp; 2005-AR14, 3.880%, 12/25/2035 (f) | 4774166 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4409292 |
| &nbsp;&nbsp;&nbsp; 2006-AR10, 3.565%, 09/25/2036 (f) | 921326 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;745717 |
| &nbsp;&nbsp;&nbsp; 2006-AR16, 2.743%, 12/25/2036 (f) | 1076991 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;925661 |
| &nbsp;&nbsp;&nbsp; 2007-HY2, 3.375%, 12/25/2036 (f) | 13552048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11909573 |
| &nbsp;&nbsp;&nbsp; 2007-HY3, 3.291%, 03/25/2037 (f) | 2415639 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2166141 |
| &nbsp;&nbsp;&nbsp; 2007-HY5, 3.342%, 05/25/2037 (f) | 1173216 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1013169 |
| &nbsp;&nbsp;&nbsp; 2007-HY7, 3.390%, 07/25/2037 (f) | 206330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150727 |
| &nbsp;&nbsp;&nbsp; 2006-AR8, 3.676%, 08/25/2046 (f) | 1564721 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1366414 |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-1, 6.000%, 03/25/2035 | 1000210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;878506 |
| &nbsp;&nbsp;&nbsp; 2005-4, 5.500%, 06/25/2035 | 3119282 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2600984 |
| &nbsp;&nbsp;&nbsp; 2005-5, 5.500%, 07/25/2035 | 1051979 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;930087 |
| &nbsp;&nbsp;&nbsp; 2005-6, 5.500%, 08/25/2035 | 2591834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2168063 |
| &nbsp;&nbsp;&nbsp; 2005-6, 5.500%, 08/25/2035 | 566609 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;473967 |
| &nbsp;&nbsp;&nbsp; 2005-6, 5.500%, 08/25/2035 | 1177880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;998675 |
| &nbsp;&nbsp;&nbsp; 2005-6, 6.500%, 08/25/2035 | 285965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;246308 |
| &nbsp;&nbsp;&nbsp; 2005-9, 5.500%, 11/25/2035 | 394211 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;326274 |
| &nbsp;&nbsp;&nbsp; 2006-8, 4.176%, 10/25/2036 (i) | 2314473 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;861211 |
| &nbsp;&nbsp;&nbsp; 2007-HY1, 4.364% (1 Month LIBOR USD + 0.320%), 02/25/2037 (b) | 1782247 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1456957 |
| &nbsp;&nbsp;&nbsp; 2007-HY2, 3.390%, 04/25/2037 (f) | 1187290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;632565 |
| &nbsp;&nbsp;&nbsp; 2007-OC2, 4.664% (1 Month LIBOR USD + 0.620%), 06/25/2037 (b) | 3059354 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2705654 |
| &nbsp;&nbsp;&nbsp; 2007-OC1, 4.524% (1 Month LIBOR USD + 0.240%), 01/25/2047 (b) | 3661565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3210912 |
| Wells Fargo Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2007-PA1, 6.000%, 03/25/2037 | 821638 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700669 |
| &nbsp;&nbsp;&nbsp; 2007-PA6, 4.312%, 12/28/2037 (f) | 3482824 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3146844 |
| Wells Fargo Mortgage Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2004-J, 3.628%, 07/25/2034 (f) | 3366944 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3014340 |
| &nbsp;&nbsp;&nbsp; 2005-AR14, 4.076%, 08/25/2035 (f) | 578800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;544103 |
| &nbsp;&nbsp;&nbsp; 2006-AR1, 3.034%, 03/25/2036 (f) | 1563911 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1426133 |
| &nbsp;&nbsp;&nbsp; 2006-AR5, 2.755%, 04/25/2036 (f) | 1534225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1411680 |
| &nbsp;&nbsp;&nbsp; 2006-AR5, 2.802%, 04/25/2036 (f) | 2169122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2029309 |
| &nbsp;&nbsp;&nbsp; 2006-AR19, 4.504%, 12/25/2036 (f) | 1489405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1412627 |
| &nbsp;&nbsp;&nbsp; 2007-AR3, 2.975%, 04/25/2037 (f) | 734857 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;634728 |
| TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $693,032,277) |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 547475004 |
| **NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES - 18.39%** |  |  |
| Arbor Multifamily Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2022-MF4, 1.403%, 02/15/2055 (a)(f)(k) | 19700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1703351 |
| &nbsp;&nbsp;&nbsp; 2022-MF4, 3.403%, 02/15/2055 (a)(f) | 7852000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6227247 |
| BANK |  |  |
| &nbsp;&nbsp;&nbsp; 2019-BNK16, 1.102%, 02/15/2052 (f)(k) | 78226893 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3373973 |
| &nbsp;&nbsp;&nbsp; 2019-BNK17, 0.720%, 04/15/2052 (f)(k) | 123653000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3829064 |
| &nbsp;&nbsp;&nbsp; 2019-BNK17, 1.748%, 04/15/2052 (a)(f)(k) | 11541000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;911906 |
| &nbsp;&nbsp;&nbsp; 2019-BNK21, 1.232%, 10/17/2052 (a)(f)(k) | 18699333 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1104459 |
| &nbsp;&nbsp;&nbsp; 2019-BNK21, 2.808%, 10/17/2052 | 11582000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10492301 |
| &nbsp;&nbsp;&nbsp; 2019-BNK23, 0.266%, 12/15/2052 (f)(k) | 238421000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2766208 |
| &nbsp;&nbsp;&nbsp; 2019-BNK23, 0.810%, 12/15/2052 (f)(k) | 85077764 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3199792 |
| &nbsp;&nbsp;&nbsp; 2020-BNK29, 0.726%, 11/15/2053 (f)(k) | 132417000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5404812 |
| &nbsp;&nbsp;&nbsp; 2020-BNK29, 2.500%, 11/15/2053 (a) | 1250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;801003 |
| &nbsp;&nbsp;&nbsp; 2020-BNK29, 3.135%, 11/15/2053 (f) | 1170000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;849128 |
| &nbsp;&nbsp;&nbsp; 2020-BNK30, 2.500%, 12/15/2053 (a)(f) | 5550000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3510025 |
| &nbsp;&nbsp;&nbsp; 2020-BNK30, 2.757%, 12/15/2053 (f) | 3300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2332771 |
| &nbsp;&nbsp;&nbsp; 2021-BNK31, 1.739%, 02/15/2054 | 7250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6123204 |
| &nbsp;&nbsp;&nbsp; 2021-BNK32, 2.332%, 04/15/2054 | 10727500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9254143 |
| &nbsp;&nbsp;&nbsp; 2021-BNK32, 2.500%, 04/15/2054 (a) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3114336 |
| &nbsp;&nbsp;&nbsp; 2019-BNK20, 2.933%, 09/15/2062 | 2100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1906106 |
| &nbsp;&nbsp;&nbsp; 2019-BNK24, 0.303%, 11/15/2062 (f)(k) | 174693000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2266013 |
| &nbsp;&nbsp;&nbsp; 2020-BNK25, 0.997%, 01/15/2063 (f)(k) | 108757005 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5108099 |
| &nbsp;&nbsp;&nbsp; 2020-BNK26, 0.716%, 03/15/2063 (f)(k) | 226593000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8228294 |
| &nbsp;&nbsp;&nbsp; 2020-BNK28, 1.088%, 03/15/2063 (f)(k) | 29969467 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1796685 |
| &nbsp;&nbsp;&nbsp; 2020-BNK26, 2.041%, 03/15/2063 | 5200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4552184 |
| &nbsp;&nbsp;&nbsp; 2021-BNK34, 1.086%, 06/15/2063 (f)(k) | 95696350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5446902 |
| &nbsp;&nbsp;&nbsp; 2021-BNK34, 2.754%, 06/15/2063 (f) | 8000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5978093 |
| &nbsp;&nbsp;&nbsp; 2022-BNK40, 2.500%, 03/15/2064 (a) | 2470000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1496062 |
| &nbsp;&nbsp;&nbsp; 2021-BNK33, 2.218%, 05/15/2064 | 12599000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10794327 |
| &nbsp;&nbsp;&nbsp; 2021-BNK35, 1.153%, 06/15/2064 (f)(k) | 50634055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3036722 |
| &nbsp;&nbsp;&nbsp; 2021-BNK35, 2.067%, 06/15/2064 | 10400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8768322 |
| &nbsp;&nbsp;&nbsp; 2021-BNK35, 2.902%, 06/15/2064 (f) | 8000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5692002 |
| &nbsp;&nbsp;&nbsp; 2021-BNK36, 1.018%, 09/15/2064 (f)(k) | 93711996 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4511727 |
| &nbsp;&nbsp;&nbsp; 2021-BNK36, 2.283%, 09/15/2064 | 12250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10499459 |
| &nbsp;&nbsp;&nbsp; 2021-BNK37, 2.487%, 11/15/2064 | 14400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12401070 |
| Barclays Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2019-C3, 0.933%, 05/15/2052 (f)(k) | 56340000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2344572 |
| &nbsp;&nbsp;&nbsp; 2019-C4, 1.275%, 08/15/2052 (f)(k) | 43170000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2599439 |
| &nbsp;&nbsp;&nbsp; 2019-C5, 0.500%, 11/15/2052 (f)(k) | 174774000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3363036 |
| &nbsp;&nbsp;&nbsp; 2019-C5, 1.480%, 11/15/2052 (a)(f)(k) | 12996000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;896877 |
| BBCMS Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2020-C6, 0.790%, 02/15/2053 (f)(k) | 59000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2414634 |
| &nbsp;&nbsp;&nbsp; 2020-C6, 1.164%, 02/15/2053 (f)(k) | 93047488 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4934299 |
| &nbsp;&nbsp;&nbsp; 2020-C7, 1.100%, 04/15/2053 (f)(k) | 17140000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1023004 |
| &nbsp;&nbsp;&nbsp; 2020-C7, 1.737%, 04/15/2053 (f)(k) | 21999520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1624013 |
| &nbsp;&nbsp;&nbsp; 2021-C9, 1.118%, 02/15/2054 (f)(k) | 68467000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4370488 |
| &nbsp;&nbsp;&nbsp; 2021-C9, 1.960%, 02/15/2054 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8572966 |
| &nbsp;&nbsp;&nbsp; 2021-C9, 2.534%, 02/15/2054 | 8500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6586338 |
| &nbsp;&nbsp;&nbsp; 2021-C10, 1.146%, 07/15/2054 (f)(k) | 73112500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4928901 |
| &nbsp;&nbsp;&nbsp; 2021-C10, 1.422%, 07/15/2054 (f)(k) | 65263653 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4806923 |
| &nbsp;&nbsp;&nbsp; 2021-C10, 2.268%, 07/15/2054 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8539054 |
| &nbsp;&nbsp;&nbsp; 2021-C11, 1.083%, 09/15/2054 (f)(k) | 29540000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1955451 |
| &nbsp;&nbsp;&nbsp; 2021-C12, 0.712%, 11/15/2054 (f)(k) | 59992000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2621009 |
| &nbsp;&nbsp;&nbsp; 2021-C12, 1.074%, 11/15/2054 (f)(k) | 101714368 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5790202 |
| &nbsp;&nbsp;&nbsp; 2021-C12, 2.500%, 11/15/2054 (a) | 4750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2867719 |
| &nbsp;&nbsp;&nbsp; 2021-C12, 2.542%, 11/15/2054 | 12000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10320092 |
| &nbsp;&nbsp;&nbsp; 2021-C12, 2.758%, 11/15/2054 | 9000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6651572 |
| &nbsp;&nbsp;&nbsp; 2022-C14, 0.373%, 02/15/2055 (f)(k) | 166823000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3951403 |
| &nbsp;&nbsp;&nbsp; 2022-C14, 0.850%, 02/15/2055 (f)(k) | 99985139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4408005 |
| &nbsp;&nbsp;&nbsp; 2022-C15, 1.459%, 04/15/2055 (a)(f)(k) | 25000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2347770 |
| &nbsp;&nbsp;&nbsp; 2022-C17, 1.326%, 09/15/2055 (f)(k) | 65287756 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5359257 |
| Benchmark Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2019-B9, 1.199%, 03/15/2052 (f)(k) | 29563922 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1423113 |
| &nbsp;&nbsp;&nbsp; 2019-B9, 2.168%, 03/15/2052 (a)(f)(k) | 11513000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1106166 |
| &nbsp;&nbsp;&nbsp; 2019-B12, 0.533%, 08/15/2052 (a)(f)(k) | 93260000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2069402 |
| &nbsp;&nbsp;&nbsp; 2020-B16, 0.240%, 02/15/2053 (a)(f)(k) | 70467000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1021828 |
| &nbsp;&nbsp;&nbsp; 2020-B16, 0.926%, 02/15/2053 (f)(k) | 102881159 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5051146 |
| &nbsp;&nbsp;&nbsp; 2020-B20, 0.696%, 10/15/2053 (f)(k) | 79394000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2743857 |
| &nbsp;&nbsp;&nbsp; 2020-B21, 1.798%, 12/17/2053 | 5966000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5087023 |
| &nbsp;&nbsp;&nbsp; 2020-B22, 1.731%, 01/15/2054 | 2490000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2086227 |
| &nbsp;&nbsp;&nbsp; 2021-B23, 1.012%, 02/15/2054 (a)(f)(k) | 105441000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6198571 |
| &nbsp;&nbsp;&nbsp; 2021-B23, 1.379%, 02/15/2054 (f)(k) | 125546873 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8619282 |
| &nbsp;&nbsp;&nbsp; 2021-B23, 1.766%, 02/15/2054 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4224469 |
| &nbsp;&nbsp;&nbsp; 2021-B24, 0.708%, 03/15/2054 (f)(k) | 99123000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4021519 |
| &nbsp;&nbsp;&nbsp; 2021-B24, 1.269%, 03/15/2054 (f)(k) | 66591114 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4130547 |
| &nbsp;&nbsp;&nbsp; 2021-B24, 2.256%, 03/15/2054 | 5400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4634462 |
| &nbsp;&nbsp;&nbsp; 2021-B25, 0.779%, 04/15/2054 (f)(k) | 93350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4212092 |
| &nbsp;&nbsp;&nbsp; 2021-B25, 1.221%, 04/15/2054 (f)(k) | 79271048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5048369 |
| &nbsp;&nbsp;&nbsp; 2021-B26, 1.481%, 06/15/2054 (a)(f)(k) | 10836000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;947758 |
| &nbsp;&nbsp;&nbsp; 2021-B26, 2.000%, 06/15/2054 (a) | 2250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1305858 |
| &nbsp;&nbsp;&nbsp; 2021-B26, 2.688%, 06/15/2054 (f) | 6000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4423764 |
| &nbsp;&nbsp;&nbsp; 2021-B27, 1.383%, 07/15/2054 (f)(k) | 100575629 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7212701 |
| &nbsp;&nbsp;&nbsp; 2021-B27, 1.604%, 07/15/2054 (a)(f)(k) | 21507000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2062336 |
| &nbsp;&nbsp;&nbsp; 2021-B27, 2.000%, 07/15/2054 (a) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2926824 |
| &nbsp;&nbsp;&nbsp; 2021-B27, 2.355%, 07/15/2054 | 6000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4406816 |
| &nbsp;&nbsp;&nbsp; 2021-B27, 2.703%, 07/15/2054 | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1429523 |
| &nbsp;&nbsp;&nbsp; 2021-B28, 1.067%, 08/15/2054 (f)(k) | 32491000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2064829 |
| &nbsp;&nbsp;&nbsp; 2021-B28, 1.396%, 08/15/2054 (f)(k) | 86131938 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6177856 |
| &nbsp;&nbsp;&nbsp; 2021-B28, 1.980%, 08/15/2054 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8340653 |
| &nbsp;&nbsp;&nbsp; 2021-B29, 1.417%, 09/15/2054 (a)(f)(k) | 27615000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2288648 |
| &nbsp;&nbsp;&nbsp; 2021-B29, 2.000%, 09/15/2054 (a) | 8953000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4681695 |
| &nbsp;&nbsp;&nbsp; 2021-B30, 0.594%, 11/15/2054 (a)(f)(k) | 83683000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3275654 |
| &nbsp;&nbsp;&nbsp; 2021-B30, 1.410%, 11/15/2054 (a)(f)(k) | 18582000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1550653 |
| &nbsp;&nbsp;&nbsp; 2021-B30, 2.000%, 11/15/2054 (a) | 2250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1172924 |
| &nbsp;&nbsp;&nbsp; 2021-B30, 2.000%, 11/15/2054 (a) | 1500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;859742 |
| &nbsp;&nbsp;&nbsp; 2021-B30, 2.431%, 11/15/2054 | 5250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4494790 |
| &nbsp;&nbsp;&nbsp; 2021-B30, 2.990%, 11/15/2054 (f) | 7250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5056425 |
| &nbsp;&nbsp;&nbsp; 2021-B31, 0.541%, 12/15/2054 (a)(f)(k) | 124409000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4055659 |
| &nbsp;&nbsp;&nbsp; 2021-B31, 0.886%, 12/15/2054 (f)(k) | 143664278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7012296 |
| &nbsp;&nbsp;&nbsp; 2021-B31, 1.256%, 12/15/2054 (a)(f)(k) | 31991000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2422026 |
| &nbsp;&nbsp;&nbsp; 2021-B31, 2.250%, 12/15/2054 (a) | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1701388 |
| &nbsp;&nbsp;&nbsp; 2021-B31, 2.615%, 12/15/2054 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8675129 |
| &nbsp;&nbsp;&nbsp; 2022-B32, 1.639%, 01/15/2055 (a)(f)(k) | 39202000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3747731 |
| &nbsp;&nbsp;&nbsp; 2022-B32, 2.000%, 01/15/2055 (a) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2659284 |
| &nbsp;&nbsp;&nbsp; 2022-B32, 3.528%, 01/15/2055 (f) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8161540 |
| &nbsp;&nbsp;&nbsp; 2022-B33, 1.736%, 03/15/2055 (a)(f)(k) | 21919000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2294518 |
| &nbsp;&nbsp;&nbsp; 2019-B13, 0.536%, 08/15/2057 (a)(f)(k) | 82774000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1827460 |
| &nbsp;&nbsp;&nbsp; 2019-B13, 1.637%, 08/15/2057 (a)(f)(k) | 12071000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;944268 |
| BMO Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2022-C1, 1.892%, 02/15/2055 (a)(f)(k) | 30550000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3585928 |
| California Housing Finance Agency |  |  |
| &nbsp;&nbsp;&nbsp; 0.797%, 11/20/2035 (h)(k) | 28294324 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1598629 |
| &nbsp;&nbsp;&nbsp; 2021-3, 0.788%, 08/20/2036 (f)(k) | 25903985 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1595168 |
| Cantor Commercial Real Estate Lending |  |  |
| &nbsp;&nbsp;&nbsp; 2019-CF2, 0.748%, 11/15/2052 (f)(k) | 134736000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4638556 |
| CCUBS Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2017-C1, 0.426%, 11/15/2050 (f)(k) | 40062667 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;545990 |
| CD Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2017-CD3, 0.714%, 02/10/2050 (f)(k) | 61857000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1316076 |
| &nbsp;&nbsp;&nbsp; 2018-CD7, 4.213%, 08/15/2051 | 3236000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3113272 |
| CGMS Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2017-B1, 0.296%, 08/15/2050 (f)(k) | 38016000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;317658 |
| Citigroup Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2013-GC17, 5.252%, 11/10/2046 (f) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4743775 |
| &nbsp;&nbsp;&nbsp; 2014-GC19, 4.805%, 03/11/2047 (f) | 3030000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2950270 |
| &nbsp;&nbsp;&nbsp; 2014-GC19, 5.258%, 03/11/2047 (f) | 2882579 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2785658 |
| &nbsp;&nbsp;&nbsp; 2016-C1, 4.117%, 05/10/2049 | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2685067 |
| &nbsp;&nbsp;&nbsp; 2016-C1, 5.107%, 05/10/2049 (f) | 8348000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7462350 |
| &nbsp;&nbsp;&nbsp; 2016-P6, 4.302%, 12/10/2049 (f) | 6835000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6037275 |
| &nbsp;&nbsp;&nbsp; 2017-P7, 0.754%, 04/14/2050 (f)(k) | 45124000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1025935 |
| &nbsp;&nbsp;&nbsp; 2017-P8, 4.192%, 09/15/2050 | 4160000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3682479 |
| &nbsp;&nbsp;&nbsp; 2017-P8, 4.405%, 09/15/2050 (f) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4310389 |
| &nbsp;&nbsp;&nbsp; 2017-C4, 0.371%, 10/12/2050 (f)(k) | 42746500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;515595 |
| &nbsp;&nbsp;&nbsp; 2017-C4, 1.187%, 10/12/2050 (f)(k) | 28933729 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1026994 |
| &nbsp;&nbsp;&nbsp; 2018-B2, 0.545%, 03/10/2051 (f)(k) | 49202000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;894635 |
| &nbsp;&nbsp;&nbsp; 2018-C5, 0.493%, 06/10/2051 (a)(f)(k) | 28400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;503347 |
| &nbsp;&nbsp;&nbsp; 2018-C6, 4.343%, 11/10/2051 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4836453 |
| &nbsp;&nbsp;&nbsp; 2020-GC46, 0.438%, 02/15/2053 (a)(f)(k) | 92457000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1966098 |
| &nbsp;&nbsp;&nbsp; 2020-GC46, 1.102%, 02/15/2053 (f)(k) | 89321570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4502316 |
| &nbsp;&nbsp;&nbsp; 2019-GC41, 1.169%, 08/10/2056 (f)(k) | 52787945 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2484380 |
| &nbsp;&nbsp;&nbsp; 2019-GC41, 3.018%, 08/10/2056 | 10339000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8685382 |
| &nbsp;&nbsp;&nbsp; 2019-C7, 0.411%, 12/15/2072 (a)(f)(k) | 50711000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;895090 |
| &nbsp;&nbsp;&nbsp; 2019-C7, 0.995%, 12/15/2072 (f)(k) | 75965774 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3413887 |
| &nbsp;&nbsp;&nbsp; 2019-C7, 1.328%, 12/15/2072 (a)(f)(k) | 39933000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2611674 |
| &nbsp;&nbsp;&nbsp; 2019-C7, 3.667%, 12/15/2072 (f) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8358343 |
| COMM Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2014-CR18, 4.456%, 07/15/2047 (f) | 4550700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4323257 |
| &nbsp;&nbsp;&nbsp; 2013-CR11, 1.064%, 08/10/2050 (f)(k) | 48793580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;189661 |
| &nbsp;&nbsp;&nbsp; 2019-GC44, 1.142%, 08/15/2057 (a)(f)(k) | 19460000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1108517 |
| CSAIL Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2016-C5, 1.000%, 11/15/2048 (a)(f)(k) | 46821000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1111034 |
| &nbsp;&nbsp;&nbsp; 2015-C1, 0.500%, 04/15/2050 (a)(f)(k) | 62192000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;529366 |
| &nbsp;&nbsp;&nbsp; 2017-C8, 0.447%, 06/15/2050 (f)(k) | 74773000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1010991 |
| &nbsp;&nbsp;&nbsp; 2019-C17, 1.496%, 09/15/2052 (f)(k) | 84842606 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5235085 |
| &nbsp;&nbsp;&nbsp; 2019-C18, 1.191%, 12/15/2052 (f)(k) | 90821556 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4278858 |
| &nbsp;&nbsp;&nbsp; 2019-C18, 4.088%, 12/15/2052 (f) | 3216000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2564332 |
| Freddie Mac Multifamily Structured Credit Risk |  |  |
| &nbsp;&nbsp;&nbsp; 2021-MN3, 7.521% (SOFR30A + 4.000%), 11/25/2051 (a)(b) | 7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6216953 |
| FREMF Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2019-KF62, 5.855% (1 Month LIBOR USD + 2.050%), 04/25/2026 (a)(b) | 1500847 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1472556 |
| &nbsp;&nbsp;&nbsp; 2018-KF48, 5.855% (1 Month LIBOR USD + 2.050%), 06/25/2028 (a)(b) | 4516885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4353977 |
| &nbsp;&nbsp;&nbsp; 2018-KF50, 5.705% (1 Month LIBOR USD + 1.900%), 07/25/2028 (a)(b) | 2452343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2418912 |
| GS Mortgage Securities Corp. II |  |  |
| &nbsp;&nbsp;&nbsp; 2012-BWTR, 3.255%, 11/05/2034 (a)(e) | 6608000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5721761 |
| &nbsp;&nbsp;&nbsp; 2018-GS10, 1.555%, 07/10/2051 (a)(f)(k) | 24049000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1620968 |
| GS Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2015-GC32, 4.548%, 07/10/2048 (f) | 5853000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5479885 |
| &nbsp;&nbsp;&nbsp; 2016-GS3, 3.395%, 10/10/2049 (f) | 10417000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8884879 |
| &nbsp;&nbsp;&nbsp; 2015-GC30, 4.161%, 05/10/2050 (f) | 2960000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2733252 |
| &nbsp;&nbsp;&nbsp; 2017-GS8, 0.527%, 11/10/2050 (f)(k) | 44642000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;756302 |
| &nbsp;&nbsp;&nbsp; 2019-GC38, 1.994%, 02/10/2052 (a)(f)(k) | 20916000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1924021 |
| &nbsp;&nbsp;&nbsp; 2019-GC39, 0.789%, 05/10/2052 (f)(k) | 69588000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2428788 |
| &nbsp;&nbsp;&nbsp; 2019-GC39, 1.776%, 05/10/2052 (a)(f)(k) | 8215000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;674654 |
| &nbsp;&nbsp;&nbsp; 2019-GSA1, 0.947%, 11/10/2052 (f)(k) | 70642670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3024340 |
| &nbsp;&nbsp;&nbsp; 2020-GSA2, 1.053%, 12/12/2053 (a)(f)(k) | 73324000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4390304 |
| JP Morgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2015-JP1, 4.883%, 01/15/2049 (f) | 7485000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6772985 |
| &nbsp;&nbsp;&nbsp; 2007-CB20, 0.000%, 02/12/2051 (a)(e)(f)(h)(k) | 190982 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; - |
| JPMBB Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2015-C30, 4.372%, 07/15/2048 (f) | 3085000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2836904 |
| &nbsp;&nbsp;&nbsp; 2015-C32, 0.500%, 11/15/2048 (a)(f)(k) | 23066000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;263827 |
| JPMCC Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2017-JP6, 0.705%, 07/15/2050 (f)(k) | 68830000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1745928 |
| JPMDB Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2016-C4, 3.638%, 12/15/2049 (f) | 5500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4718578 |
| Morgan Stanley Bank of America Merrill Lynch Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2013-C12, 4.482%, 10/15/2046 (f) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4896776 |
| &nbsp;&nbsp;&nbsp; 2015-C27, 4.649%, 12/15/2047 (f) | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2800597 |
| &nbsp;&nbsp;&nbsp; 2016-C31, 1.408%, 11/15/2049 (a)(f)(k) | 21212500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;835486 |
| &nbsp;&nbsp;&nbsp; 2015-C23, 4.281%, 07/15/2050 (f) | 3845000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3554157 |
| &nbsp;&nbsp;&nbsp; 2017-C34, 2.700%, 11/15/2052 (a) | 4953000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3284020 |
| &nbsp;&nbsp;&nbsp; 2017-C34, 4.111%, 11/15/2052 (f) | 5054000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4432754 |
| Morgan Stanley Capital I Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2016-BNK2, 0.658%, 11/15/2049 (f)(k) | 58680000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1075158 |
| &nbsp;&nbsp;&nbsp; 2017-H1, 2.309%, 06/15/2050 (a)(f)(k) | 8725000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;674875 |
| &nbsp;&nbsp;&nbsp; 2017-H1, 4.281%, 06/15/2050 (f) | 5380000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4636649 |
| &nbsp;&nbsp;&nbsp; 2018-H3, 0.533%, 07/15/2051 (f)(k) | 135712000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2463539 |
| &nbsp;&nbsp;&nbsp; 2018-H3, 2.025%, 07/15/2051 (a)(f)(k) | 15363500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1229876 |
| &nbsp;&nbsp;&nbsp; 2018-H3, 4.120%, 07/15/2051 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4808155 |
| &nbsp;&nbsp;&nbsp; 2019-L2, 0.787%, 03/15/2052 (f)(k) | 127093000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4299442 |
| &nbsp;&nbsp;&nbsp; 2019-H7, 0.806%, 07/15/2052 (f)(k) | 130723000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4704289 |
| &nbsp;&nbsp;&nbsp; 2019-H7, 3.000%, 07/15/2052 (a) | 2402000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1683944 |
| &nbsp;&nbsp;&nbsp; 2019-H7, 4.128%, 07/15/2052 | 9593000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7671985 |
| &nbsp;&nbsp;&nbsp; 2021-L5, 0.837%, 05/15/2054 (f)(k) | 70387500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3418496 |
| &nbsp;&nbsp;&nbsp; 2021-L5, 2.500%, 05/15/2054 (a) | 3500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1985534 |
| &nbsp;&nbsp;&nbsp; 2021-L5, 3.102%, 05/15/2054 | 6627000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5035595 |
| &nbsp;&nbsp;&nbsp; 2021-L6, 2.250%, 06/15/2054 (f) | 11900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10035315 |
| &nbsp;&nbsp;&nbsp; 2021-L6, 2.951%, 06/15/2054 (f) | 7500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5687927 |
| &nbsp;&nbsp;&nbsp; 2021-L7, 0.526%, 10/15/2054 (f)(k) | 143080000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4377776 |
| &nbsp;&nbsp;&nbsp; 2021-L7, 2.336%, 10/15/2054 | 15100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12720462 |
| UBS Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2017-C1, 1.105%, 06/15/2050 (f)(k) | 13000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;473950 |
| &nbsp;&nbsp;&nbsp; 2017-C7, 0.510%, 12/15/2050 (f)(k) | 170396000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2920536 |
| &nbsp;&nbsp;&nbsp; 2017-C6, 0.606%, 12/15/2050 (f)(k) | 63420500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1524585 |
| &nbsp;&nbsp;&nbsp; 2018-C12, 0.340%, 08/15/2051 (f)(k) | 139858000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2388159 |
| &nbsp;&nbsp;&nbsp; 2018-C12, 0.946%, 08/15/2051 (f)(k) | 45779790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1595856 |
| &nbsp;&nbsp;&nbsp; 2018-C13, 0.376%, 10/15/2051 (f)(k) | 128678000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2304095 |
| &nbsp;&nbsp;&nbsp; 2018-C13, 2.138%, 10/15/2051 (a)(f)(k) | 16442000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1552699 |
| &nbsp;&nbsp;&nbsp; 2018-C13, 4.241%, 10/15/2051 | 3274000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3144201 |
| &nbsp;&nbsp;&nbsp; 2018-C14, 0.427%, 12/15/2051 (f)(k) | 114392000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2037150 |
| &nbsp;&nbsp;&nbsp; 2019-C17, 0.993%, 10/15/2052 (f)(k) | 128213000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6108375 |
| &nbsp;&nbsp;&nbsp; 2019-C18, 2.987%, 12/15/2052 | 4500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4081959 |
| &nbsp;&nbsp;&nbsp; 2019-C18, 3.378%, 12/15/2052 (f) | 9000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7650526 |
| Washington State Housing Finance Commission |  |  |
| &nbsp;&nbsp;&nbsp; 0.726%, 12/20/2035 | 20791426 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1075748 |
| Wells Fargo Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2015-NXS1, 3.658%, 05/15/2048 (f) | 1320000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1217652 |
| &nbsp;&nbsp;&nbsp; 2015-C28, 4.219%, 05/15/2048 (f) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8936173 |
| &nbsp;&nbsp;&nbsp; 2015-C28, 4.219%, 05/15/2048 (f) | 4376000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3753934 |
| &nbsp;&nbsp;&nbsp; 2016-LC24, 1.125%, 10/15/2049 (f)(k) | 66264075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2100922 |
| &nbsp;&nbsp;&nbsp; 2016-C37, 3.337%, 12/15/2049 (a)(f) | 3350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2545406 |
| &nbsp;&nbsp;&nbsp; 2016-C37, 4.637%, 12/15/2049 (f) | 7213000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6380378 |
| &nbsp;&nbsp;&nbsp; 2017-RB1, 0.881%, 03/15/2050 (f)(k) | 69254209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1895675 |
| &nbsp;&nbsp;&nbsp; 2017-C42, 0.465%, 12/15/2050 (f)(k) | 116750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1855706 |
| &nbsp;&nbsp;&nbsp; 2018-C48, 0.376%, 01/15/2052 (f)(k) | 138642000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2102035 |
| &nbsp;&nbsp;&nbsp; 2018-C48, 4.245%, 01/15/2052 | 7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6744275 |
| &nbsp;&nbsp;&nbsp; 2019-C49, 0.773%, 03/15/2052 (f)(k) | 125812000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4172568 |
| &nbsp;&nbsp;&nbsp; 2019-C49, 3.933%, 03/15/2052 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4773798 |
| &nbsp;&nbsp;&nbsp; 2019-C49, 4.546%, 03/15/2052 | 4647000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4109563 |
| &nbsp;&nbsp;&nbsp; 2019-C50, 1.055%, 05/15/2052 (f)(k) | 36427311 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1708955 |
| &nbsp;&nbsp;&nbsp; 2019-C51, 0.824%, 06/15/2052 (f)(k) | 130394000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4644034 |
| &nbsp;&nbsp;&nbsp; 2019-C52, 1.256%, 08/15/2052 (f)(k) | 113763146 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6679398 |
| &nbsp;&nbsp;&nbsp; 2019-C52, 1.750%, 08/15/2052 (f)(k) | 57584987 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4157809 |
| &nbsp;&nbsp;&nbsp; 2019-C53, 0.581%, 10/15/2052 (f)(k) | 105325000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2964362 |
| &nbsp;&nbsp;&nbsp; 2019-C53, 3.514%, 10/15/2052 (f) | 5200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4160854 |
| &nbsp;&nbsp;&nbsp; 2020-C55, 0.946%, 02/15/2053 (f)(k) | 58030370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2693439 |
| &nbsp;&nbsp;&nbsp; 2020-C56, 0.371%, 06/15/2053 (f)(k) | 127035000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2299384 |
| &nbsp;&nbsp;&nbsp; 2020-C56, 2.422%, 06/15/2053 | 2250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1985339 |
| &nbsp;&nbsp;&nbsp; 2020-C58, 1.252%, 07/15/2053 (f)(k) | 109974000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7622870 |
| &nbsp;&nbsp;&nbsp; 2020-C57, 0.812%, 08/15/2053 (f)(k) | 74972000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3338571 |
| &nbsp;&nbsp;&nbsp; 2020-C57, 1.914%, 08/15/2053 | 7250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6226871 |
| &nbsp;&nbsp;&nbsp; 2021-C59, 1.039%, 04/15/2054 (f)(k) | 65782000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3831492 |
| &nbsp;&nbsp;&nbsp; 2021-C59, 1.582%, 04/15/2054 (a)(f)(k) | 40274000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3575626 |
| &nbsp;&nbsp;&nbsp; 2021-C59, 3.284%, 04/15/2054 | 7648000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5627986 |
| &nbsp;&nbsp;&nbsp; 2021-C60, 1.225%, 08/15/2054 (f)(k) | 40551000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3047546 |
| &nbsp;&nbsp;&nbsp; 2021-C60, 1.672%, 08/15/2054 (f)(k) | 41295410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3705239 |
| &nbsp;&nbsp;&nbsp; 2021-C60, 2.730%, 08/15/2054 | 6814678 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5069996 |
| &nbsp;&nbsp;&nbsp; 2021-C60, 2.738%, 08/15/2054 | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2088700 |
| &nbsp;&nbsp;&nbsp; 2021-C61, 1.520%, 11/15/2054 (a)(f)(k) | 9132000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;828397 |
| &nbsp;&nbsp;&nbsp; 2021-C61, 2.525%, 11/15/2054 | 15000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12765670 |
| &nbsp;&nbsp;&nbsp; 2021-C61, 3.113%, 11/15/2054 | 4221000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3243417 |
| &nbsp;&nbsp;&nbsp; 2015-C30, 4.400%, 09/15/2058 (f) | 5800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5360345 |
| &nbsp;&nbsp;&nbsp; 2018-C47, 0.279%, 09/15/2061 (f)(k) | 164144000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1534960 |
| &nbsp;&nbsp;&nbsp; 2018-C47, 4.673%, 09/15/2061 (f) | 8000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7466184 |
| WFRBS Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2013-UBS1, 5.192%, 03/15/2046 (f) | 7500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7313305 |
| TOTAL NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $1,145,280,986) |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 910194659 |
| **AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES - 8.48%** |  |  |
| California Housing Finance Agency |  |  |
| &nbsp;&nbsp;&nbsp; 2021-2, 0.844%, 03/25/2035 (f)(k) | 32041799 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1827344 |
| Freddie Mac Multiclass Certificates Series |  |  |
| &nbsp;&nbsp;&nbsp; 2021-RR17, 2.038%, 08/27/2027 (f)(k) | 70015000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5013823 |
| &nbsp;&nbsp;&nbsp; 2020-RR09, 2.676%, 08/27/2029 (f)(k) | 42360000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5165950 |
| Freddie Mac Multifamily ML Certificates |  |  |
| &nbsp;&nbsp;&nbsp; 2020-ML07, 2.015%, 10/25/2036 (a)(f)(k) | 24990823 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4042016 |
| &nbsp;&nbsp;&nbsp; 2019-ML06, 1.132%, 06/25/2037 (f)(k) | 10757430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;951280 |
| &nbsp;&nbsp;&nbsp; 2021-ML08, 1.869%, 07/25/2037 (f)(k) | 33098216 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4990218 |
| &nbsp;&nbsp;&nbsp; 2021-ML10, 2.126%, 01/25/2038 (f)(k) | 14288932 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2512137 |
| &nbsp;&nbsp;&nbsp; 2021-ML11, 0.771%, 03/25/2038 (a)(f)(k) | 34315424 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2013972 |
| &nbsp;&nbsp;&nbsp; 2021-ML10, 1.578%, 06/25/2038 (f)(k) | 15165540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1961359 |
| &nbsp;&nbsp;&nbsp; 2021-ML09, 1.552%, 02/25/2040 (a)(f)(k) | 44046100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5854608 |
| &nbsp;&nbsp;&nbsp; 2021-ML12, 1.300%, 07/25/2041 (f)(k) | 18122650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1735062 |
| Freddie Mac Multifamily Structured Pass Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp; K723, 1.036%, 08/25/2023 (f)(k) | 62330514 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;258971 |
| &nbsp;&nbsp;&nbsp; K723, 0.963%, 09/25/2023 (f)(k) | 61645000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;336995 |
| &nbsp;&nbsp;&nbsp; K728, 0.504%, 08/25/2024 (f)(k) | 57172915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;369789 |
| &nbsp;&nbsp;&nbsp; K729, 0.466%, 10/25/2024 (f)(k) | 46812190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;225766 |
| &nbsp;&nbsp;&nbsp; K042, 1.154%, 12/25/2024 (f)(k) | 112835240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1839756 |
| &nbsp;&nbsp;&nbsp; K046, 0.462%, 03/25/2025 (f)(k) | 433143186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3001206 |
| &nbsp;&nbsp;&nbsp; K049, 0.694%, 07/25/2025 (f)(k) | 89465874 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1085928 |
| &nbsp;&nbsp;&nbsp; K734, 0.785%, 02/25/2026 (f)(k) | 64230131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1049193 |
| &nbsp;&nbsp;&nbsp; K735, 1.094%, 05/25/2026 (f)(k) | 58696515 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1563247 |
| &nbsp;&nbsp;&nbsp; K735, 1.501%, 05/25/2026 (f)(k) | 70547000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2887122 |
| &nbsp;&nbsp;&nbsp; K737, 1.121%, 10/25/2026 (f)(k) | 20050000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;681133 |
| &nbsp;&nbsp;&nbsp; K061, 0.183%, 11/25/2026 (f)(k) | 72512000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;255641 |
| &nbsp;&nbsp;&nbsp; K062, 0.305%, 12/25/2026 (f)(k) | 79423000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;615616 |
| &nbsp;&nbsp;&nbsp; K063, 0.416%, 01/25/2027 (f)(k) | 368730952 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3536941 |
| &nbsp;&nbsp;&nbsp; K064, 0.738%, 03/25/2027 (f)(k) | 123937232 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2685137 |
| &nbsp;&nbsp;&nbsp; K738, 1.482%, 03/25/2027 (f)(k) | 24099000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1207820 |
| &nbsp;&nbsp;&nbsp; K065, 0.693%, 05/25/2027 (f)(k) | 57193000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1266030 |
| &nbsp;&nbsp;&nbsp; K066, 0.888%, 06/25/2027 (f)(k) | 31300377 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;857139 |
| &nbsp;&nbsp;&nbsp; KW03, 0.972%, 06/25/2027 (f)(k) | 14979217 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;386446 |
| &nbsp;&nbsp;&nbsp; K067, 0.710%, 07/25/2027 (f)(k) | 40049636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;883595 |
| &nbsp;&nbsp;&nbsp; K068, 0.557%, 08/25/2027 (f)(k) | 102181774 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1738664 |
| &nbsp;&nbsp;&nbsp; K069, 0.477%, 09/25/2027 (f)(k) | 28780419 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;424744 |
| &nbsp;&nbsp;&nbsp; K739, 1.666%, 09/25/2027 (f)(k) | 32621072 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2041613 |
| &nbsp;&nbsp;&nbsp; K072, 0.494%, 12/25/2027 (f)(k) | 60419444 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;944283 |
| &nbsp;&nbsp;&nbsp; K073, 0.336%, 01/25/2028 (f)(k) | 54203000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;593230 |
| &nbsp;&nbsp;&nbsp; K073, 0.436%, 01/25/2028 (f)(k) | 155346537 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2224718 |
| &nbsp;&nbsp;&nbsp; K742, 1.016%, 04/25/2028 (f)(k) | 89849000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3866786 |
| &nbsp;&nbsp;&nbsp; K743, 1.391%, 05/25/2028 (f)(k) | 99488000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6003464 |
| &nbsp;&nbsp;&nbsp; KW06, 0.247%, 06/25/2028 (f)(k) | 574282158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3903453 |
| &nbsp;&nbsp;&nbsp; K080, 0.265%, 07/25/2028 (f)(k) | 427696869 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3300195 |
| &nbsp;&nbsp;&nbsp; K081, 0.217%, 08/25/2028 (f)(k) | 153845029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;848271 |
| &nbsp;&nbsp;&nbsp; K084, 0.333%, 10/25/2028 (f)(k) | 337061875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4031294 |
| &nbsp;&nbsp;&nbsp; K747, 0.486%, 12/25/2028 (f)(k) | 160000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3354640 |
| &nbsp;&nbsp;&nbsp; K089, 0.600%, 01/25/2029 (f)(k) | 53965000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1392070 |
| &nbsp;&nbsp;&nbsp; K748, 0.638%, 01/25/2029 (f)(k) | 175000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5180718 |
| &nbsp;&nbsp;&nbsp; K091, 0.635%, 03/25/2029 (f)(k) | 53659000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1481638 |
| &nbsp;&nbsp;&nbsp; K090, 0.771%, 03/25/2029 (f)(k) | 50517000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1746241 |
| &nbsp;&nbsp;&nbsp; KW09, 0.942%, 05/25/2029 (f)(k) | 63012321 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2438665 |
| &nbsp;&nbsp;&nbsp; K093, 1.093%, 05/25/2029 (f)(k) | 54380166 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2637808 |
| &nbsp;&nbsp;&nbsp; K094, 1.015%, 06/25/2029 (f)(k) | 195335070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8952226 |
| &nbsp;&nbsp;&nbsp; K097, 1.220%, 07/25/2029 (f) | 72736824 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4213892 |
| &nbsp;&nbsp;&nbsp; KG02, 1.148%, 08/25/2029 (f)(k) | 31981124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1641697 |
| &nbsp;&nbsp;&nbsp; K098, 1.268%, 08/25/2029 (f)(k) | 61860579 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3748695 |
| &nbsp;&nbsp;&nbsp; K098, 1.517%, 08/25/2029 (f)(k) | 24691000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1902244 |
| &nbsp;&nbsp;&nbsp; K099, 1.003%, 09/25/2029 (f)(k) | 210301858 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10004522 |
| &nbsp;&nbsp;&nbsp; K100, 1.035%, 09/25/2029 (f)(k) | 62086000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3273186 |
| &nbsp;&nbsp;&nbsp; K102, 0.945%, 10/25/2029 (f)(k) | 165346317 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7479341 |
| &nbsp;&nbsp;&nbsp; K101, 1.206%, 10/25/2029 (f)(k) | 65686000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4102557 |
| &nbsp;&nbsp;&nbsp; K103, 0.758%, 11/25/2029 (f)(k) | 125198162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4496166 |
| &nbsp;&nbsp;&nbsp; K105, 1.889%, 01/25/2030 (f)(k) | 64122000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6573210 |
| &nbsp;&nbsp;&nbsp; K107, 1.666%, 02/25/2030 (f)(k) | 118898000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10631455 |
| &nbsp;&nbsp;&nbsp; K108, 1.780%, 03/25/2030 (f)(k) | 70601000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6944773 |
| &nbsp;&nbsp;&nbsp; K108, 1.810%, 03/25/2030 (f)(k) | 16043362 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1535308 |
| &nbsp;&nbsp;&nbsp; K110, 1.814%, 04/25/2030 (f)(k) | 29892062 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2775711 |
| &nbsp;&nbsp;&nbsp; K112, 1.537%, 05/25/2030 (f)(k) | 96355290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7970770 |
| &nbsp;&nbsp;&nbsp; K111, 1.681%, 05/25/2030 (f)(k) | 108791826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9759475 |
| &nbsp;&nbsp;&nbsp; K112, 1.768%, 05/25/2030 (f)(k) | 44272000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4436209 |
| &nbsp;&nbsp;&nbsp; K114, 1.211%, 06/25/2030 (f)(k) | 136240592 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8927737 |
| &nbsp;&nbsp;&nbsp; K115, 1.428%, 06/25/2030 (f)(k) | 54084506 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4170245 |
| &nbsp;&nbsp;&nbsp; K114, 1.436%, 06/25/2030 (f)(k) | 54977000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4519725 |
| &nbsp;&nbsp;&nbsp; KG03, 1.482%, 06/25/2030 (f)(k) | 15564905 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1219103 |
| &nbsp;&nbsp;&nbsp; K113, 1.483%, 06/25/2030 (f)(k) | 91306542 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7347264 |
| &nbsp;&nbsp;&nbsp; K115, 1.649%, 07/25/2030 (f)(k) | 40865759 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3865545 |
| &nbsp;&nbsp;&nbsp; K116, 1.704%, 08/25/2030 (f)(k) | 23000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2289167 |
| &nbsp;&nbsp;&nbsp; K118, 1.052%, 09/25/2030 (f)(k) | 120631448 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6866149 |
| &nbsp;&nbsp;&nbsp; K118, 1.263%, 09/25/2030 (f)(k) | 35916184 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2629607 |
| &nbsp;&nbsp;&nbsp; K121, 1.120%, 10/25/2030 (f)(k) | 48858731 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2930122 |
| &nbsp;&nbsp;&nbsp; K119, 1.229%, 10/25/2030 (f)(k) | 51000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3639987 |
| &nbsp;&nbsp;&nbsp; KG04, 0.939%, 11/25/2030 (f)(k) | 111060759 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5676082 |
| &nbsp;&nbsp;&nbsp; K122, 0.973%, 11/25/2030 (f)(k) | 111859895 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5911896 |
| &nbsp;&nbsp;&nbsp; K122, 1.172%, 11/25/2030 (f)(k) | 35211000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2432717 |
| &nbsp;&nbsp;&nbsp; K121, 1.290%, 11/25/2030 (f)(k) | 49550000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3752669 |
| &nbsp;&nbsp;&nbsp; K123, 1.068%, 12/25/2030 (f)(k) | 108000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6782767 |
| &nbsp;&nbsp;&nbsp; K125, 0.675%, 01/25/2031 (f)(k) | 179796362 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6442823 |
| &nbsp;&nbsp;&nbsp; K125, 0.873%, 01/25/2031 (f)(k) | 103992000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5290988 |
| &nbsp;&nbsp;&nbsp; K124, 1.027%, 01/25/2031 (f)(k) | 89626000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5446644 |
| &nbsp;&nbsp;&nbsp; K1502, 1.101%, 01/25/2031 (f)(k) | 29645512 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1633346 |
| &nbsp;&nbsp;&nbsp; K127, 0.594%, 02/25/2031 (f)(k) | 186332000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6242439 |
| &nbsp;&nbsp;&nbsp; K128, 0.613%, 03/25/2031 (f)(k) | 153984188 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5037685 |
| &nbsp;&nbsp;&nbsp; K128, 0.829%, 03/25/2031 (f)(k) | 37700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1850003 |
| &nbsp;&nbsp;&nbsp; K129, 1.160%, 05/25/2031 (f)(k) | 70301999 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4474272 |
| &nbsp;&nbsp;&nbsp; K129, 1.334%, 05/25/2031 (f)(k) | 31700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2562875 |
| &nbsp;&nbsp;&nbsp; K130, 1.144%, 06/25/2031 (f)(k) | 122726448 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8279838 |
| &nbsp;&nbsp;&nbsp; K131, 0.830%, 07/25/2031 (f)(k) | 135613147 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6634548 |
| &nbsp;&nbsp;&nbsp; K130, 1.321%, 07/25/2031 (f)(k) | 43372188 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3609824 |
| &nbsp;&nbsp;&nbsp; K138, 0.794%, 01/25/2032 (f)(k) | 195000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9908828 |
| &nbsp;&nbsp;&nbsp; K141, 0.407%, 02/25/2032 (f)(k) | 162760277 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3867184 |
| &nbsp;&nbsp;&nbsp; K141, 0.426%, 02/25/2032 (f)(k) | 195000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4921664 |
| &nbsp;&nbsp;&nbsp; K-149, 0.403%, 08/25/2032 (f)(k) | 83325171 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1963983 |
| &nbsp;&nbsp;&nbsp; K155, 0.259%, 04/25/2033 (f)(k) | 244797691 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2941269 |
| &nbsp;&nbsp;&nbsp; K1511, 0.928%, 03/25/2034 (f)(k) | 131829489 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7687333 |
| &nbsp;&nbsp;&nbsp; K1512, 1.053%, 04/25/2034 (f)(k) | 47482085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3198051 |
| &nbsp;&nbsp;&nbsp; K1513, 0.994%, 08/25/2034 (f)(k) | 75903031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4887131 |
| &nbsp;&nbsp;&nbsp; K1514, 0.700%, 10/25/2034 (f)(k) | 80398225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3859115 |
| &nbsp;&nbsp;&nbsp; K1515, 1.637%, 02/25/2035 (f)(k) | 78649636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9468693 |
| &nbsp;&nbsp;&nbsp; K1516, 1.629%, 05/25/2035 (f)(k) | 41747551 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5055570 |
| &nbsp;&nbsp;&nbsp; K1517, 1.436%, 07/25/2035 (f)(k) | 80254380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8560012 |
| &nbsp;&nbsp;&nbsp; K1521, 1.095%, 08/25/2036 (f)(k) | 95883247 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8086783 |
| &nbsp;&nbsp;&nbsp; K097, 1.480%, 09/25/2051 (f)(k) | 66115000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4931954 |
| TOTAL AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $463,223,774) |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 419458809 |
| **MUNICIPAL BONDS - 22.80%** |  |  |
| **Alabama - 0.01%** |  |  |
| Baldwin County Public Building Authority |  |  |
| &nbsp;&nbsp;&nbsp; 2.000%, 03/01/2046 | 1070000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;664837 |
| **Alaska - 0.18%** |  |  |
| Alaska Municipal Bond Bank Authority |  |  |
| &nbsp;&nbsp;&nbsp; 2.122%, 12/01/2031 | 7710000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6255422 |
| Municipality of Anchorage, AK |  |  |
| &nbsp;&nbsp;&nbsp; 1.896%, 09/01/2028 | 1685000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1444824 |
| &nbsp;&nbsp;&nbsp; 1.896%, 09/01/2028 | 1525000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1308558 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9008804 |
| **Arizona - 0.24%** |  |  |
| City of Tucson, AZ |  |  |
| &nbsp;&nbsp;&nbsp; 2.232%, 07/01/2034 | 11605000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8748874 |
| Glendale Municipal Property Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 6.157%, 07/01/2033 | 3050000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3296291 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12045165 |
| **California - 5.68%** |  |  |
| Alvord Unified School District |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/01/2046 (h) | 1975000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2087337 |
| California Earthquake Authority |  |  |
| &nbsp;&nbsp;&nbsp; 5.603%, 07/01/2027 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5032387 |
| California State University |  |  |
| &nbsp;&nbsp;&nbsp; 2.534%, 11/01/2033 | 4265000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3396626 |
| California Statewide Communities Development Authority |  |  |
| &nbsp;&nbsp;&nbsp; 6.076%, 06/01/2034 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10253133 |
| Chaffey Joint Union High School District |  |  |
| &nbsp;&nbsp;&nbsp; 3.143%, 08/01/2043 | 3790000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2793819 |
| City of Chula Vista, CA |  |  |
| &nbsp;&nbsp;&nbsp; 1.728%, 06/01/2030 | 2235000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1758423 |
| &nbsp;&nbsp;&nbsp; 1.828%, 06/01/2031 | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1531351 |
| City of Corona, CA |  |  |
| &nbsp;&nbsp;&nbsp; 1.863%, 05/01/2028 | 4515000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3850484 |
| City of Huntington Beach, CA |  |  |
| &nbsp;&nbsp;&nbsp; 2.453%, 06/15/2031 | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3205632 |
| City of Industry, CA |  |  |
| &nbsp;&nbsp;&nbsp; 4.000%, 01/01/2028 | 2885000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2824214 |
| City of Los Angeles Department of Airports |  |  |
| &nbsp;&nbsp;&nbsp; 1.876%, 05/15/2030 | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1613042 |
| &nbsp;&nbsp;&nbsp; 6.582%, 05/15/2039 | 5085000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5633093 |
| City of Montebello, CA |  |  |
| &nbsp;&nbsp;&nbsp; 3.393%, 06/01/2032 | 2825000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2390281 |
| City of Ontario, CA |  |  |
| &nbsp;&nbsp;&nbsp; 3.779%, 06/01/2038 | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2616945 |
| City of Orange, CA |  |  |
| &nbsp;&nbsp;&nbsp; 2.220%, 06/01/2030 | 7500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6323860 |
| &nbsp;&nbsp;&nbsp; 2.270%, 06/01/2031 | 12370000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10209458 |
| City of Sacramento, CA Transient Occupancy Tax Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 3.858%, 06/01/2025 | 3320000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3251864 |
| City of San Francisco, CA Public Utilities Commission Water Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 2.845%, 11/01/2041 | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1461159 |
| City of Santa Ana, CA |  |  |
| &nbsp;&nbsp;&nbsp; 1.665%, 08/01/2028 | 5500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4573345 |
| &nbsp;&nbsp;&nbsp; 1.869%, 08/01/2029 | 4430000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3609127 |
| &nbsp;&nbsp;&nbsp; 2.089%, 08/01/2030 | 1980000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1587644 |
| City of South Lake Tahoe, CA |  |  |
| &nbsp;&nbsp;&nbsp; 4.000%, 06/01/2027 | 1600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1550269 |
| City of Union City, CA |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 07/01/2025 (h) | 2105000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1858796 |
| City of Whittier, CA |  |  |
| &nbsp;&nbsp;&nbsp; 1.566%, 06/01/2028 | 1085000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;906631 |
| &nbsp;&nbsp;&nbsp; 1.724%, 06/01/2029 | 1685000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1374929 |
| Coachella Valley Unified School District, CA |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/01/2034 (h) | 1100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;695601 |
| Coast Community College District |  |  |
| &nbsp;&nbsp;&nbsp; 2.957%, 08/01/2038 | 15000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11419230 |
| County of San Diego, CA |  |  |
| &nbsp;&nbsp;&nbsp; 6.029%, 08/15/2026 | 590000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;601712 |
| County of Santa Cruz, CA |  |  |
| &nbsp;&nbsp;&nbsp; 1.444%, 06/01/2028 | 3385000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2886770 |
| &nbsp;&nbsp;&nbsp; 1.661%, 06/01/2029 | 2965000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2484027 |
| &nbsp;&nbsp;&nbsp; 1.811%, 06/01/2030 | 3900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3203965 |
| East Side Union High School District |  |  |
| &nbsp;&nbsp;&nbsp; 5.320%, 04/01/2036 | 6765000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6756726 |
| Fullerton Public Financing Authority |  |  |
| &nbsp;&nbsp;&nbsp; 7.750%, 05/01/2031 | 1265000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1409436 |
| Gateway Unified School District, CA |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/01/2033 (h) | 2315000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1531605 |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/01/2035 (h) | 2315000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1384176 |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/01/2036 (h) | 2315000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1313239 |
| Golden State Tobacco Securitization Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.787%, 06/01/2031 | 15930000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12879056 |
| &nbsp;&nbsp;&nbsp; 3.000%, 06/01/2046 | 12145000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11242967 |
| Hercules Redevelopment Agency Successor Agency |  |  |
| &nbsp;&nbsp;&nbsp; 4.913%, 08/01/2033 | 5460000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5343723 |
| Inland Empire Tobacco Securitization Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.678%, 06/01/2038 | 14415000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13501803 |
| Northern California Power Agency |  |  |
| &nbsp;&nbsp;&nbsp; 5.679%, 06/01/2035 | 9765000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10203405 |
| Norwalk-La Mirada Unified School District |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/01/2038 (h) | 4400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2205452 |
| Pasadena Unified School District |  |  |
| &nbsp;&nbsp;&nbsp; 2.881%, 05/01/2037 | 6030000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4798395 |
| Peralta Community College District |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/05/2031 (h) | 12350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10737609 |
| Placentia-Yorba Linda Unified School District |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/01/2035 (h) | 7600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4658413 |
| San Diego Unified School District |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 07/01/2036 (h) | 7895000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4730161 |
| San Francisco City & County Redevelopment Agency Successor Agency |  |  |
| &nbsp;&nbsp;&nbsp; 2.743%, 08/01/2032 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4122949 |
| San Francisco City & County Redevelopment Financing Authority |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/01/2036 (h) | 5240000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2567560 |
| &nbsp;&nbsp;&nbsp; 5.750%, 08/01/2037 | 19400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20313643 |
| &nbsp;&nbsp;&nbsp; 8.406%, 08/01/2039 | 4820000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6093532 |
| Santa Ana Unified School District |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/01/2037 (h) | 3955000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2127697 |
| State of California |  |  |
| &nbsp;&nbsp;&nbsp; 7.550%, 04/01/2039 | 28000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36054715 |
| West Contra Costa Unified School District |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/01/2036 (h) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2925086 |
| West Sonoma County Union High School District |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/01/2037 (h) | 1840000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;995578 |
| William S. Hart Union High School District |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/01/2036 (h) | 1050000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;629269 |
| Yosemite Community College District |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/01/2038 (h) | 6110000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3123232 |
| Yuba Community College District |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/01/2038 (h) | 5055000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2644087 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 281278668 |
| **Colorado - 0.42%** |  |  |
| Board of Governors of Colorado State University System |  |  |
| &nbsp;&nbsp;&nbsp; 2.644%, 03/01/2034 | 6275000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5012476 |
| City of Fruita, CO Healthcare Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 5.000%, 01/01/2028 | 2650000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2526099 |
| Colorado Health Facilities Authority |  |  |
| &nbsp;&nbsp;&nbsp; 3.696%, 11/01/2039 | 4825000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3962895 |
| &nbsp;&nbsp;&nbsp; 3.796%, 11/01/2044 | 11815000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9364226 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20865696 |
| **Connecticut - 0.23%** |  |  |
| State of Connecticut |  |  |
| &nbsp;&nbsp;&nbsp; 3.000%, 01/15/2037 | 7075000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6230051 |
| Town of West Hartford, CT |  |  |
| &nbsp;&nbsp;&nbsp; 2.764%, 07/01/2041 | 7025000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5167143 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11397194 |
| **District of Columbia - 0.27%** |  |  |
| Metropolitan Washington Airports Authority Dulles Toll Road Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 8.000%, 10/01/2047 | 10310000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13505492 |
| **Florida - 1.43%** |  |  |
| City of Gainesville, FL |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 10/01/2027 (h) | 4610000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3567601 |
| &nbsp;&nbsp;&nbsp; 0.000%, 10/01/2028 (h) | 1400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1023824 |
| County of Miami-Dade Seaport Department |  |  |
| &nbsp;&nbsp;&nbsp; 2.162%, 10/01/2032 | 4000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3077494 |
| County of Miami-Dade, FL Seaport Department |  |  |
| &nbsp;&nbsp;&nbsp; 1.962%, 10/01/2031 | 4235000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3334431 |
| &nbsp;&nbsp;&nbsp; 2.012%, 10/01/2031 | 6940000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5424734 |
| County of Miami-Dade, FL Transit System |  |  |
| &nbsp;&nbsp;&nbsp; 1.650%, 07/01/2030 | 6095000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4864423 |
| Florida Development Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 7.375%, 01/01/2049 (a) | 7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6242055 |
| JEA Water & Sewer System Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 3.000%, 10/01/2041 | 5045000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4205446 |
| Reedy Creek Improvement District |  |  |
| &nbsp;&nbsp;&nbsp; 2.497%, 06/01/2034 | 4500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3300708 |
| &nbsp;&nbsp;&nbsp; 2.547%, 06/01/2035 | 4500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3226474 |
| &nbsp;&nbsp;&nbsp; 2.731%, 06/01/2038 | 18500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12866295 |
| State Board of Administration Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.154%, 07/01/2030 | 15537000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12554620 |
| Tampa-Hillsborough County Expressway Authority |  |  |
| &nbsp;&nbsp;&nbsp; 1.892%, 07/01/2029 | 4750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3875612 |
| &nbsp;&nbsp;&nbsp; 1.942%, 07/01/2030 | 4305000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3419851 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70983568 |
| **Georgia - 0.24%** |  |  |
| Municipal Electric Authority of Georgia |  |  |
| &nbsp;&nbsp;&nbsp; 2.497%, 01/01/2031 | 10355000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8306075 |
| Valdosta & Lowndes County Hospital Authority |  |  |
| &nbsp;&nbsp;&nbsp; 2.604%, 10/01/2030 | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1669445 |
| &nbsp;&nbsp;&nbsp; 3.000%, 10/01/2029 | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1752401 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11727921 |
| **Hawaii - 0.04%** |  |  |
| State of Hawaii |  |  |
| &nbsp;&nbsp;&nbsp; 2.532%, 10/01/2036 | 2500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1883791 |
| **Illinois - 0.35%** |  |  |
| Chicago O'Hare International Airport |  |  |
| &nbsp;&nbsp;&nbsp; 2.446%, 01/01/2031 | 8500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6985625 |
| Illinois Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp; 3.510%, 05/15/2041 | 7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4784664 |
| Metropolitan Pier & Exposition Authority |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 12/15/2036 (h) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2600641 |
| State of Illinois |  |  |
| &nbsp;&nbsp;&nbsp; 5.750%, 01/01/2037 | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3007631 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17378561 |
| **Indiana - 0.20%** |  |  |
| Indiana Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp; 4.807%, 07/15/2035 | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2882426 |
| Indianapolis Local Public Improvement Bond Bank |  |  |
| &nbsp;&nbsp;&nbsp; 2.473%, 01/01/2040 | 9500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6861924 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9744350 |
| **Kansas - 0.04%** |  |  |
| Kansas Development Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp; 4.927%, 04/15/2045 | 2005000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1903154 |
| **Kentucky - 0.21%** |  |  |
| County of Warren, KY |  |  |
| &nbsp;&nbsp;&nbsp; 3.921%, 12/01/2031 | 825000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;770318 |
| &nbsp;&nbsp;&nbsp; 4.397%, 12/01/2038 | 1540000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1411483 |
| Kentucky State Property & Building Commission |  |  |
| &nbsp;&nbsp;&nbsp; 2.123%, 09/01/2030 | 2755000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2198314 |
| &nbsp;&nbsp;&nbsp; 2.223%, 09/01/2031 | 3350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2609959 |
| Louisville and Jefferson County Metropolitan Sewer District |  |  |
| &nbsp;&nbsp;&nbsp; 2.250%, 05/15/2044 | 4880000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3356118 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10346192 |
| **Louisiana - 0.73%** |  |  |
| City of New Orleans LA Water System Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 2.889%, 12/01/2041 | 2530000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1724521 |
| City of New Orleans, LA |  |  |
| &nbsp;&nbsp;&nbsp; 2.220%, 09/01/2029 | 6400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5408561 |
| City of New Orleans, LA Sewerage Service Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 1.791%, 06/01/2030 | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;790723 |
| &nbsp;&nbsp;&nbsp; 1.891%, 06/01/2031 | 1575000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1215293 |
| City of New Orleans, LA Water System Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 1.691%, 12/01/2029 | 1800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1436751 |
| &nbsp;&nbsp;&nbsp; 1.841%, 12/01/2030 | 3120000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2436127 |
| &nbsp;&nbsp;&nbsp; 1.941%, 12/01/2031 | 1635000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1247317 |
| East Baton Rouge Sewerage Commission |  |  |
| &nbsp;&nbsp;&nbsp; 2.437%, 02/01/2039 | 2500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1665243 |
| State of Louisiana |  |  |
| &nbsp;&nbsp;&nbsp; 1.792%, 06/15/2033 | 1900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1362878 |
| State of Louisiana Gasoline & Fuels Tax Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 2.230%, 05/01/2036 | 8000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5860076 |
| &nbsp;&nbsp;&nbsp; 2.530%, 05/01/2041 | 10445000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7342564 |
| &nbsp;&nbsp;&nbsp; 2.830%, 05/01/2043 | 8135000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5651693 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36141747 |
| **Maine - 0.20%** |  |  |
| Maine Health & Higher Educational Facilities Authority |  |  |
| &nbsp;&nbsp;&nbsp; 3.118%, 07/01/2043 | 14250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9788852 |
| **Maryland - 0.14%** |  |  |
| Maryland Stadium Authority |  |  |
| &nbsp;&nbsp;&nbsp; 2.805%, 05/01/2040 | 7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5177941 |
| State of Maryland Department of Transportation |  |  |
| &nbsp;&nbsp;&nbsp; 1.686%, 08/01/2030 | 2110000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1652590 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6830531 |
| **Massachusetts - 0.19%** |  |  |
| City of Worcester, MA |  |  |
| &nbsp;&nbsp;&nbsp; 6.250%, 01/01/2028 | 2875000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2984512 |
| Commonwealth of Massachusetts |  |  |
| &nbsp;&nbsp;&nbsp; 2.375%, 09/01/2043 | 3250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2374324 |
| Commonwealth of Massachusetts Transportation Fund Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 5.631%, 06/01/2030 | 1050000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1091945 |
| Massachusetts Educational Financing Authority |  |  |
| &nbsp;&nbsp;&nbsp; 3.455%, 07/01/2028 | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1814767 |
| &nbsp;&nbsp;&nbsp; 3.831%, 07/01/2024 | 450000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;442986 |
| Massachusetts State College Building Authority |  |  |
| &nbsp;&nbsp;&nbsp; 5.932%, 05/01/2040 | 550000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;571897 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9280431 |
| **Michigan - 1.06%** |  |  |
| City of Detroit, MI |  |  |
| &nbsp;&nbsp;&nbsp; 4.000%, 04/01/2044 | 8700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6405451 |
| Detroit City School District |  |  |
| &nbsp;&nbsp;&nbsp; 7.747%, 05/01/2039 | 10425000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12289505 |
| Great Lakes Water Authority Sewage Disposal System Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 2.615%, 07/01/2036 | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;749322 |
| &nbsp;&nbsp;&nbsp; 3.056%, 07/01/2039 | 13975000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10635586 |
| Michigan Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp; 3.084%, 12/01/2034 | 5095000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4279584 |
| &nbsp;&nbsp;&nbsp; 3.267%, 06/01/2039 | 19000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15535432 |
| &nbsp;&nbsp;&nbsp; 3.610%, 11/01/2032 | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2674420 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52569300 |
| **Minnesota - 0.42%** |  |  |
| Western Minnesota Municipal Power Agency |  |  |
| &nbsp;&nbsp;&nbsp; 3.156%, 01/01/2039 | 17500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13878055 |
| White Bear Lake Independent School District No. 624 |  |  |
| &nbsp;&nbsp;&nbsp; 3.000%, 02/01/2044 | 8330000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6758592 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20636647 |
| **Mississippi - 0.11%** |  |  |
| Mississippi Development Bank |  |  |
| &nbsp;&nbsp;&nbsp; 5.460%, 10/01/2036 | 5260000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5427475 |
| **Missouri - 0.14%** |  |  |
| Kansas City Land Clearance Redevelopment Authority |  |  |
| &nbsp;&nbsp;&nbsp; 6.400%, 10/15/2040 (a) | 7950000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7091613 |
| **Nebraska - 0.04%** |  |  |
| District Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.390%, 07/01/2036 | 2830000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2168495 |
| **Nevada - 0.29%** |  |  |
| City of North Las Vegas, NV |  |  |
| &nbsp;&nbsp;&nbsp; 6.572%, 06/01/2040 | 12655000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14328414 |
| **New Hampshire - 0.07%** |  |  |
| New Hampshire Business Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp; 3.278%, 10/01/2037 | 4895000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3323147 |
| **New Jersey - 1.44%** |  |  |
| City of Newark, NJ |  |  |
| &nbsp;&nbsp;&nbsp; 4.100%, 11/01/2028 | 2830000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2778382 |
| Clifton Board Of Education |  |  |
| &nbsp;&nbsp;&nbsp; 2.125%, 08/15/2044 | 4560000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3110734 |
| County of Essex, NJ |  |  |
| &nbsp;&nbsp;&nbsp; 2.000%, 09/01/2044 | 3560000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2248705 |
| Mercer County Improvement Authority |  |  |
| &nbsp;&nbsp;&nbsp; 8.270%, 12/01/2034 | 14455000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17389935 |
| New Jersey Economic Development Authority |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 02/15/2025 (h) | 20188000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18080345 |
| &nbsp;&nbsp;&nbsp; 7.425%, 02/15/2029 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10819922 |
| New Jersey Institute of Technology |  |  |
| &nbsp;&nbsp;&nbsp; 3.323%, 07/01/2024 | 1540000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1513845 |
| &nbsp;&nbsp;&nbsp; 3.415%, 07/01/2042 | 6455000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4871140 |
| New Jersey Turnpike Authority |  |  |
| &nbsp;&nbsp;&nbsp; 2.113%, 01/01/2033 | 6250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4821664 |
| &nbsp;&nbsp;&nbsp; 7.102%, 01/01/2041 | 4500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5514091 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71148763 |
| **New York - 1.14%** |  |  |
| New York City Industrial Development Agency |  |  |
| &nbsp;&nbsp;&nbsp; 2.436%, 01/01/2036 | 5850000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4071691 |
| New York City Transitional Finance Authority Future Tax Secured Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 4.200%, 11/01/2030 | 20000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19039802 |
| New York Liberty Development Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.250%, 02/15/2041 | 13595000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9450596 |
| &nbsp;&nbsp;&nbsp; 3.000%, 02/15/2042 | 5500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4289438 |
| &nbsp;&nbsp;&nbsp; 3.000%, 09/15/2043 | 12500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10226956 |
| New York State Dormitory Authority |  |  |
| &nbsp;&nbsp;&nbsp; 2.746%, 07/01/2030 | 6430000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5449277 |
| &nbsp;&nbsp;&nbsp; 5.096%, 08/01/2034 | 3125000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2933553 |
| Western Nassau County Water Authority |  |  |
| &nbsp;&nbsp;&nbsp; 2.958%, 04/01/2041 | 1500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1097861 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56559174 |
| **Ohio - 1.14%** |  |  |
| American Municipal Power, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 7.499%, 02/15/2050 | 4480000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5416297 |
| &nbsp;&nbsp;&nbsp; 7.834%, 02/15/2041 | 7890000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9618004 |
| County of Hamilton, OH |  |  |
| &nbsp;&nbsp;&nbsp; 3.374%, 06/01/2034 | 285000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;237626 |
| &nbsp;&nbsp;&nbsp; 3.756%, 06/01/2042 | 8700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6784241 |
| Franklin County Convention Facilities Authority |  |  |
| &nbsp;&nbsp;&nbsp; 2.022%, 12/01/2030 | 5485000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4530151 |
| &nbsp;&nbsp;&nbsp; 2.472%, 12/01/2034 | 22100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17478081 |
| JobsOhio Beverage System |  |  |
| &nbsp;&nbsp;&nbsp; 2.833%, 01/01/2038 | 7540000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5910712 |
| Ohio Higher Educational Facility Commission |  |  |
| &nbsp;&nbsp;&nbsp; 4.500%, 12/01/2026 | 4025000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3861593 |
| South-Western City School District |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 12/01/2028 (h) | 2735000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2054004 |
| Sycamore Community City School District |  |  |
| &nbsp;&nbsp;&nbsp; 5.850%, 12/01/2028 | 605000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;646569 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56537278 |
| **Oklahoma - 0.82%** |  |  |
| Oklahoma City Economic Development Trust |  |  |
| &nbsp;&nbsp;&nbsp; 1.891%, 03/01/2031 | 1545000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1236704 |
| Oklahoma Development Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp; 4.623%, 06/01/2044 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4742710 |
| &nbsp;&nbsp;&nbsp; 5.269%, 10/01/2042 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10286670 |
| &nbsp;&nbsp;&nbsp; 5.450%, 08/15/2028 | 5520000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4854089 |
| Oklahoma Municipal Power Authority |  |  |
| &nbsp;&nbsp;&nbsp; 2.431%, 01/01/2034 | 3870000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3082223 |
| &nbsp;&nbsp;&nbsp; 2.501%, 01/01/2035 | 3475000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2733964 |
| &nbsp;&nbsp;&nbsp; 2.551%, 01/01/2036 | 2390000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1850554 |
| &nbsp;&nbsp;&nbsp; 2.803%, 01/01/2041 | 15500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11692834 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40479748 |
| **Oregon - 0.06%** |  |  |
| Hospital Facilities Authority of Multnomah County Oregon |  |  |
| &nbsp;&nbsp;&nbsp; 1.250%, 06/01/2026 | 2610000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2352941 |
| Oregon Health & Science University |  |  |
| &nbsp;&nbsp;&nbsp; 2.850%, 07/01/2030 | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;865324 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3218265 |
| **Pennsylvania - 0.97%** |  |  |
| Berks County Industrial Development Authority |  |  |
| &nbsp;&nbsp;&nbsp; 3.950%, 05/15/2024 | 490000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;480298 |
| &nbsp;&nbsp;&nbsp; 4.450%, 05/15/2027 | 800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;766725 |
| City of Philadelphia, PA |  |  |
| &nbsp;&nbsp;&nbsp; 1.838%, 07/15/2031 | 2500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1905401 |
| Commonwealth Financing Authority |  |  |
| &nbsp;&nbsp;&nbsp; 2.758%, 06/01/2030 | 1040000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;889303 |
| &nbsp;&nbsp;&nbsp; 2.991%, 06/01/2042 | 9810000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7072270 |
| &nbsp;&nbsp;&nbsp; 3.657%, 06/01/2038 | 13820000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11663386 |
| &nbsp;&nbsp;&nbsp; 4.014%, 06/01/2033 | 2750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2557217 |
| Montgomery County Industrial Development Authority |  |  |
| &nbsp;&nbsp;&nbsp; 3.150%, 11/15/2028 | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8452692 |
| Pennsylvania Economic Development Financing Authority |  |  |
| &nbsp;&nbsp;&nbsp; 3.143%, 06/15/2042 | 7600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5556757 |
| Pennsylvania Turnpike Commission |  |  |
| &nbsp;&nbsp;&nbsp; 3.000%, 12/01/2042 | 9095000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7126124 |
| Union County Hospital Authority |  |  |
| &nbsp;&nbsp;&nbsp; 3.800%, 08/01/2023 | 295000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;293028 |
| &nbsp;&nbsp;&nbsp; 4.400%, 08/01/2028 | 1060000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1038872 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47802073 |
| **Puerto Rico - 0.41%** |  |  |
| Children's Trust Fund |  |  |
| &nbsp;&nbsp;&nbsp; 5.375%, 05/15/2033 | 120000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;120038 |
| Commonwealth of Puerto Rico |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 07/01/2024 (h) | 153671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;141216 |
| &nbsp;&nbsp;&nbsp; 0.000%, 07/01/2033 (h) | 592257 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;325102 |
| &nbsp;&nbsp;&nbsp; 0.000%, 11/01/2043 (h) | 2291998 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1045724 |
| &nbsp;&nbsp;&nbsp; 4.000%, 07/01/2033 | 460219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;401007 |
| &nbsp;&nbsp;&nbsp; 4.000%, 07/01/2035 | 413675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;352786 |
| &nbsp;&nbsp;&nbsp; 4.000%, 07/01/2037 | 355042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;296735 |
| &nbsp;&nbsp;&nbsp; 4.000%, 07/01/2041 | 482722 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;387977 |
| &nbsp;&nbsp;&nbsp; 4.000%, 07/01/2046 | 502024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;387737 |
| &nbsp;&nbsp;&nbsp; 5.250%, 07/01/2023 | 255706 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;256827 |
| &nbsp;&nbsp;&nbsp; 5.375%, 07/01/2025 | 512555 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;519954 |
| &nbsp;&nbsp;&nbsp; 5.625%, 07/01/2027 | 507913 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;520221 |
| &nbsp;&nbsp;&nbsp; 5.625%, 07/01/2029 | 499673 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;512195 |
| &nbsp;&nbsp;&nbsp; 5.750%, 07/01/2031 | 485328 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;498522 |
| GDB Debt Recovery Authority of Puerto Rico |  |  |
| &nbsp;&nbsp;&nbsp; 7.500%, 08/20/2040 | 10708965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8968758 |
| Puerto Rico Highway & Transportation Authority |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 07/01/2026 (e)(h) | 7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5541665 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20276464 |
| **South Carolina - 0.08%** |  |  |
| South Carolina Jobs-Economic Development Authority |  |  |
| &nbsp;&nbsp;&nbsp; 2.729%, 07/01/2030 | 5030000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4205351 |
| **Tennessee - 0.04%** |  |  |
| New Memphis Arena Public Building Authority |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 04/01/2044 (h) | 1800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;649014 |
| &nbsp;&nbsp;&nbsp; 0.000%, 04/01/2045 (h) | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;678564 |
| &nbsp;&nbsp;&nbsp; 0.000%, 04/01/2046 (h) | 1700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;539812 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1867390 |
| **Texas - 2.64%** |  |  |
| Board of Regents of the University of Texas System |  |  |
| &nbsp;&nbsp;&nbsp; 5.134%, 08/15/2042 | 2710000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2813665 |
| City of Dallas, TX |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 02/15/2031 (h) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6396603 |
| &nbsp;&nbsp;&nbsp; 0.000%, 02/15/2032 (h) | 15000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9043411 |
| City of El Paso, TX |  |  |
| &nbsp;&nbsp;&nbsp; 6.018%, 08/15/2035 | 3000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3210257 |
| City of Houston, TX |  |  |
| &nbsp;&nbsp;&nbsp; 3.961%, 03/01/2047 | 5800000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5068221 |
| &nbsp;&nbsp;&nbsp; 5.508%, 03/01/2036 | 5400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5663042 |
| &nbsp;&nbsp;&nbsp; 5.538%, 03/01/2037 | 4100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4321226 |
| &nbsp;&nbsp;&nbsp; 6.290%, 03/01/2032 | 860000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;901144 |
| City of Houston, TX Airport System Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 2.385%, 07/01/2031 | 19835000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16077513 |
| &nbsp;&nbsp;&nbsp; 6.880%, 01/01/2028 | 2025000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2117431 |
| City of Irving, TX |  |  |
| &nbsp;&nbsp;&nbsp; 7.375%, 08/15/2044 | 3500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3541520 |
| City of San Antonio, TX Electric & Gas Systems Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 5.718%, 02/01/2041 | 5645000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6005621 |
| &nbsp;&nbsp;&nbsp; 5.985%, 02/01/2039 | 13425000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14679909 |
| Colony Economic Development Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 7.250%, 10/01/2042 | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5075942 |
| Dallas Fort Worth International Airport |  |  |
| &nbsp;&nbsp;&nbsp; 2.994%, 11/01/2038 | 16480000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13331994 |
| Downtown Dallas Development Authority |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 08/15/2036 (h) | 6730000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3018918 |
| Metropolitan Transit Authority of Harris County Sales & Use Tax Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 2.599%, 11/01/2037 | 17015000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12434912 |
| New Hope Cultural Education Facilities Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.000%, 08/01/2020 (e)(g) | 220000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70400 |
| North Texas Tollway Authority |  |  |
| &nbsp;&nbsp;&nbsp; 8.410%, 02/01/2030 | 5090000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5738110 |
| Port of Beaumont Industrial Development Authority |  |  |
| &nbsp;&nbsp;&nbsp; 4.100%, 01/01/2028 (a) | 7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5723336 |
| Stafford Municipal School District |  |  |
| &nbsp;&nbsp;&nbsp; 3.084%, 08/15/2041 | 1525000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1171247 |
| Texas Transportation Commission |  |  |
| &nbsp;&nbsp;&nbsp; 2.013%, 10/01/2037 | 6295000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4185129 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130589551 |
| **Utah - 0.09%** |  |  |
| County of Salt Lake, UT Convention Hotel Revenue |  |  |
| &nbsp;&nbsp;&nbsp; 5.750%, 10/01/2047 (a) | 5000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4356572 |
| **Virginia - 0.33%** |  |  |
| County of Botetourt, VA |  |  |
| &nbsp;&nbsp;&nbsp; 6.000%, 07/01/2044 | 4485000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4570558 |
| University of Virginia |  |  |
| &nbsp;&nbsp;&nbsp; 6.200%, 09/01/2039 | 10180000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11757037 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16327595 |
| **Washington - 0.41%** |  |  |
| King County Housing Authority |  |  |
| &nbsp;&nbsp;&nbsp; 3.000%, 06/01/2040 | 3005000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2428209 |
| NJB Properties |  |  |
| &nbsp;&nbsp;&nbsp; 5.510%, 12/01/2036 | 7665000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7844651 |
| Pierce County School District No. 10 Tacoma |  |  |
| &nbsp;&nbsp;&nbsp; 2.357%, 12/01/2039 | 14560000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10094902 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20367762 |
| **West Virginia - 0.08%** |  |  |
| Tobacco Settlement Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp; 2.701%, 06/01/2030 | 4770000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3861530 |
| **Wisconsin - 0.22%** |  |  |
| Milwaukee Redevelopment Authority |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 04/01/2039 (h) | 1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;393699 |
| Public Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp; 4.153%, 05/15/2031 | 3635000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3471590 |
| &nbsp;&nbsp;&nbsp; 5.000%, 05/15/2032 (a) | 1275000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1192721 |
| &nbsp;&nbsp;&nbsp; 7.500%, 06/01/2029 (a) | 5750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5690421 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10748431 |
| TOTAL MUNICIPAL BONDS (Cost $1,324,757,469) |  | &nbsp;&nbsp;&nbsp;&nbsp; 1128665992 |
| **US GOVERNMENT NOTES/BONDS - 5.35%** |  |  |
| United States Treasury Note/Bonds |  |  |
| &nbsp;&nbsp;&nbsp; 1.500%, 02/29/2024 | 54750000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52676558 |
| &nbsp;&nbsp;&nbsp; 1.750%, 03/15/2025 | 75000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70904297 |
| &nbsp;&nbsp;&nbsp; 1.875%, 02/15/2041 | 25000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17978027 |
| &nbsp;&nbsp;&nbsp; 2.375%, 02/15/2042 | 50000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38710937 |
| &nbsp;&nbsp;&nbsp; 3.250%, 05/15/2042 | 25000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22333984 |
| &nbsp;&nbsp;&nbsp; 3.375%, 08/15/2042 | 30000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27304688 |
| &nbsp;&nbsp;&nbsp; 4.000%, 11/15/2042 | 35000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34967188 |
| TOTAL US GOVERNMENT NOTES/BONDS (Cost $282,234,451) |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 264875679 |
| **SHORT-TERM INVESTMENTS - 1.64%** |  |  |
| First American Government Obligations Fund - Class X, 3.660% (l) | 81200185 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81200185 |
| TOTAL SHORT-TERM INVESTMENTS (Cost $81,200,185) |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81200185 |
| **Total Investments (Cost $5,750,762,497) - 99.40%** |  | **&nbsp;&nbsp;&nbsp;&nbsp; 4919470299** |
| **Other Assets in Excess of Liabilities - 0.60%** |  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29841309** |
| **TOTAL NET ASSETS - 100.00%** |  | $**&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4949311608** |

---

Percentages are stated as a percent of net assets.<br>

(a) Securities issued pursuant to Rule 144A under the Securities Act of 1933.

(b) Variable rate security; the rate shown represents the rate at November 30, 2022.

(c) Foreign issued security.

(d) Perpetual maturity. The date referenced is the next call date.

(e) Represents an illiquid security. The total market value of these securities were $29,341,562, representing 0.59% of net assets as of
 November 30, 2022.

(f) Variable rate security; the rate shown represents the rate at November 30, 2022. The coupon is based on an underlying pool of loans.

(g) Default or other conditions exist at November 30, 2022.

(h) Represents a principal-only security that entitles holders to receive only principal payments on underlying mortgages.

(i) Step-up bond; the rate shown represents the rate at November 30, 2022.

(j) Inverse floating rate security whose interest rate moves in opposite direction of reference interest rates. Reference interest rates
 are typically based on a negative multiplier slope.

(k) Represents an interest-only security that entitles holders to receive only interest payments on underlying mortgages.

(l) Seven day yield at November 30, 2022.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; Abbreviations: |  |
| AG | Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e. owned by shareholders. |
| CMT | Constant Maturity Rate. |
| LIBOR | London Interbank Offered Rate. |
| PLC | Public Limited Company. |
| SOFR | Secured Overnight Financing Rate |
| TSFR3M | 3 Month Term Secured Overnight Financing Rate |

---

---

| |
|:---|
| The Schedule of Investments incorporates the Global Industry Classification Standard (GICS<sup>®</sup>). GICS was developed |
| by and/or is the exclusive property of MSCI, Inc. and Standard & Poor's Financial Services LLC ("S&P"). GICS is a |
| service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC. |

---

------

---

| |
|:---|
| **Summary of Fair Value Exposure at November 30, 2022** |
| Various inputs are used in determining the value of the Fund's investments. These inputs are |
| summarized in the three broad levels listed below: |
| Level 1 - Quoted prices in active markets for identical securities. |
| Level 2 - Other significant observable inputs (including quoted prices for similar |
| &nbsp;&nbsp;&nbsp;&nbsp;securities, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3 - Significant unobservable inputs (including the Fund's own assumptions in |
| &nbsp;&nbsp;&nbsp;&nbsp;determining the fair value of investments.) |
| The inputs or methodology used for valuing securities are not an indication of the risk associated |
| with investing in those securities. |
| The following is a summary of the inputs used, as of November 30, 2022, in valuing the Fund's investments |
| carried at fair value: |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| ***Performance Trust Strategic Bond Fund*** | | | | |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Fixed Income:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Securities | $- | $151819430 | $- | $151819430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Loan Obligations | - | 333891920 | - | 333891920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds | - | 1081888621 | - | 1081888621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Mortgage Backed Securities | - | 547475004 | - | 547475004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Securities | - | 910194659 | - | 910194659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Agency Commercial Mortgage Backed Securities | - | 419458809 | - | 419458809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds | - | 1128665992 | - | 1128665992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; US Government Notes/Bonds | - | 264875679 | - | 264875679 |
| **Total Fixed Income** | - | 4838270114 | - | 4838270114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Short-Term Investments** | 81200185 | - | - | 81200185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments In Securities** | $81200185 | $4838270114 | $- | $4919470299 |

---

---

| |
|:---|
| For the period ended November 30, 2022, the Fund did not have significant unobservable inputs (Level 3 securities) used in determining fair value. |
| Therefore, a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value is not applicable. |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Trust for Professional Managers

- **b. Investment Company Act file number:** 811-10401

- **c. CIK number of Registrant:** 0001141819

- **d. LEI of Registrant:** 549300O1N816L3GGRD45

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

  - **Street Address 1:** 615 East Michigan Street

  - **City:** Milwaukee

  - **State:** WI

  - **Foreign country:** US

  - **Zip / Postal Code:** 53202

  - **Telephone number:** 513-629-8104

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

- **a. Name of Series:** Performance Trust Strategic Bond Fund

- **b. EDGAR series identifier (if any):** S000029835

- **c. LEI of Series:** 254900NYB6EW786MJS87

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

- **a. Date of fiscal year-end:** 2023-08-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $4969051904.85

**Total Liabilities:** $12877132.86

**Net Assets:** $4956174771.99

**Delayed Delivery Securities:** $3000000.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 90891.830000000000 | **1-Year:** 62290.380000000000 | **5-Year:** 471522.260000000000 | **10-Year:** 1054482.270000000000 | **30-Year:** 267994.920000000000

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

- **3-Month:** 222211.390000000000 | **1-Year:** 119251.800000000000 | **5-Year:** 197371.050000000000 | **10-Year:** 53330.980000000000 | **30-Year:** 11252.580000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000091754 | -3.96%               | -1.13%               | 2.79%                |
| Class ID C000207405 | -3.98%               | -1.15%               | 2.77%                |
| Class ID C000207406 | -4.01%               | -1.27%               | 2.76%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-34738203.18            | $-198887047.75                             |
| Month 2  | $-29580201.66            | $-43057815.81                              |
| Month 3  | $-40266285.41            | $158182852.08                              |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| OPEN TEXT HOLDINGS INC         | Open Text Holdings Inc                                                           | CUSIP: 683720AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5750000 | PA      | $4469072.50   | 0.09%             | 2031-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Opteum Mortgage Acceptance Cor | Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5    | CUSIP: 68383NDP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86547 | PA      | $85447.36     | 0.00%             | 2035-12-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                    | Oracle Corp                                                                      | CUSIP: 68389XAE5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8286850.88   | 0.17%             | 2038-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                    | Oracle Corp                                                                      | CUSIP: 68389XBH7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  10200000 | PA      | $8290335.29   | 0.17%             | 2036-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ORANGE CALIF PENSION OBLIG     | City of Orange CA                                                                | CUSIP: 684100AJ9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7500000 | PA      | $6323859.75   | 0.13%             | 2030-06-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| ORANGE CALIF PENSION OBLIG     | City of Orange CA                                                                | CUSIP: 684100AK6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  12370000 | PA      | $10209458.27  | 0.21%             | 2031-06-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| OREGON ST HLTH & SCIENCE UNIV  | Oregon Health & Science University                                               | CUSIP: 685869FU8<br>LEI: 549300XTWOAGON8L2G98 | Long             | DBT              | MUN               | US        |   1000000 | PA      | $865324.30    | 0.02%             | 2030-07-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| ORLANDO HEALTH OBL GRP         | Orlando Health Obligated Group                                                   | CUSIP: 686514AM2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $788056.56    | 0.02%             | 2035-10-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GF II             | Pacific Life Global Funding II                                                   | CUSIP: 6944PL2J7<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |  14000000 | PA      | $11168403.26  | 0.23%             | 2032-01-11      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC PREMIER BANCORP        | Pacific Premier Bancorp Inc                                                      | CUSIP: 69478XAD7<br>LEI: 549300Q1KIC3KLI0XG98 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3438197.77   | 0.07%             | 2029-05-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC PREMIER BANCORP        | Pacific Premier Bancorp Inc                                                      | CUSIP: 69478XAE5<br>LEI: 549300Q1KIC3KLI0XG98 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4814432.75   | 0.10%             | 2030-06-15      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| PAPA JOHN'S INTERNATIONA       | Papa John's International Inc                                                    | CUSIP: 698813AA0<br>LEI: HZYLD3DK5XOX0WBVNB56 | Long             | DBT              | CORP              | US        |  10274000 | PA      | $8601758.04   | 0.17%             | 2029-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PARK NATIONAL CORP             | Park National Corp                                                               | CUSIP: 700658AA5<br>LEI: 5493001T01TDELV5OO63 | Long             | DBT              | CORP              | US        |  15100000 | PA      | $14170906.21  | 0.29%             | 2030-09-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| PASADENA CA UNIF SCH DIST      | Pasadena Unified School District                                                 | CUSIP: 702282QN7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6030000 | PA      | $4798394.81   | 0.10%             | 2037-05-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS17 Trust                                                      | CUSIP: 74922SAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313327 | PA      | $246270.67    | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS10 Trust                                                      | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290030 | PA      | $228246.49    | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RBB BANCORP                    | RBB Bancorp                                                                      | CUSIP: 74930BAG0<br>LEI: 549300A23FBFZNGET525 | Long             | DBT              | CORP              | US        |   5450000 | PA      | $4892721.31   | 0.10%             | 2031-04-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S9 Trust                                                       | CUSIP: 749577AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1458503 | PA      | $1135887.81   | 0.02%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S5 Trust                                                       | CUSIP: 74957EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175030 | PA      | $145226.56    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S5 Trust                                                       | CUSIP: 74957EAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360307 | PA      | $298956.21    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S5 Trust                                                       | CUSIP: 74957EAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1509966 | PA      | $1252856.99   | 0.03%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S5 Trust                                                       | CUSIP: 74957EAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187662 | PA      | $153065.37    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S6 Trust                                                       | CUSIP: 74957VAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106155 | PA      | $86032.07     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S6 Trust                                                       | CUSIP: 74957VAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    546512 | PA      | $442912.13    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S1 Trust                                                       | CUSIP: 749581AP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    474787 | PA      | $377405.78    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S7 Trust                                                       | CUSIP: 74958AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1174433 | PA      | $976688.52    | 0.02%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S7 Trust                                                       | CUSIP: 74958AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    702148 | PA      | $585241.39    | 0.01%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1398176 | PA      | $956955.81    | 0.02%             | 2036-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS13 Trust                                                      | CUSIP: 75115DAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2068929 | PA      | $1586536.66   | 0.03%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2674474 | PA      | $2091946.89   | 0.04%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust   | RBSSP Resecuritization Trust 2009-7                                              | CUSIP: 75524MAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3795168 | PA      | $2199264.04   | 0.04%             | 2036-03-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| REEDY CREEK FL IMPT DIST       | Reedy Creek Improvement District                                                 | CUSIP: 758449SF0<br>LEI: 549300DLSKH6SZ96KV94 | Long             | DBT              | MUN               | US        |   4500000 | PA      | $3300707.70   | 0.07%             | 2034-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REEDY CREEK FL IMPT DIST       | Reedy Creek Improvement District                                                 | CUSIP: 758449SG8<br>LEI: 549300DLSKH6SZ96KV94 | Long             | DBT              | MUN               | US        |   4500000 | PA      | $3226474.35   | 0.07%             | 2035-06-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| REEDY CREEK FL IMPT DIST       | Reedy Creek Improvement District                                                 | CUSIP: 758449SH6<br>LEI: 549300DLSKH6SZ96KV94 | Long             | DBT              | MUN               | US        |  18500000 | PA      | $12866294.90  | 0.26%             | 2038-06-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| RENASANT CORP                  | Renasant Corp                                                                    | CUSIP: 75970EAD9<br>LEI: 549300OVE6OZHW2UUH81 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $7893451.98   | 0.16%             | 2035-09-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| RENASANT CORP                  | Renasant Corp                                                                    | CUSIP: 75970EAE7<br>LEI: 549300OVE6OZHW2UUH81 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4231210.15   | 0.09%             | 2031-12-01      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2005-1                                        | CUSIP: 759950FE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131180 | PA      | $129886.28    | 0.00%             | 2035-05-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS1 Trust                                                       | CUSIP: 761118SB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189931 | PA      | $160344.45    | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QA1 Trust                                                       | CUSIP: 761118TD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98695 | PA      | $105014.64    | 0.00%             | 2036-01-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S3 Trust                                                       | CUSIP: 76111XN74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1954336 | PA      | $1567546.29   | 0.03%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2005-SA4 Trust                                                      | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1668871 | PA      | $1034729.92   | 0.02%             | 2035-09-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2005-SA4 Trust                                                      | CUSIP: 76111XYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1284227 | PA      | $840868.28    | 0.02%             | 2035-09-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2005-SA4 Trust                                                      | CUSIP: 76111XYJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40752 | PA      | $38769.08     | 0.00%             | 2035-09-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| RAAC Series                    | RAAC Series 2005-SP1 Trust                                                       | CUSIP: 76112BQS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2788 | PA      | $2554.35      | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A5CB                                 | CUSIP: 76112FAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2275700 | PA      | $978090.53    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A10                                  | CUSIP: 76113LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10202322 | PA      | $2678500.39   | 0.05%             | 2036-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A10                                  | CUSIP: 76113LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10202322 | PA      | $1104867.65   | 0.02%             | 2036-09-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A15                                  | CUSIP: 76114DAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16543929 | PA      | $4369618.88   | 0.09%             | 2037-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A15                                  | CUSIP: 76114DAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16543929 | PA      | $1846057.61   | 0.04%             | 2037-01-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2007-S7 Trust                                                       | CUSIP: 76200RAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1506271 | PA      | $1120460.41   | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-S4 Trust                                                       | CUSIP: 762010AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1841529 | PA      | $1508340.62   | 0.03%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING             | RGA Global Funding                                                               | CUSIP: 76209PAB9<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   7750000 | PA      | $6627452.49   | 0.13%             | 2029-01-18      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg | STARM Mortgage Loan Trust 2007-1                                                 | CUSIP: 78473NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4029560 | PA      | $3420799.44   | 0.07%             | 2037-02-25      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg | STARM Mortgage Loan Trust 2007-2                                                 | CUSIP: 78473TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451073 | PA      | $202895.09    | 0.00%             | 2037-04-25      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| SACRAMENTO CA TRANSIENT OCCUPA | City of Sacramento CA Transient Occupancy Tax Revenue                            | CUSIP: 786073AE6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3320000 | PA      | $3251863.97   | 0.07%             | 2025-06-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| SALT LAKE CNTY UT CONVENTION H | County of Salt Lake UT Convention Hotel Revenue                                  | CUSIP: 79567VAE0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5000000 | PA      | $4356572.00   | 0.09%             | 2047-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SAN ANTONIO TX ELEC & GAS REVE | City of San Antonio TX Electric & Gas Systems Revenue                            | CUSIP: 796253T93<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |  13425000 | PA      | $14679908.59  | 0.30%             | 2039-02-01      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| SAN ANTONIO TX ELEC & GAS REVE | City of San Antonio TX Electric & Gas Systems Revenue                            | CUSIP: 796253U91<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |   5645000 | PA      | $6005621.23   | 0.12%             | 2041-02-01      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO CA UNIF SCH DIST     | San Diego Unified School District/CA                                             | CUSIP: 797355M68<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7895000 | PA      | $4730161.35   | 0.10%             | 2036-07-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO CNTY CA PENSN OBLG   | County of San Diego CA                                                           | CUSIP: 797398EJ9<br>LEI: 254900MKIGRAYVDUZ926 | Long             | DBT              | MUN               | US        |    590000 | PA      | $601712.33    | 0.01%             | 2026-08-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| SAN FRANCISCO CITY & CNTY CA R | San Francisco City & County Redevelopment Agency Successor Agency                | CUSIP: 79770GJJ6<br>LEI: 5493001TPOZL3UK8DX25 | Long             | DBT              | MUN               | US        |   5000000 | PA      | $4122949.00   | 0.08%             | 2032-08-01      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| SAN FRANCISCO CA CITY & CNTY P | City of San Francisco CA Public Utilities Commission Water Revenue               | CUSIP: 79771FCA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2000000 | PA      | $1461159.00   | 0.03%             | 2041-11-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SAN FRANCISCO CITY & CNTY CA R | San Francisco City & County Redevelopment Financing Authority                    | CUSIP: 79771PF67<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5240000 | PA      | $2567560.70   | 0.05%             | 2036-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SAN FRANCISCO CITY & CNTY CA R | San Francisco City & County Redevelopment Financing Authority                    | CUSIP: 79771PL45<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  19400000 | PA      | $20313643.00  | 0.41%             | 2037-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SAN FRANCISCO CITY & CNTY CA R | San Francisco City & County Redevelopment Financing Authority                    | CUSIP: 79771PU86<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4820000 | PA      | $6093531.72   | 0.12%             | 2039-08-01      | Fixed         | 8.41%                 | No            |                  2 | On Loan: No      |
| SANDY SPRING BANCORP INC       | Sandy Spring Bancorp Inc                                                         | CUSIP: 800363AB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5198061.83   | 0.10%             | 2029-11-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| SANTA ANA CA PENSN OBLIGS      | City of Santa Ana CA                                                             | CUSIP: 801139AG1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5500000 | PA      | $4573345.15   | 0.09%             | 2028-08-01      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| SANTA ANA CA PENSN OBLIGS      | City of Santa Ana CA                                                             | CUSIP: 801139AH9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4430000 | PA      | $3609126.76   | 0.07%             | 2029-08-01      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| SANTA ANA CA PENSN OBLIGS      | City of Santa Ana CA                                                             | CUSIP: 801139AJ5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1980000 | PA      | $1587644.19   | 0.03%             | 2030-08-01      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| SANTA ANA CA UNIF SCH DIST     | Santa Ana Unified School District                                                | CUSIP: 801155RQ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3955000 | PA      | $2127697.06   | 0.04%             | 2037-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SANTA CRUZ CNTY CA PENSN OBLIG | County of Santa Cruz CA                                                          | CUSIP: 80182AAG4<br>LEI: 254900WSC0632DCCW263 | Long             | DBT              | MUN               | US        |   3385000 | PA      | $2886769.64   | 0.06%             | 2028-06-01      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| SANTA CRUZ CNTY CA PENSN OBLIG | County of Santa Cruz CA                                                          | CUSIP: 80182AAH2<br>LEI: 254900WSC0632DCCW263 | Long             | DBT              | MUN               | US        |   2965000 | PA      | $2484026.89   | 0.05%             | 2029-06-01      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| SANTA CRUZ CNTY CA PENSN OBLIG | County of Santa Cruz CA                                                          | CUSIP: 80182AAJ8<br>LEI: 254900WSC0632DCCW263 | Long             | DBT              | MUN               | US        |   3900000 | PA      | $3203965.05   | 0.06%             | 2030-06-01      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl | Santander Drive Auto Receivables Trust 2022-2                                    | CUSIP: 80286MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9623028.00   | 0.19%             | 2027-09-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl | Santander Drive Auto Receivables Trust 2022-2                                    | CUSIP: 80286MAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4706073.50   | 0.09%             | 2029-07-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl | Santander Drive Auto Receivables Trust 2022-7                                    | CUSIP: 80287FAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10032880.00  | 0.20%             | 2028-01-17      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl | Santander Drive Auto Receivables Trust 2022-7                                    | CUSIP: 80287FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $9070262.10   | 0.18%             | 2031-03-17      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl | Santander Drive Auto Receivables Trust 2022-5                                    | CUSIP: 80287HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $7142892.00   | 0.14%             | 2028-10-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE-GRO CO          | Scotts Miracle-Gro Co/The                                                        | CUSIP: 810186AW6<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |   6828000 | PA      | $5264581.57   | 0.11%             | 2032-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE-GRO CO          | Scotts Miracle-Gro Co/The                                                        | CUSIP: 810186AX4<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |   1775000 | PA      | $1352212.75   | 0.03%             | 2031-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SENSATA TECH INC               | Sensata Technologies Inc                                                         | CUSIP: 81728UAA2<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |   8393000 | PA      | $7442912.40   | 0.15%             | 2030-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC       | Sensata Technologies Inc                                                         | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |   6355000 | PA      | $5233329.79   | 0.11%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL              | Service Corp International/US                                                    | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |  12676000 | PA      | $10583572.68  | 0.21%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL              | Service Corp International/US                                                    | CUSIP: 817565CG7<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |   7475000 | PA      | $6413475.25   | 0.13%             | 2031-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP        | Simon Property Group LP                                                          | CUSIP: 828807CE5<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   6738000 | PA      | $7228092.20   | 0.15%             | 2040-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC            | Sirius XM Radio Inc                                                              | CUSIP: 82967NBM9<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $5304227.50   | 0.11%             | 2031-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SOUTH CAROLINA ST JOBS-ECON DE | South Carolina Jobs-Economic Development Authority                               | CUSIP: 83703FLY6<br>LEI: 5493006X47I9VG3DL112 | Long             | DBT              | MUN               | US        |   5030000 | PA      | $4205350.61   | 0.08%             | 2030-07-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| S LAKE TAHOE CA PENSN OBLIG    | City of South Lake Tahoe CA                                                      | CUSIP: 83866PAH6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1600000 | PA      | $1550269.44   | 0.03%             | 2027-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| S WSTRN CITY OH SCH DIST FRANK | South-Western City School District                                               | CUSIP: 840658QF8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2735000 | PA      | $2054003.87   | 0.04%             | 2028-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTHSIDE BANCSHARES INC       | Southside Bancshares Inc                                                         | CUSIP: 84470PAF6<br>LEI: 549300TC83207VQA2K65 | Long             | SN               | CORP              | US        |   8000000 | PA      | $7335631.12   | 0.15%             | 2030-11-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Resid | Specialty Underwriting & Residential Finance Trust Series 2006-BC2               | CUSIP: 84751PLP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    799939 | PA      | $317496.40    | 0.01%             | 2037-02-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP           | OneMain Finance Corp                                                             | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |  10353000 | PA      | $8660802.15   | 0.17%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| STAFFORD TX MUNI SCH DIST      | Stafford Municipal School District                                               | CUSIP: 852519LQ8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1525000 | PA      | $1171247.12   | 0.02%             | 2041-08-15      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC            | Station Casinos LLC                                                              | CUSIP: 857691AH2<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1642989.84   | 0.03%             | 2031-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579C63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3370041 | PA      | $2386959.93   | 0.05%             | 2035-11-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2004-18                    | CUSIP: 863579FV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475382 | PA      | $433581.33    | 0.01%             | 2034-12-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-1                     | CUSIP: 863579Q43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1115983 | PA      | $888057.68    | 0.02%             | 2036-02-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| TOWNEBANK/PORTSMOUTH VA        | Towne Bank/Portsmouth VA                                                         | CUSIP: 89214PDD8<br>LEI: 54930039UO39UJGI7078 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3427335.32   | 0.07%             | 2032-02-15      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                  | TransDigm Inc                                                                    | CUSIP: 893647BK2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1021500.00   | 0.02%             | 2025-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TRUSTMARK CORP                 | Trustmark Corp                                                                   | CUSIP: 898402AA0<br>LEI: 5493000HPQ4D2RZ79739 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $5943464.87   | 0.12%             | 2030-12-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| TUCSON AZ COPS                 | City of Tucson AZ                                                                | CUSIP: 898735UT0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  11605000 | PA      | $8748873.72   | 0.18%             | 2034-07-01      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                   | UBS Group AG                                                                     | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  10000000 | PA      | $7784497.40   | 0.16%             | 2033-02-11      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2017-C1                                            | CUSIP: 90276EAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13000000 | PA      | $473950.10    | 0.01%             | 2050-06-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2017-C6                                            | CUSIP: 90276UBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  63420500 | PA      | $1524584.43   | 0.03%             | 2050-12-15      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2017-C7                                            | CUSIP: 90276WAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 170396000 | PA      | $2920536.32   | 0.06%             | 2050-12-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| UMB FINANCIAL CORP             | UMB Financial Corp                                                               | CUSIP: 902788AA6<br>LEI: 549300MGEH3N3CUCV828 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4660432.05   | 0.09%             | 2030-09-17      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2018-C14                                           | CUSIP: 90278KBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 114392000 | PA      | $2037149.93   | 0.04%             | 2051-12-15      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust                                                    | CUSIP: 90278MBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 128213000 | PA      | $6108375.03   | 0.12%             | 2052-10-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2019-C18                                           | CUSIP: 90278PAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4081959.00   | 0.08%             | 2052-12-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2019-C18                                           | CUSIP: 90278PBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $7650525.60   | 0.15%             | 2052-12-15      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2018-C12                                           | CUSIP: 90353DBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  45779790 | PA      | $1595856.02   | 0.03%             | 2051-08-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-1                     | CUSIP: 863579Q92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170236 | PA      | $153492.46    | 0.00%             | 2036-02-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579SS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    643089 | PA      | $496831.24    | 0.01%             | 2035-06-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-4                     | CUSIP: 86360BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    606583 | PA      | $414323.39    | 0.01%             | 2036-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2006-12                    | CUSIP: 86362RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    583865 | PA      | $447150.27    | 0.01%             | 2037-01-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2007-5                     | CUSIP: 86363XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1656098 | PA      | $1395170.61   | 0.03%             | 2037-06-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2007-6                     | CUSIP: 86364CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4649626 | PA      | $3988783.19   | 0.08%             | 2037-07-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2007-9                     | CUSIP: 86364JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    916469 | PA      | $800503.74    | 0.02%             | 2037-10-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| SUMMIT FIN GROUP INC           | Summit Financial Group Inc                                                       | CUSIP: 86606GAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3419126.28   | 0.07%             | 2031-12-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus | Suntrust Alternative Loan Trust Series 2005-1F                                   | CUSIP: 86789MAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    844452 | PA      | $738857.58    | 0.01%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus | Suntrust Alternative Loan Trust Series 2005-1F                                   | CUSIP: 86789MAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950021 | PA      | $1719970.61   | 0.03%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus | Suntrust Alternative Loan Trust Series 2005-1F                                   | CUSIP: 86789MAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1988599 | PA      | $1763866.41   | 0.04%             | 2035-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                  | Sutter Health                                                                    | CUSIP: 86944BAH6<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |   2766000 | PA      | $2052012.09   | 0.04%             | 2040-08-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| SYCAMORE OH CMNTY SCH DIST     | Sycamore Community City School District                                          | CUSIP: 87122NEP0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    605000 | PA      | $646569.13    | 0.01%             | 2028-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| SYNOVUS FINANCIAL CORP         | Synovus Financial Corp                                                           | CUSIP: 87161CAM7<br>LEI: 549300EIUS8UN5JTLE54 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3911203.36   | 0.08%             | 2029-02-07      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK       | Huntington National Bank/The                                                     | CUSIP: 87227RQE7<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $8892844.20   | 0.18%             | 2030-05-06      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC               | T-Mobile USA Inc                                                                 | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  11689000 | PA      | $9969358.27   | 0.20%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| TAMPA-HILLSBOROUGH CNTY FL EXP | Tampa-Hillsborough County Expressway Authority                                   | CUSIP: 875301HQ9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4750000 | PA      | $3875611.45   | 0.08%             | 2029-07-01      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| TAMPA-HILLSBOROUGH CNTY FL EXP | Tampa-Hillsborough County Expressway Authority                                   | CUSIP: 875301HR7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4305000 | PA      | $3419851.10   | 0.07%             | 2030-07-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu | TBW Mortgage-Backed Trust Series 2006-2                                          | CUSIP: 878048AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80750 | PA      | $7665.32      | 0.00%             | 2036-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TEMPUR SEALY INTL INC          | Tempur Sealy International Inc                                                   | CUSIP: 88023UAJ0<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |   7541000 | PA      | $5832511.04   | 0.12%             | 2031-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TEXAS CAPITAL BANK NA          | Texas Capital Bank NA                                                            | CUSIP: 88224PJS9<br>LEI: 38PG5GG0OEQK4QMSKE59 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4790734.30   | 0.10%             | 2026-01-31      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TEXAS CAPITAL BANCSHARES       | Texas Capital Bancshares Inc                                                     | CUSIP: 88224QAA5<br>LEI: 549300466Q2SXRX0YM48 | Long             | DBT              | CORP              | US        |  10942000 | PA      | $9545676.61   | 0.19%             | 2031-05-06      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| TEXAS ST TRANSPRTN COMMISSION  | Texas Transportation Commission                                                  | CUSIP: 882830BF8<br>LEI: 5493006JSGNPGVJS7691 | Long             | DBT              | MUN               | US        |   6295000 | PA      | $4185128.77   | 0.08%             | 2037-10-01      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| THOR INDUSTRIES                | Thor Industries Inc                                                              | CUSIP: 885160AA9<br>LEI: 254900XZO1228PDSG060 | Long             | DBT              | CORP              | US        |   8340000 | PA      | $6639580.50   | 0.13%             | 2029-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FIN AUTH WV | Tobacco Settlement Finance Authority                                             | CUSIP: 88880LAM5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4770000 | PA      | $3861529.65   | 0.08%             | 2030-06-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE            | Toledo Hospital/The                                                              | CUSIP: 889184AG2<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |   6980000 | PA      | $6755257.75   | 0.14%             | 2048-11-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| TOPBUILD CORP                  | TopBuild Corp                                                                    | CUSIP: 89055FAB9<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |   8815000 | PA      | $7167128.75   | 0.14%             | 2029-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| TOPBUILD CORP                  | TopBuild Corp                                                                    | CUSIP: 89055FAC7<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |   1565000 | PA      | $1255260.77   | 0.03%             | 2032-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2018-C12                                           | CUSIP: 90353DBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 139858000 | PA      | $2388159.26   | 0.05%             | 2051-08-15      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2018-C13                                           | CUSIP: 90353KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16442000 | PA      | $1552698.63   | 0.03%             | 2051-10-15      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2018-C13                                           | CUSIP: 90353KAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3274000 | PA      | $3144201.29   | 0.06%             | 2051-10-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | UBS Commercial Mortgage Trust 2018-C13                                           | CUSIP: 90353KBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 128678000 | PA      | $2304095.40   | 0.05%             | 2051-10-15      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| UNION CITY CA                  | City of Union City CA                                                            | CUSIP: 905649DK2<br>LEI: 549300Y6CPHG6CN8ME20 | Long             | DBT              | MUN               | US        |   2105000 | PA      | $1858796.04   | 0.04%             | 2025-07-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNION CNTY PA HOSP AUTH        | Union County Hospital Authority                                                  | CUSIP: 906460DR8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    295000 | PA      | $293028.28    | 0.01%             | 2023-08-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| UNION CNTY PA HOSP AUTH        | Union County Hospital Authority                                                  | CUSIP: 906460DS6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1060000 | PA      | $1038871.55   | 0.02%             | 2028-08-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UJA FEDERATION NEW YORK        | United Jewish Appeal-Federation of Jewish Philanthropies of New York Inc         | CUSIP: 910751AK2<br>LEI: 549300KFOHUQO5KVF916 | Long             | DBT              | CORP              | US        |   4565000 | PA      | $3741908.41   | 0.08%             | 2031-02-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM        | United Rentals North America Inc                                                 | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |   8500000 | PA      | $7063404.89   | 0.14%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $17978027.25  | 0.36%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $38710937.50  | 0.78%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $22333984.50  | 0.45%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $27304687.50  | 0.55%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $34967187.50  | 0.71%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 91282CEA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54750000 | PA      | $52676557.82  | 1.06%             | 2024-02-29      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                 | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  75000000 | PA      | $70904296.50  | 1.43%             | 2025-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNIV OF TEXAS TX               | Board of Regents of the University of Texas System                               | CUSIP: 9151375F6<br>LEI: TEHUYFNKZR6XVWLGEU86 | Long             | DBT              | MUN               | US        |   2710000 | PA      | $2813664.55   | 0.06%             | 2042-08-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| UNIV OF VIRGINIA VA UNIV REVEN | University of Virginia                                                           | CUSIP: 915217RY1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  10180000 | PA      | $11757036.74  | 0.24%             | 2039-09-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| VALDOSTA & LOWNDES CNTY GA HOS | Valdosta & Lowndes County Hospital Authority                                     | CUSIP: 919112FD9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2000000 | PA      | $1752401.20   | 0.04%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VALDOSTA & LOWNDES CNTY GA HOS | Valdosta & Lowndes County Hospital Authority                                     | CUSIP: 919112FE7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2000000 | PA      | $1669445.20   | 0.03%             | 2030-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| VALLEY NATIONAL BANCORP        | Valley National Bancorp                                                          | CUSIP: 919794AE7<br>LEI: 549300ET52S1UBIB9762 | Long             | DBT              | CORP              | US        |   7300000 | PA      | $6474022.59   | 0.13%             | 2031-06-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| VALVOLINE INC                  | Valvoline Inc                                                                    | CUSIP: 92047WAG6<br>LEI: 549300CMHPBEY6VPOT75 | Long             | DBT              | CORP              | US        |   7948000 | PA      | $6491886.66   | 0.13%             | 2031-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS         | Verizon Communications Inc                                                       | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   9180000 | PA      | $8671603.15   | 0.17%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA       | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668BF8<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $8808147.20   | 0.18%             | 2030-05-13      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra | VOLT XCV LLC                                                                     | CUSIP: 92873BAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1428545.91   | 0.03%             | 2051-03-27      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2003-S4                           | CUSIP: 9292275Q5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1862891 | PA      | $1707104.78   | 0.03%             | 2033-06-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust                   | CUSIP: 92922F4B1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4774166 | PA      | $4409292.44   | 0.09%             | 2035-12-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2003-AR10 Trust                   | CUSIP: 92922FEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7268620 | PA      | $6726018.95   | 0.14%             | 2033-10-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2004-S2 Trust                     | CUSIP: 92922FQP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46680 | PA      | $44912.80     | 0.00%             | 2034-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust   | CUSIP: 92922FX86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285965 | PA      | $246308.15    | 0.00%             | 2035-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust   | CUSIP: 92922FX94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2591834 | PA      | $2168062.95   | 0.04%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust   | CUSIP: 92922FY85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566609 | PA      | $473967.04    | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust   | CUSIP: 92922FZ27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1177880 | PA      | $998674.78    | 0.02%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust                   | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1076991 | PA      | $925660.63    | 0.02%             | 2036-12-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust                    | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13552048 | PA      | $11909573.42  | 0.24%             | 2036-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| WSFS FINANCIAL CORP            | WSFS Financial Corp                                                              | CUSIP: 929328AF9<br>LEI: 549300SU7VQHD6QRG886 | Long             | DBT              | CORP              | US        |   4470000 | PA      | $3961258.62   | 0.08%             | 2030-12-15      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU | WFRBS Commercial Mortgage Trust 2013-UBS1                                        | CUSIP: 92938JAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $7313304.75   | 0.15%             | 2046-03-15      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY5 Trust                    | CUSIP: 92990GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1173216 | PA      | $1013169.00   | 0.02%             | 2037-05-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust                    | CUSIP: 93362FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1564721 | PA      | $1366414.00   | 0.03%             | 2046-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 Trust                    | CUSIP: 933634AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2415639 | PA      | $2166141.01   | 0.04%             | 2037-03-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC2 Trust | CUSIP: 93936LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3059354 | PA      | $2705653.46   | 0.05%             | 2037-06-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| WASHINGTON ST HSG FIN COMMISSI | Washington State Housing Finance Commission                                      | CUSIP: 93978TS67<br>LEI: 549300YL1HU59NREG764 | Long             | DBT              | MUN               | US        |  20791426 | PA      | $1075748.40   | 0.02%             | 2035-12-20      | Fixed         | 0.72%                 | No            |                  2 | On Loan: No      |
| Webster Park CLO Ltd           | Webster Park CLO Ltd                                                             | CUSIP: 948214AU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10300000 | PA      | $9624114.00   | 0.19%             | 2030-07-20      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Webster Park CLO Ltd           | Webster Park CLO Ltd                                                             | CUSIP: 948214AW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4800000 | PA      | $4416945.60   | 0.09%             | 2030-07-20      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR19 Trust                           | CUSIP: 949789AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1489405 | PA      | $1412626.62   | 0.03%             | 2036-12-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2004-J Trust                              | CUSIP: 949813AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3366944 | PA      | $3014339.88   | 0.06%             | 2034-07-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2005-AR14 Trust                           | CUSIP: 94982DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    578800 | PA      | $544103.16    | 0.01%             | 2035-08-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR1 Trust                            | CUSIP: 94983JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1563911 | PA      | $1426132.98   | 0.03%             | 2036-03-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR5 Trust                            | CUSIP: 94983RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2169122 | PA      | $2029309.19   | 0.04%             | 2036-04-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR5 Trust                            | CUSIP: 94983RAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1534225 | PA      | $1411680.09   | 0.03%             | 2036-04-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-AR3 Trust                            | CUSIP: 94983UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734857 | PA      | $634728.26    | 0.01%             | 2037-04-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    821638 | PA      | $700668.98    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA6 Trust                                      | CUSIP: 94985KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3482824 | PA      | $3146843.70   | 0.06%             | 2037-12-28      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2015-NXS1                                  | CUSIP: 94989HBF6<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |   1320000 | PA      | $1217651.56   | 0.02%             | 2048-05-15      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2015-C28                                   | CUSIP: 94989JBF2<br>LEI: 549300S7ENI2U7O0XH56 | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8936173.00   | 0.18%             | 2048-05-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2015-C28                                   | CUSIP: 94989JBH8<br>LEI: 549300S7ENI2U7O0XH56 | Long             | ABS-MBS          | CORP              | US        |   4376000 | PA      | $3753933.66   | 0.08%             | 2048-05-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2015-C30                                   | CUSIP: 94989NBK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5800000 | PA      | $5360345.50   | 0.11%             | 2058-09-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2016-LC24                                  | CUSIP: 95000HBK7<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |  66264075 | PA      | $2100922.38   | 0.04%             | 2049-10-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2016-C37                                   | CUSIP: 95000PAL8<br>LEI: 549300TRQQDPEF728F16 | Long             | ABS-MBS          | CORP              | US        |   7213000 | PA      | $6380378.16   | 0.13%             | 2049-12-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2016-C37                                   | CUSIP: 95000PAX2<br>LEI: 549300TRQQDPEF728F16 | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $2545406.38   | 0.05%             | 2049-12-15      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2017-RB1                                   | CUSIP: 95000TBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  69254209 | PA      | $1895674.69   | 0.04%             | 2050-03-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2017-C42                                   | CUSIP: 95001GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 116750000 | PA      | $1855706.23   | 0.04%             | 2050-12-15      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2018-C48                                   | CUSIP: 95001RAV1<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6744275.30   | 0.14%             | 2052-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2018-C48                                   | CUSIP: 95001RAZ2<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        | 138642000 | PA      | $2102034.55   | 0.04%             | 2052-01-15      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C51                                   | CUSIP: 95001VAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 130394000 | PA      | $4644034.47   | 0.09%             | 2052-06-15      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C49                                   | CUSIP: 95001WAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4773798.50   | 0.10%             | 2052-03-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C49                                   | CUSIP: 95001WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 125812000 | PA      | $4172567.56   | 0.08%             | 2052-03-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C49                                   | CUSIP: 95001WBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4647000 | PA      | $4109563.30   | 0.08%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust                   | CUSIP: 93363EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    921326 | PA      | $745716.46    | 0.02%             | 2036-09-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust                    | CUSIP: 93364FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206330 | PA      | $150727.22    | 0.00%             | 2037-07-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| WARREN CNTY KY INDL BLDG REVEN | County of Warren KY                                                              | CUSIP: 934867DH2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    825000 | PA      | $770318.59    | 0.02%             | 2031-12-01      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| WARREN CNTY KY INDL BLDG REVEN | County of Warren KY                                                              | CUSIP: 934867DJ8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1540000 | PA      | $1411482.84   | 0.03%             | 2038-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust   | CUSIP: 9393362N2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000210 | PA      | $878506.37    | 0.02%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust   | CUSIP: 9393366X6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3119282 | PA      | $2600984.04   | 0.05%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-HY2 Trust | CUSIP: 939348AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1187290 | PA      | $632565.37    | 0.01%             | 2037-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 Trust   | CUSIP: 93934FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1051979 | PA      | $930086.94    | 0.02%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FEZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394211 | PA      | $326273.88    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-8 Trust   | CUSIP: 93935EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2314473 | PA      | $861210.69    | 0.02%             | 2036-10-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-HY1 Trust | CUSIP: 93936AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1782247 | PA      | $1456957.39   | 0.03%             | 2037-02-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 Trust | CUSIP: 93936FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3661565 | PA      | $3210912.37   | 0.06%             | 2047-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C50                                   | CUSIP: 95001XBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  36427311 | PA      | $1708954.51   | 0.03%             | 2052-05-15      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C53                                   | CUSIP: 95002BAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 105325000 | PA      | $2964361.59   | 0.06%             | 2052-10-15      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C53                                   | CUSIP: 95002BAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5200000 | PA      | $4160854.36   | 0.08%             | 2052-10-15      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2018-C47                                   | CUSIP: 95002DBN8<br>LEI: 549300VHRKFNCWVN9Y77 | Long             | ABS-MBS          | CORP              | US        | 164144000 | PA      | $1534959.79   | 0.03%             | 2061-09-15      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2018-C47                                   | CUSIP: 95002DBR9<br>LEI: 549300VHRKFNCWVN9Y77 | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7466184.00   | 0.15%             | 2061-09-15      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2020-C55                                   | CUSIP: 95002EBG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  58030370 | PA      | $2693439.00   | 0.05%             | 2053-02-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C52                                   | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  57584987 | PA      | $4157808.78   | 0.08%             | 2052-08-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2019-C52                                   | CUSIP: 95002MAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 113763146 | PA      | $6679398.34   | 0.13%             | 2052-08-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2020-C56                                   | CUSIP: 95002RAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $1985339.25   | 0.04%             | 2053-06-15      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2020-C56                                   | CUSIP: 95002RBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 127035000 | PA      | $2299384.31   | 0.05%             | 2053-06-15      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2020-C58                                   | CUSIP: 95002UBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 109974000 | PA      | $7622869.80   | 0.15%             | 2053-07-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2020-C57                                   | CUSIP: 95002XBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7250000 | PA      | $6226870.58   | 0.13%             | 2053-08-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2020-C57                                   | CUSIP: 95002XBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  74972000 | PA      | $3338570.63   | 0.07%             | 2053-08-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2021-C59                                   | CUSIP: 95003CAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7648000 | PA      | $5627985.77   | 0.11%             | 2054-04-15      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2021-C59                                   | CUSIP: 95003CBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40274000 | PA      | $3575626.41   | 0.07%             | 2054-04-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2021-C59                                   | CUSIP: 95003CBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  65782000 | PA      | $3831492.32   | 0.08%             | 2054-04-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2021-C60                                   | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  41295410 | PA      | $3705238.96   | 0.07%             | 2054-08-15      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2021-C60                                   | CUSIP: 95003DBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40551000 | PA      | $3047545.52   | 0.06%             | 2054-08-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2021-C60                                   | CUSIP: 95003DBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6814678 | PA      | $5069996.40   | 0.10%             | 2054-08-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2021-C60                                   | CUSIP: 95003DCB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2088699.60   | 0.04%             | 2054-08-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2021-C61                                   | CUSIP: 95003QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $12765670.50  | 0.26%             | 2054-11-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2021-C61                                   | CUSIP: 95003QBS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4221000 | PA      | $3243416.82   | 0.07%             | 2054-11-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2021-C61                                   | CUSIP: 95003QCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9132000 | PA      | $828396.60    | 0.02%             | 2054-11-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| W CONTRA COSTA CA UNIF SCH DIS | West Contra Costa Unified School District                                        | CUSIP: 952347WS7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5000000 | PA      | $2925085.50   | 0.06%             | 2036-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WEST HARTFORD CT               | Town of West Hartford CT                                                         | CUSIP: 953107AR0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7025000 | PA      | $5167143.21   | 0.10%             | 2041-07-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| W SONOMA CNTY CA UNION HIGH SC | West Sonoma County Union High School District                                    | CUSIP: 956101EJ4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1840000 | PA      | $995578.37    | 0.02%             | 2037-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WESTERN ALLIANCE BANCORP       | Western Alliance Bancorp                                                         | CUSIP: 957638AD1<br>LEI: 5493003VJXZ5JXT9S762 | Long             | DBT              | CORP              | US        |   5900000 | PA      | $5034651.60   | 0.10%             | 2031-06-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| WESTERN ALLIANCE BANK          | Western Alliance Bank                                                            | CUSIP: 95763PEF4<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4834028.05   | 0.10%             | 2030-06-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| WSTRN MN MUNI PWR AGY          | Western Minnesota Municipal Power Agency                                         | CUSIP: 958697LB8<br>LEI: 549300LFJK9CQSN2NJ11 | Long             | DBT              | MUN               | US        |  17500000 | PA      | $13878054.75  | 0.28%             | 2039-01-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| WSTRN NASSAU CNTY NY WTR AUTH  | Western Nassau County Water Authority                                            | CUSIP: 958792FR9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1500000 | PA      | $1097860.50   | 0.02%             | 2041-04-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable | Westlake Automobile Receivables Trust 2022-2                                     | CUSIP: 96042VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4850000 | PA      | $4721025.41   | 0.10%             | 2026-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable | Westlake Automobile Receivables Trust 2022-1                                     | CUSIP: 96042WAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2645000 | PA      | $2536625.62   | 0.05%             | 2027-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Whetstone Park CLO Ltd         | Whetstone Park CLO Ltd                                                           | CUSIP: 96329YAE7<br>LEI: 549300M54M5QSBMB3780 | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1133682.20   | 0.02%             | 2035-01-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| WHITE BEAR LAKE MN INDEP SCH D | White Bear Lake Independent School District No 624                               | CUSIP: 963439C51<br>LEI: 549300I7BXOUJLASQ618 | Long             | DBT              | MUN               | US        |   8330000 | PA      | $6758592.15   | 0.14%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WHITTIER CA PENSION OBLIG      | City of Whittier CA                                                              | CUSIP: 966770AG4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1085000 | PA      | $906631.32    | 0.02%             | 2028-06-01      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| WHITTIER CA PENSION OBLIG      | City of Whittier CA                                                              | CUSIP: 966770AH2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1685000 | PA      | $1374929.16   | 0.03%             | 2029-06-01      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| WILDFLOWER IMPROV ASSN         | Wildflower Improvement Association                                               | CUSIP: 96812GAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5527867 | PA      | $5275773.80   | 0.11%             | 2031-03-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| WILLIAM S HART CA UNION HIGH S | William S Hart Union High School District                                        | CUSIP: 969268AY7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1050000 | PA      | $629269.20    | 0.01%             | 2036-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WINNEBAGO INDUSTRIES           | Winnebago Industries Inc                                                         | CUSIP: 974637AC4<br>LEI: 549300B7OYKYJLTE3G11 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $923820.00    | 0.02%             | 2028-07-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WORCESTER MA                   | City of Worcester MA                                                             | CUSIP: 981305SA4<br>LEI: 5493006DO0NOILRNNH68 | Long             | DBT              | MUN               | US        |   2875000 | PA      | $2984511.91   | 0.06%             | 2028-01-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WYETH LLC                      | Wyeth LLC                                                                        | CUSIP: 983024AN0<br>LEI: 549300Q9GR3WRH4N4836 | Long             | DBT              | CORP              | US        |  13738000 | PA      | $15008897.98  | 0.30%             | 2037-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| YMCA OF GREATER NY             | YMCA of Greater New York                                                         | CUSIP: 98425BAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5730000 | PA      | $5107469.36   | 0.10%             | 2026-08-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| YOSEMITE CA CMNTY CLG DIST     | Yosemite Community College District                                              | CUSIP: 987388DQ5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6110000 | PA      | $3123232.20   | 0.06%             | 2038-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| YUBA CA CMNTY CLG DIST         | Yuba Community College District                                                  | CUSIP: 988176HX4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5055000 | PA      | $2644087.00   | 0.05%             | 2038-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC                | Yum! Brands Inc                                                                  | CUSIP: 988498AL5<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3290004.00   | 0.07%             | 2030-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ADT SEC CORP                   | ADT Security Corp/The                                                            | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |   4730000 | PA      | $4132813.85   | 0.08%             | 2029-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2006-2                                            | CUSIP: 007034AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    872233 | PA      | $754363.01    | 0.02%             | 2036-05-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-3                                            | CUSIP: 007036HV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283215 | PA      | $275467.30    | 0.01%             | 2035-07-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-10                                           | CUSIP: 007036TK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5259402 | PA      | $4104909.34   | 0.08%             | 2036-01-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| AECOM                          | AECOM                                                                            | CUSIP: 00774CAB3<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |   4084000 | PA      | $3915698.36   | 0.08%             | 2027-03-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ALASKA ST MUNI BOND BANK AUTH  | Alaska Municipal Bond Bank Authority                                             | CUSIP: 01179RL92<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7710000 | PA      | $6255422.15   | 0.13%             | 2031-12-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC           | Howmet Aerospace Inc                                                             | CUSIP: 013817AJ0<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |   6826000 | PA      | $6766272.50   | 0.14%             | 2027-02-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC       | Allison Transmission Inc                                                         | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |  13782000 | PA      | $11506908.79  | 0.23%             | 2031-01-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-J2                                                   | CUSIP: 020908AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3915757 | PA      | $3561867.08   | 0.07%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-16CB                                                 | CUSIP: 021460AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389531 | PA      | $238733.81    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-16CB                                                 | CUSIP: 021460AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1021003 | PA      | $625747.52    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-16CB                                                 | CUSIP: 021460AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    886335 | PA      | $543190.70    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-14CB                                                 | CUSIP: 021468AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2436154 | PA      | $1382431.20   | 0.03%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J3                                                   | CUSIP: 021469AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535777 | PA      | $496884.98    | 0.01%             | 2026-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4009424 | PA      | $2285680.83   | 0.05%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2487200 | PA      | $1417895.52   | 0.03%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-30T1                                                 | CUSIP: 02146VAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8390698 | PA      | $2932006.81   | 0.06%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-19CB                                                 | CUSIP: 02147QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000068 | PA      | $616051.81    | 0.01%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-19CB                                                 | CUSIP: 02147QAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224576 | PA      | $138164.83    | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-19CB                                                 | CUSIP: 02147QAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3876010 | PA      | $2386571.51   | 0.05%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-19CB                                                 | CUSIP: 02147QAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2536376 | PA      | $1561814.84   | 0.03%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-19CB                                                 | CUSIP: 02147QAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665291 | PA      | $338798.57    | 0.01%             | 2036-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| AMERICAN MUNI PWR-OHIO INC OH  | American Municipal Power Inc                                                     | CUSIP: 02765UEJ9<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |   7890000 | PA      | $9618003.89   | 0.19%             | 2041-02-15      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE AK                   | Municipality of Anchorage AK                                                     | CUSIP: 033162HX9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1685000 | PA      | $1444824.31   | 0.03%             | 2028-09-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE AK                   | Municipality of Anchorage AK                                                     | CUSIP: 033162JF6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1525000 | PA      | $1308557.82   | 0.03%             | 2028-09-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XXIV                                                                  | CUSIP: 03762XAD1<br>LEI: 549300PPHIOJQEKPJH29 | Long             | ABS-CBDO         | CORP              | KY        |   2550000 | PA      | $2129357.10   | 0.04%             | 2030-10-20      | Floating      | 10.04%                | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XI                                                                    | CUSIP: 03763YBS4<br>LEI: 549300XIP4V1NMCICV93 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1465818.00   | 0.03%             | 2034-04-17      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XII                                                                   | CUSIP: 03764DAL5<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-CBDO         | CORP              | KY        |   3195000 | PA      | $2918156.45   | 0.06%             | 2031-04-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XII                                                                   | CUSIP: 03764FAD8<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-CBDO         | CORP              | KY        |   6150000 | PA      | $5014986.75   | 0.10%             | 2031-04-15      | Floating      | 9.48%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XV                                                                    | CUSIP: 03764QBG6<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3874936.00   | 0.08%             | 2031-04-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XV                                                                    | CUSIP: 03764QBJ0<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4640050.00   | 0.09%             | 2031-04-20      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XV                                                                    | CUSIP: 03764WAG4<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |   3843000 | PA      | $3358808.90   | 0.07%             | 2031-04-20      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XX                                                                    | CUSIP: 03765LAV4<br>LEI: 5493008YDOADR1DMZM86 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1173997.50   | 0.02%             | 2031-07-16      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XX                                                                    | CUSIP: 03765MAG5<br>LEI: 5493008YDOADR1DMZM86 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1426783.75   | 0.03%             | 2031-07-16      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XXVIII                                                                | CUSIP: 03767CAB6<br>LEI: 549300QCAOUF4OXOI275 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1935424.00   | 0.04%             | 2031-01-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XXIX                                                                  | CUSIP: 03767MAJ7<br>LEI: 549300AVJUID3QNR9M59 | Long             | ABS-CBDO         | CORP              | KY        |   7600000 | PA      | $7093999.60   | 0.14%             | 2030-07-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XXIX                                                                  | CUSIP: 03767MAL2<br>LEI: 549300AVJUID3QNR9M59 | Long             | ABS-CBDO         | CORP              | KY        |   6250000 | PA      | $5783168.75   | 0.12%             | 2030-07-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XXXI                                                                  | CUSIP: 03767XAC8<br>LEI: 549300IG6PHVJ3WBR394 | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1245437.20   | 0.03%             | 2031-04-15      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XXX                                                                   | CUSIP: 03768CAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3600000 | PA      | $3378553.20   | 0.07%             | 2031-10-18      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-2F                                                  | CUSIP: 362334BN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    454318 | PA      | $397766.96    | 0.01%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR4                                                 | CUSIP: 362341FQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166767 | PA      | $153039.20    | 0.00%             | 2035-07-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR5                                                 | CUSIP: 362341LF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    558809 | PA      | $502019.05    | 0.01%             | 2035-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-7F                                                  | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20907 | PA      | $19905.79     | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-AR7                                                 | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413511 | PA      | $366341.63    | 0.01%             | 2035-11-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2004-15F                                                 | CUSIP: 36242DQX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1089141 | PA      | $888894.38    | 0.02%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Trust                                                                       | CUSIP: 36242DSV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2050000 | PA      | $1922539.00   | 0.04%             | 2034-11-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-1F                                                  | CUSIP: 36242DVJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14348 | PA      | $12687.60     | 0.00%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2005-4F                                                  | CUSIP: 36242DW33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47650 | PA      | $47487.56     | 0.00%             | 2500-12-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2007-7                                                    | CUSIP: 36249BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    832243 | PA      | $778211.70    | 0.02%             | 2037-07-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2015-GC30                                           | CUSIP: 36250GAU9<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |   2960000 | PA      | $2733252.16   | 0.06%             | 2050-05-10      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2015-GC32                                           | CUSIP: 36250PAJ4<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |   5853000 | PA      | $5479885.30   | 0.11%             | 2048-07-10      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Corp II                                                   | CUSIP: 36250SAP4<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |  24049000 | PA      | $1620967.53   | 0.03%             | 2051-07-10      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2016-GS3                                            | CUSIP: 36251PAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10417000 | PA      | $8884879.10   | 0.18%             | 2049-10-10      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2019-GC38                                           | CUSIP: 36252SAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20916000 | PA      | $1924021.01   | 0.04%             | 2052-02-10      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2017-GS8                                            | CUSIP: 36254KAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  44642000 | PA      | $756302.44    | 0.02%             | 2050-11-10      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2019-GC39                                           | CUSIP: 36260JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  69588000 | PA      | $2428788.21   | 0.05%             | 2052-05-10      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2019-GC39                                           | CUSIP: 36260JAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8215000 | PA      | $674653.59    | 0.01%             | 2052-05-10      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2019-GSA1                                           | CUSIP: 36261PAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  70642670 | PA      | $3024339.87   | 0.06%             | 2052-11-10      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust     | GLS Auto Receivables Issuer Trust 2021-4                                         | CUSIP: 36263DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8650000 | PA      | $7970397.18   | 0.16%             | 2027-10-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Trust 2020-GSA2                                           | CUSIP: 36264KAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  73324000 | PA      | $4390303.83   | 0.09%             | 2053-12-12      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust     | GLS Auto Receivables Issuer Trust 2022-2                                         | CUSIP: 36265NAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4838688.00   | 0.10%             | 2026-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US  | GoldentTree Loan Management US CLO 1 Ltd                                         | CUSIP: 38138HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6500000 | PA      | $5499156.00   | 0.11%             | 2033-01-20      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC 3 CLO 1 LLC  | Golub Capital BDC 3 CLO 1 LLC                                                    | CUSIP: 38177XAE4<br>LEI: 254900GKK16EMNSQ3D94 | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $6422983.00   | 0.13%             | 2033-04-15      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN       | Graphic Packaging International LLC                                              | CUSIP: 38869AAA5<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    900000 | PA      | $840082.50    | 0.02%             | 2027-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN       | Graphic Packaging International LLC                                              | CUSIP: 38869AAB3<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |   1558000 | PA      | $1357299.27   | 0.03%             | 2028-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN       | Graphic Packaging International LLC                                              | CUSIP: 38869AAD9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |   2933000 | PA      | $2495117.77   | 0.05%             | 2030-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GREAT LAKES MI WTR AUTH SEWAGE | Great Lakes Water Authority Sewage Disposal System Revenue                       | CUSIP: 39081HCV2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  13975000 | PA      | $10635585.71  | 0.21%             | 2039-07-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| GREAT LAKES MI WTR AUTH SEWAGE | Great Lakes Water Authority Sewage Disposal System Revenue                       | CUSIP: 39081HCZ3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | PA      | $749322.10    | 0.02%             | 2036-07-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GREAT SOUTHERN BANK            | Great Southern Bank                                                              | CUSIP: 390905AC1<br>LEI: 1TMVIO1SD0RLIPEIW803 | Long             | DBT              | CORP              | US        |   4750000 | PA      | $4587441.51   | 0.09%             | 2030-06-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Grippen Park CLO LTD           | Grippen Park CLO Ltd                                                             | CUSIP: 39862DAA4<br>LEI: 549300P7KR0IARP7PG22 | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1016280.30   | 0.02%             | 2030-01-20      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| Grippen Park CLO LTD           | Grippen Park CLO Ltd                                                             | CUSIP: 39862EAD6<br>LEI: 549300P7KR0IARP7PG22 | Long             | ABS-CBDO         | CORP              | KY        |   7550000 | PA      | $7211427.80   | 0.15%             | 2030-01-20      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| GROUP 1 AUTOMOTIVE INC         | Group 1 Automotive Inc                                                           | CUSIP: 398905AN9<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |  17214000 | PA      | $14622619.07  | 0.30%             | 2028-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH       | Hackensack Meridian Health Inc                                                   | CUSIP: 404530AC1<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   9920000 | PA      | $6782031.40   | 0.14%             | 2041-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| HAMILTON CNTY OH HLTH CARE FAC | County of Hamilton OH                                                            | CUSIP: 40727TDJ0<br>LEI: 549300TO1E3N4E4YIO28 | Long             | DBT              | MUN               | US        |    285000 | PA      | $237626.13    | 0.00%             | 2034-06-01      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| HAMILTON CNTY OH HLTH CARE FAC | County of Hamilton OH                                                            | CUSIP: 40727TDK7<br>LEI: 549300TO1E3N4E4YIO28 | Long             | DBT              | MUN               | US        |   8700000 | PA      | $6784240.86   | 0.14%             | 2042-06-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-6                                            | CUSIP: 41161UAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2370882 | PA      | $1861458.43   | 0.04%             | 2036-08-19      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| HARRIS CNTY TX MET TRANSIT AUT | Metropolitan Transit Authority of Harris County Sales & Use Tax Revenue          | CUSIP: 41422EKW2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  17015000 | PA      | $12434912.51  | 0.25%             | 2037-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| HAWAII ST                      | State of Hawaii                                                                  | CUSIP: 419792ZY5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2500000 | PA      | $1883791.50   | 0.04%             | 2036-10-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| HEARTLAND FINANCIAL USA        | Heartland Financial USA Inc                                                      | CUSIP: 42234QAE2<br>LEI: 549300QF7B0DFZT32C73 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5231238.30   | 0.11%             | 2031-09-15      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| HERCULES CA REDEV AGY SUCCESSO | Hercules Redevelopment Agency Successor Agency                                   | CUSIP: 427078AP5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5460000 | PA      | $5343722.75   | 0.11%             | 2033-08-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| HILLTOP HOLDINGS INC           | Hilltop Holdings Inc                                                             | CUSIP: 432748AE1<br>LEI: 54930010TA543US0PM65 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $8757618.93   | 0.18%             | 2035-05-15      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| HOME BANCSHARES INC            | Home BancShares Inc/AR                                                           | CUSIP: 436893AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8000000 | PA      | $6864486.56   | 0.14%             | 2032-01-30      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                 | Home Depot Inc/The                                                               | CUSIP: 437076AU6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5192172.05   | 0.10%             | 2040-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2019-2 Trust                                            | CUSIP: 43732TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2423056 | PA      | $2102386.95   | 0.04%             | 2039-10-19      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| HOMESTREET INC                 | HomeStreet Inc                                                                   | CUSIP: 43785VAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6500000 | PA      | $5635244.68   | 0.11%             | 2032-01-30      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2022-2 Owner Trust                                        | CUSIP: 43815PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4225000 | PA      | $4174070.16   | 0.08%             | 2025-03-18      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T | Honda Auto Receivables 2022-2 Owner Trust                                        | CUSIP: 43815PAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4125000 | PA      | $4024707.23   | 0.08%             | 2026-07-20      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| HOUSTON TX                     | City of Houston TX                                                               | CUSIP: 4423313K8<br>LEI: 549300C64URYS0WQQY42 | Long             | DBT              | MUN               | US        |   5800000 | PA      | $5068221.54   | 0.10%             | 2047-03-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| HOUSTON TX                     | City of Houston TX                                                               | CUSIP: 442331HW7<br>LEI: 549300C64URYS0WQQY42 | Long             | DBT              | MUN               | US        |   5400000 | PA      | $5663041.56   | 0.11%             | 2036-03-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| HOUSTON TX                     | City of Houston TX                                                               | CUSIP: 442331MG6<br>LEI: 549300C64URYS0WQQY42 | Long             | DBT              | MUN               | US        |   4100000 | PA      | $4321226.16   | 0.09%             | 2037-03-01      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| HOUSTON TX                     | City of Houston TX                                                               | CUSIP: 442331QN7<br>LEI: 549300C64URYS0WQQY42 | Long             | DBT              | MUN               | US        |    860000 | PA      | $901143.86    | 0.02%             | 2032-03-01      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| HOUSTON TX ARPT SYS REVENUE    | City of Houston TX Airport System Revenue                                        | CUSIP: 442348P36<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2025000 | PA      | $2117430.72   | 0.04%             | 2028-01-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| HOUSTON TX ARPT SYS REVENUE    | City of Houston TX Airport System Revenue                                        | CUSIP: 442349ET9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  19835000 | PA      | $16077513.14  | 0.32%             | 2031-07-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC           | Howmet Aerospace Inc                                                             | CUSIP: 443201AB4<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |  12437000 | PA      | $10524500.33  | 0.21%             | 2029-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUMANGOOD CALIFORNIA           | HumanGood California Obligated Group                                             | CUSIP: 44487HAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5850000 | PA      | $5399594.75   | 0.11%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BEACH CA PENSN OBLI | City of Huntington Beach CA                                                      | CUSIP: 446201AK1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4000000 | PA      | $3205632.00   | 0.06%             | 2031-06-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST FIN AUTH REVENUE   | Illinois Finance Authority                                                       | CUSIP: 45204FED3<br>LEI: 549300ZG6UBPNNNRN315 | Long             | DBT              | MUN               | US        |   7000000 | PA      | $4784663.80   | 0.10%             | 2041-05-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                    | State of Illinois                                                                | CUSIP: 452152F48<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |   3000000 | PA      | $3007631.40   | 0.06%             | 2037-01-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                | Impac CMB Trust Series 2005-5                                                    | CUSIP: 45254NPW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429009 | PA      | $378502.00    | 0.01%             | 2035-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.     | Impac Secured Assets CMN Owner Trust                                             | CUSIP: 45254TLD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1011812 | PA      | $953619.48    | 0.02%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.     | Impac Secured Assets CMN Owner Trust                                             | CUSIP: 45254TPL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169687 | PA      | $163706.35    | 0.00%             | 2034-08-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| INDEPENDENT BANK GRP INC       | Independent Bank Group Inc                                                       | CUSIP: 45384BAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6352159.24   | 0.13%             | 2030-09-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| INDIANA ST FIN AUTH REVENUE    | Indiana Finance Authority                                                        | CUSIP: 45506DVD4<br>LEI: 549300PS0PAS7NDSSI20 | Long             | DBT              | MUN               | US        |   3000000 | PA      | $2882426.10   | 0.06%             | 2035-07-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| INDIANAPOLIS IN LOCAL PUBLIC I | Indianapolis Local Public Improvement Bond Bank                                  | CUSIP: 45528UR37<br>LEI: 549300LX8ESJHDSESB87 | Long             | DBT              | MUN               | US        |   9500000 | PA      | $6861924.10   | 0.14%             | 2040-01-01      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| INDUSTRY CA SALES TAX REVENUE  | City of Industry CA Sales Tax Revenue                                            | CUSIP: 45656RCT7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2885000 | PA      | $2824214.49   | 0.06%             | 2028-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR35                                       | CUSIP: 45660L2F5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1161194 | PA      | $994490.81    | 0.02%             | 2036-02-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L4G1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3466766 | PA      | $1347492.81   | 0.03%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR3                                        | CUSIP: 45660L5P0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5113569 | PA      | $3584215.19   | 0.07%             | 2036-03-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LA41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3515627 | PA      | $1588651.99   | 0.03%             | 2035-10-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LA82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400397 | PA      | $211342.72    | 0.00%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR23                                       | CUSIP: 45660LF53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620985 | PA      | $525221.40    | 0.01%             | 2035-11-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR23                                       | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1074412 | PA      | $916533.38    | 0.02%             | 2035-11-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR3                                        | CUSIP: 45660LFN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    877223 | PA      | $788520.16    | 0.02%             | 2035-04-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A5                                   | CUSIP: 45660LKD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060531 | PA      | $746171.62    | 0.02%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR9                                        | CUSIP: 45660LMV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2953246 | PA      | $1670259.25   | 0.03%             | 2035-07-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2005-AR25                                       | CUSIP: 45660LQ93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1873833 | PA      | $1195435.17   | 0.02%             | 2035-12-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LZZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244236 | PA      | $170324.26    | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2004-AR11                                       | CUSIP: 45660N6Q3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    925974 | PA      | $885336.97    | 0.02%             | 2034-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2004-AR4                                        | CUSIP: 45660NQ40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2415899 | PA      | $2215211.93   | 0.04%             | 2034-08-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2003-A9                                   | CUSIP: 45660NSX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    940916 | PA      | $867202.25    | 0.02%             | 2033-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2004-R2                                   | CUSIP: 45660NW68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1657292 | PA      | $1557453.85   | 0.03%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR9                                        | CUSIP: 45661EGG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1629296 | PA      | $1268440.34   | 0.03%             | 2036-06-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR25                                       | CUSIP: 45661HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1977860 | PA      | $1339563.73   | 0.03%             | 2036-09-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR25                                       | CUSIP: 45661HAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1177538 | PA      | $1009296.33   | 0.02%             | 2036-09-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru | IndyMac IMSC Mortgage Loan Trust 2007-AR1                                        | CUSIP: 456672AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363054 | PA      | $249555.75    | 0.01%             | 2037-06-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru | IndyMac INDX Mortgage Loan Trust 2006-AR31                                       | CUSIP: 45667QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3981915 | PA      | $3438326.82   | 0.07%             | 2036-11-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru | IndyMac INDA Mortgage Loan Trust 2007-AR1                                        | CUSIP: 45669AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324237 | PA      | $265809.91    | 0.01%             | 2037-03-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| INLAND EMPIRE CA TOBACCO SECUR | Inland Empire Tobacco Securitization Corp                                        | CUSIP: 45734TAJ3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  14415000 | PA      | $13501802.54  | 0.27%             | 2038-06-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| IRVING TX HOTEL OCCUPANCY TAX  | City of Irving TX                                                                | CUSIP: 463805BN0<br>LEI: 5493002R7BX8XPQ92O37 | Long             | DBT              | MUN               | US        |   3500000 | PA      | $3541520.50   | 0.07%             | 2044-08-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu | JPMBB Commercial Mortgage Securities Trust 2015-C32                              | CUSIP: 46590JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23066000 | PA      | $263826.60    | 0.01%             | 2048-11-15      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1                    | CUSIP: 46590KAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7485000 | PA      | $6772984.88   | 0.14%             | 2049-01-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| JEA FL WTR & SWR REVENUE       | JEA Water & Sewer System Revenue                                                 | CUSIP: 46615SEU8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5045000 | PA      | $4205445.91   | 0.08%             | 2041-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-S3                                                 | CUSIP: 466247ZS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46686 | PA      | $23412.94     | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-S4                                         | CUSIP: 466302AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    446209 | PA      | $421746.25    | 0.01%             | 2036-12-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust                                                 | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6560053 | PA      | $3521066.05   | 0.07%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-A3                                                 | CUSIP: 46630UAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2602065 | PA      | $2065606.79   | 0.04%             | 2037-05-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC20                 | CUSIP: 46631QAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190982 | PA      | $0.00         | 0.00%             | 2051-02-12      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic              | JP Morgan Resecuritization Trust Series 2009-7                                   | CUSIP: 46633PBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17440 | PA      | $17370.89     | 0.00%             | 2037-07-27      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu | JPMBB Commercial Mortgage Securities Trust 2015-C30                              | CUSIP: 46644UBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3085000 | PA      | $2836904.30   | 0.06%             | 2048-07-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu | JPMDB Commercial Mortgage Securities Trust 2016-C4                               | CUSIP: 46646RAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $4718577.60   | 0.10%             | 2049-12-15      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                              | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4203080.60   | 0.08%             | 2029-06-01      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                              | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $8222656.40   | 0.17%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Jay Park CLO, Ltd.             | Jay Park CLO Ltd                                                                 | CUSIP: 47206VAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1124000 | PA      | $1082323.20   | 0.02%             | 2027-10-20      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Jefferies & Co                 | Jefferies Resecuritization Trust 2009-R1                                         | CUSIP: 47232CAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568952 | PA      | $503419.14    | 0.01%             | 2035-11-26      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| JOBSOHIO BEVERAGE SYS STWD LIQ | JobsOhio Beverage System                                                         | CUSIP: 47770VBQ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7540000 | PA      | $5910712.31   | 0.12%             | 2038-01-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1516385 | PA      | $1325833.82   | 0.03%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2317120 | PA      | $654503.35    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RCF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6328749 | PA      | $1787645.03   | 0.04%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LIBERTY UNIVERSITY             | Liberty University Inc                                                           | CUSIP: 531543AF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10000000 | PA      | $8637021.30   | 0.17%             | 2034-03-01      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC              | Lithia Motors Inc                                                                | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $5929000.00   | 0.12%             | 2031-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-6 Trust                                             | CUSIP: 059526AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4245775 | PA      | $3904795.21   | 0.08%             | 2037-07-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2007-1 Trust                                            | CUSIP: 05952HBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1571901 | PA      | $1271204.06   | 0.03%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-4 Trust                                             | CUSIP: 05953YBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251417 | PA      | $221841.23    | 0.00%             | 2034-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2010-R3 Trust                                            | CUSIP: 05955YAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6514103 | PA      | $6126806.97   | 0.12%             | 2037-09-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2014-R3 Trust                                            | CUSIP: 05990NAB6<br>LEI: 549300MRF4Q4NF7TRB58 | Long             | ABS-MBS          | CORP              | US        |   1586782 | PA      | $1515022.70   | 0.03%             | 2035-06-26      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2014-R3 Trust                                            | CUSIP: 05990NAD2<br>LEI: 549300MRF4Q4NF7TRB58 | Long             | ABS-MBS          | CORP              | US        |   3022121 | PA      | $2781412.07   | 0.06%             | 2035-06-26      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                             | CUSIP: 06051GJP5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $8095540.40   | 0.16%             | 2032-03-11      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                             | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  12000000 | PA      | $10120300.32  | 0.20%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL               | Bank of Montreal                                                                 | CUSIP: 06368DH72<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  15000000 | PA      | $11397522.60  | 0.23%             | 2037-01-10      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| BANK OZK                       | Bank OZK                                                                         | CUSIP: 06417NA94<br>LEI: 549300VYK2WBD7SST478 | Long             | DBT              | CORP              | US        |  13175000 | PA      | $11208878.81  | 0.23%             | 2031-10-01      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA            | Bank of Nova Scotia/The                                                          | CUSIP: 06417XAE1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  15000000 | PA      | $12100325.70  | 0.24%             | 2032-02-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BANK NT BUTTERFIELD&SON        | Bank of NT Butterfield & Son Ltd/The                                             | CUSIP: 064227AB7<br>LEI: 549300V8RVM0EMTDPF28 | Long             | DBT              | CORP              | BM        |   3000000 | PA      | $2984886.21   | 0.06%             | 2028-06-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK NT BUTTERFIELD&SON        | Bank of NT Butterfield & Son Ltd/The                                             | CUSIP: 064227AC5<br>LEI: 549300V8RVM0EMTDPF28 | Long             | DBT              | CORP              | BM        |   5000000 | PA      | $4873552.90   | 0.10%             | 2030-06-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK25                                                                  | CUSIP: 06539WBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 108757005 | PA      | $5108099.01   | 0.10%             | 2063-01-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK17                                                                  | CUSIP: 065403AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11541000 | PA      | $911906.34    | 0.02%             | 2052-04-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK17                                                                  | CUSIP: 065403BE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 123653000 | PA      | $3829063.53   | 0.08%             | 2052-04-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK16                                                                  | CUSIP: 065405AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  78226893 | PA      | $3373972.82   | 0.07%             | 2052-02-15      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK20                                                                  | CUSIP: 06540AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $1906106.16   | 0.04%             | 2062-09-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK21                                                                  | CUSIP: 06540BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18699333 | PA      | $1104459.27   | 0.02%             | 2052-10-17      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK21                                                                  | CUSIP: 06540BBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11582000 | PA      | $10492300.58  | 0.21%             | 2052-10-17      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                 | BANK 2021-BNK35                                                                  | CUSIP: 06540CAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10400000 | PA      | $8768322.16   | 0.18%             | 2064-06-15      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                 | BANK 2021-BNK35                                                                  | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  50634055 | PA      | $3036721.73   | 0.06%             | 2064-06-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                 | BANK 2021-BNK35                                                                  | CUSIP: 06540CBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $5692002.40   | 0.11%             | 2064-06-15      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK36                                                                  | CUSIP: 06540DBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12250000 | PA      | $10499459.08  | 0.21%             | 2064-09-15      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK36                                                                  | CUSIP: 06540DBN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  93711996 | PA      | $4511726.57   | 0.09%             | 2064-09-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK26                                                                  | CUSIP: 06540JAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5200000 | PA      | $4552184.00   | 0.09%             | 2063-03-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK26                                                                  | CUSIP: 06540JBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 226593000 | PA      | $8228294.27   | 0.17%             | 2063-03-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK37                                                                  | CUSIP: 06540LAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14400000 | PA      | $12401069.76  | 0.25%             | 2064-11-15      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK24                                                                  | CUSIP: 06540VBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 174693000 | PA      | $2266012.78   | 0.05%             | 2062-11-15      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK28                                                                  | CUSIP: 06540YAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29969467 | PA      | $1796684.53   | 0.04%             | 2063-03-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK31                                                                  | CUSIP: 06541ABA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7250000 | PA      | $6123204.28   | 0.12%             | 2054-02-15      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK33                                                                  | CUSIP: 06541CBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12599000 | PA      | $10794326.80  | 0.22%             | 2064-05-15      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK34                                                                  | CUSIP: 06541JAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  95696350 | PA      | $5446902.28   | 0.11%             | 2063-06-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK34                                                                  | CUSIP: 06541JAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $5978092.80   | 0.12%             | 2063-06-15      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2022-BNK40                                                                  | CUSIP: 06541LAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2470000 | PA      | $1496062.20   | 0.03%             | 2064-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK23                                                                  | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  85077764 | PA      | $3199791.72   | 0.06%             | 2052-12-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2019-BNK23                                                                  | CUSIP: 06541RBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 238421000 | PA      | $2766208.13   | 0.06%             | 2052-12-15      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK29                                                                  | CUSIP: 06541TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $801002.75    | 0.02%             | 2053-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK29                                                                  | CUSIP: 06541TBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 132417000 | PA      | $5404811.72   | 0.11%             | 2053-11-15      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK29                                                                  | CUSIP: 06541TBU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $849128.44    | 0.02%             | 2053-11-15      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK30                                                                  | CUSIP: 06541UAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5550000 | PA      | $3510024.80   | 0.07%             | 2053-12-15      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2020-BNK30                                                                  | CUSIP: 06541UCK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $2332770.99   | 0.05%             | 2053-12-15      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK32                                                                  | CUSIP: 06542BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $3114336.50   | 0.06%             | 2054-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BCRED MML CLO 2021-1 LLC       | BCRED MML CLO 2022-1 LLC                                                         | CUSIP: 072917AG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1787870.00   | 0.04%             | 2035-04-20      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | Barclays Commercial Mortgage Trust 2019-C4                                       | CUSIP: 07335CAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  43170000 | PA      | $2599438.38   | 0.05%             | 2052-08-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2022-C14                                                    | CUSIP: 07336AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  99985139 | PA      | $4408004.82   | 0.09%             | 2055-02-15      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2022-C14                                                    | CUSIP: 07336AAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 166823000 | PA      | $3951402.94   | 0.08%             | 2055-02-15      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2004-12                                                   | CUSIP: 07384M6Q0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46739 | PA      | $43793.20     | 0.00%             | 2035-02-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2006-6                                                  | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    823092 | PA      | $384362.48    | 0.01%             | 2036-11-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2005-AC5                            | CUSIP: 073879ZW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    523344 | PA      | $366381.07    | 0.01%             | 2035-08-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-AC4                            | CUSIP: 07388WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3026718 | PA      | $2551799.88   | 0.05%             | 2036-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-AC4                            | CUSIP: 07388WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    699450 | PA      | $704486.91    | 0.01%             | 2036-07-25      | Floating      | 18.73%                | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29563922 | PA      | $1423112.60   | 0.03%             | 2052-03-15      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11513000 | PA      | $1106165.59   | 0.02%             | 2052-03-15      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B16 Mortgage Trust                                                | CUSIP: 08161NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 102881159 | PA      | $5051145.97   | 0.10%             | 2053-02-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B16 Mortgage Trust                                                | CUSIP: 08161NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  70467000 | PA      | $1021827.87   | 0.02%             | 2053-02-15      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2019-B13 Mortgage Trust                                                | CUSIP: 08162DAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  82774000 | PA      | $1827459.54   | 0.04%             | 2057-08-15      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2019-B13 Mortgage Trust                                                | CUSIP: 08162DAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12071000 | PA      | $944268.46    | 0.02%             | 2057-08-15      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2019-B12 Mortgage Trust                                                | CUSIP: 08162FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  93260000 | PA      | $2069402.10   | 0.04%             | 2052-08-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B23 Mortgage Trust                                                | CUSIP: 08162RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4224469.00   | 0.09%             | 2054-02-15      | Fixed         | 1.77%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B23 Mortgage Trust                                                | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 125546873 | PA      | $8619282.49   | 0.17%             | 2054-02-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B23 Mortgage Trust                                                | CUSIP: 08162RAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 105441000 | PA      | $6198570.61   | 0.13%             | 2054-02-15      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B20 Mortgage Trust                                                | CUSIP: 08162XBK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  79394000 | PA      | $2743856.64   | 0.06%             | 2053-10-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B22 Mortgage Trust                                                | CUSIP: 08163BBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2490000 | PA      | $2086227.08   | 0.04%             | 2054-01-15      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B24 Mortgage Trust                                                | CUSIP: 08163CBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5400000 | PA      | $4634462.52   | 0.09%             | 2054-03-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B24 Mortgage Trust                                                | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  66591114 | PA      | $4130546.91   | 0.08%             | 2054-03-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B24 Mortgage Trust                                                | CUSIP: 08163CBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  99123000 | PA      | $4021519.23   | 0.08%             | 2054-03-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B25 Mortgage Trust                                                | CUSIP: 08163DAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  79271048 | PA      | $5048368.77   | 0.10%             | 2054-04-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B25 Mortgage Trust                                                | CUSIP: 08163DAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  93350000 | PA      | $4212092.03   | 0.08%             | 2054-04-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B26 Mortgage Trust                                                | CUSIP: 08163EAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $1305858.15   | 0.03%             | 2054-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B26 Mortgage Trust                                                | CUSIP: 08163EAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10836000 | PA      | $947757.74    | 0.02%             | 2054-06-15      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B26 Mortgage Trust                                                | CUSIP: 08163EBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $4423764.00   | 0.09%             | 2054-06-15      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B28 Mortgage Trust                                                | CUSIP: 08163GAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8340653.00   | 0.17%             | 2054-08-15      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B28 Mortgage Trust                                                | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  86131938 | PA      | $6177856.32   | 0.12%             | 2054-08-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B28 Mortgage Trust                                                | CUSIP: 08163GBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32491000 | PA      | $2064829.04   | 0.04%             | 2054-08-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B27 Mortgage Trust                                                | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 100575629 | PA      | $7212700.79   | 0.15%             | 2054-07-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B27 Mortgage Trust                                                | CUSIP: 08163HAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $4406816.40   | 0.09%             | 2054-07-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B27 Mortgage Trust                                                | CUSIP: 08163HAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1429523.20   | 0.03%             | 2054-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B27 Mortgage Trust                                                | CUSIP: 08163HAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21507000 | PA      | $2062336.34   | 0.04%             | 2054-07-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B27 Mortgage Trust                                                | CUSIP: 08163HAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $2926824.00   | 0.06%             | 2054-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B29 Mortgage Trust                                                | CUSIP: 08163JAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27615000 | PA      | $2288648.36   | 0.05%             | 2054-09-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B29 Mortgage Trust                                                | CUSIP: 08163JAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8953000 | PA      | $4681694.70   | 0.09%             | 2054-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B30 Mortgage Trust                                                | CUSIP: 08163KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  83683000 | PA      | $3275653.88   | 0.07%             | 2054-11-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B30 Mortgage Trust                                                | CUSIP: 08163KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18582000 | PA      | $1550653.03   | 0.03%             | 2054-11-15      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B30 Mortgage Trust                                                | CUSIP: 08163KAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $1172923.88   | 0.02%             | 2054-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B30 Mortgage Trust                                                | CUSIP: 08163KBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5250000 | PA      | $4494790.13   | 0.09%             | 2054-11-15      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B30 Mortgage Trust                                                | CUSIP: 08163KBL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7250000 | PA      | $5056424.78   | 0.10%             | 2054-11-15      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2020-B21 Mortgage Trust                                                | CUSIP: 08163LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5966000 | PA      | $5087022.66   | 0.10%             | 2053-12-17      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B31 Mortgage Trust                                                | CUSIP: 08163MAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8675129.00   | 0.18%             | 2054-12-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B31 Mortgage Trust                                                | CUSIP: 08163MAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 143664278 | PA      | $7012296.51   | 0.14%             | 2054-12-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B31 Mortgage Trust                                                | CUSIP: 08163MAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 124409000 | PA      | $4055658.75   | 0.08%             | 2054-12-15      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B31 Mortgage Trust                                                | CUSIP: 08163MAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31991000 | PA      | $2422025.81   | 0.05%             | 2054-12-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B31 Mortgage Trust                                                | CUSIP: 08163MAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $1701388.20   | 0.03%             | 2054-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2022-B32 Mortgage Trust                                                | CUSIP: 08163NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39202000 | PA      | $3747730.80   | 0.08%             | 2055-01-15      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2022-B32 Mortgage Trust                                                | CUSIP: 08163NAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $2659284.00   | 0.05%             | 2055-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2022-B32 Mortgage Trust                                                | CUSIP: 08163NBN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8161540.00   | 0.16%             | 2055-01-15      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2022-B33 Mortgage Trust                                                | CUSIP: 08163PAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21919000 | PA      | $2294518.18   | 0.05%             | 2055-03-15      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| BERKS CNTY PA INDL DEV AUTH HL | Berks County Industrial Development Authority                                    | CUSIP: 08452RAF3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    490000 | PA      | $480297.71    | 0.01%             | 2024-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BERKS CNTY PA INDL DEV AUTH HL | Berks County Industrial Development Authority                                    | CUSIP: 08452RAG1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    800000 | PA      | $766724.96    | 0.02%             | 2027-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Betony CLO 2, Ltd.             | Betony CLO 2 Ltd                                                                 | CUSIP: 08763QAE2<br>LEI: 5493000QRX4XEMRJZO43 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1132610.40   | 0.02%             | 2031-04-30      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA       | Blackstone Holdings Finance Co LLC                                               | CUSIP: 09261BAC4<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $12292945.95  | 0.25%             | 2028-08-05      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| BLUEHUB LOAN FUND              | BlueHub Loan Fund Inc                                                            | CUSIP: 095623AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3040000 | PA      | $2657053.84   | 0.05%             | 2030-01-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd           | BlueMountain CLO 2014-2 Ltd                                                      | CUSIP: 09626QBC0<br>LEI: 549300NUS8PQQUZMPR50 | Long             | ABS-CBDO         | CORP              | KY        |   5500000 | PA      | $5280616.00   | 0.11%             | 2030-10-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd           | BlueMountain CLO 2018-1 Ltd                                                      | CUSIP: 09629TAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6996770 | PA      | $6730892.74   | 0.14%             | 2030-07-30      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| BOTETOURT CNTY VA RSDL CARE FA | County of Botetourt VA                                                           | CUSIP: 101271AM6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4485000 | PA      | $4570558.55   | 0.09%             | 2044-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD ASSET MAN INC       | Brookfield Asset Management Inc                                                  | CUSIP: 10549PAG6<br>LEI: C6J3FGIWG6MBDGTE8F80 | Long             | DBT              | CORP              | CA        |   3000000 | PA      | $3290343.87   | 0.07%             | 2033-03-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO        | Bristol-Myers Squibb Co                                                          | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   8734000 | PA      | $7917027.49   | 0.16%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WSFS FINANCIAL CORP            | WSFS Financial Corp                                                              | CUSIP: 117665AD1<br>LEI: 549300SU7VQHD6QRG886 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3496140.73   | 0.07%             | 2027-12-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC       | Builders FirstSource Inc                                                         | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |   5750000 | PA      | $4673527.55   | 0.09%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC       | Builders FirstSource Inc                                                         | CUSIP: 12008RAR8<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1852065.20   | 0.04%             | 2032-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Burnham Park CLO Ltd.          | Burnham Park Clo Ltd                                                             | CUSIP: 12232KAL4<br>LEI: 549300BOEG5O4MSO7220 | Long             | ABS-CBDO         | CORP              | KY        |   5250000 | PA      | $5006788.50   | 0.10%             | 2029-10-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Buttermilk Park CLO Ltd        | Buttermilk Park CLO Ltd                                                          | CUSIP: 124166AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $919318.00    | 0.02%             | 2031-10-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP         | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11250000 | PA      | $8777418.75   | 0.18%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP         | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11912000 | PA      | $9976240.44   | 0.20%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust  | CCUBS Commercial Mortgage Trust 2017-C1                                          | CUSIP: 12508GAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40062667 | PA      | $545990.05    | 0.01%             | 2050-11-15      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust   | CD 2018-CD7 Mortgage Trust                                                       | CUSIP: 12512JAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3236000 | PA      | $3113272.43   | 0.06%             | 2051-08-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE            | CDW LLC / CDW Finance Corp                                                       | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17218000 | PA      | $14538172.40  | 0.29%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE            | CDW LLC / CDW Finance Corp                                                       | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3830000 | PA      | $3226085.60   | 0.07%             | 2028-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE            | CDW LLC / CDW Finance Corp                                                       | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2482000 | PA      | $2028110.78   | 0.04%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust   | CD 2017-CD3 Mortgage Trust                                                       | CUSIP: 12515GAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  61857000 | PA      | $1316075.72   | 0.03%             | 2050-02-10      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate  | Cantor Commercial Real Estate Lending 2019-CF2                                   | CUSIP: 12528YAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 134736000 | PA      | $4638556.27   | 0.09%             | 2052-11-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-21                                          | CUSIP: 12543PAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    633390 | PA      | $323618.19    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-21                                          | CUSIP: 12543PAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1201359 | PA      | $597061.42    | 0.01%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-21                                          | CUSIP: 12543PAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2774103 | PA      | $1417373.34   | 0.03%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-18                                          | CUSIP: 12543WAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268535 | PA      | $153085.57    | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON              | Johnson & Johnson                                                                | CUSIP: 478160AT1<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |   8180000 | PA      | $9091535.44   | 0.18%             | 2038-07-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JPMCC Commercial Mortgage Securities Trust 2017-JP6                              | CUSIP: 48128KAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  68830000 | PA      | $1745928.01   | 0.04%             | 2050-07-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| KANSAS CITY MO LAND CLEARANCE  | Kansas City Land Clearance Redevelopment Authority                               | CUSIP: 48504MAA9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7950000 | PA      | $7091613.06   | 0.14%             | 2040-10-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| KANSAS ST DEV FIN AUTH REVENUE | Kansas Development Finance Authority                                             | CUSIP: 485429Z72<br>LEI: 549300WTL7BL8KBDPR87 | Long             | DBT              | MUN               | US        |   2005000 | PA      | $1903154.22   | 0.04%             | 2045-04-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| KB HOME                        | KB Home                                                                          | CUSIP: 48666KAY5<br>LEI: 549300LGUCWQURMWLG09 | Long             | DBT              | CORP              | US        |   8222000 | PA      | $7048048.53   | 0.14%             | 2029-11-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| KB HOME                        | KB Home                                                                          | CUSIP: 48666KBA6<br>LEI: 549300LGUCWQURMWLG09 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $955633.98    | 0.02%             | 2030-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| KENTUCKY ST PROPERTY & BLDGS C | Kentucky State Property & Building Commission                                    | CUSIP: 49151FP61<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2755000 | PA      | $2198313.68   | 0.04%             | 2030-09-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| KENTUCKY ST PROPERTY & BLDGS C | Kentucky State Property & Building Commission                                    | CUSIP: 49151FP79<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3350000 | PA      | $2609958.87   | 0.05%             | 2031-09-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| KING CNTY WA HSG AUTH          | King County Housing Authority                                                    | CUSIP: 494759RG0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3005000 | PA      | $2428209.18   | 0.05%             | 2040-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XVI LP                                                                       | CUSIP: 50181GBG4<br>LEI: 549300RB1XGNK3FHRH35 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3871832.00   | 0.08%             | 2031-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XVI LP                                                                       | CUSIP: 50181GBJ8<br>LEI: 549300RB1XGNK3FHRH35 | Long             | ABS-CBDO         | CORP              | KY        |   5100000 | PA      | $4779016.20   | 0.10%             | 2031-10-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XVI LP                                                                       | CUSIP: 50181HAC2<br>LEI: 549300RB1XGNK3FHRH35 | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1274729.60   | 0.03%             | 2031-10-15      | Floating      | 10.46%                | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XV LP                                                                        | CUSIP: 50184NAQ5<br>LEI: 549300HV40B88JRNJD93 | Long             | ABS-CBDO         | CORP              | KY        |   9000000 | PA      | $7913673.00   | 0.16%             | 2030-07-20      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XIV LP                                                                       | CUSIP: 50184VAS3<br>LEI: 549300NGJ6CPPJRPGL08 | Long             | ABS-CBDO         | CORP              | KY        |  10800000 | PA      | $10422972.00  | 0.21%             | 2031-07-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J6                                                   | CUSIP: 23244EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2043277 | PA      | $1140920.02   | 0.02%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J6                                                   | CUSIP: 23244EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2752353 | PA      | $1536852.35   | 0.03%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DFC HEL Trust                  | DFC HEL Trust 2001-1                                                             | CUSIP: 233205AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1436148 | PA      | $1371901.25   | 0.03%             | 2031-08-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| DALLAS-FORT WORTH TX INTERNATI | Dallas Fort Worth International Airport                                          | CUSIP: 2350364W7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  16480000 | PA      | $13331993.70  | 0.27%             | 2038-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| DALLAS TX                      | City of Dallas TX                                                                | CUSIP: 235218M35<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  10000000 | PA      | $6396603.00   | 0.13%             | 2031-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DALLAS TX                      | City of Dallas TX                                                                | CUSIP: 235218M43<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  15000000 | PA      | $9043411.50   | 0.18%             | 2032-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DANA INC                       | Dana Inc                                                                         | CUSIP: 235825AF3<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |    500000 | PA      | $458721.25    | 0.01%             | 2027-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DANA INC                       | Dana Inc                                                                         | CUSIP: 235825AH9<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $3606452.78   | 0.07%             | 2030-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DANA INC                       | Dana Inc                                                                         | CUSIP: 235825AJ5<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |   4208000 | PA      | $3292469.77   | 0.07%             | 2032-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP        | Dell International LLC / EMC Corp                                                | CUSIP: 24703TAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  14660000 | PA      | $16845835.76  | 0.34%             | 2036-07-15      | Fixed         | 8.10%                 | No            |                  2 | On Loan: No      |
| DETROIT MI                     | City of Detroit MI                                                               | CUSIP: 251093S84<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |   8700000 | PA      | $6405450.69   | 0.13%             | 2044-04-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| DETROIT MI CITY SCH DIST       | Detroit City School District                                                     | CUSIP: 2511295D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  10425000 | PA      | $12289505.00  | 0.25%             | 2039-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-3                  | CUSIP: 251510EC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1175077 | PA      | $1117512.51   | 0.02%             | 2035-05-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6                  | CUSIP: 251510JZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1453075 | PA      | $1170414.72   | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XIV LP                                                                       | CUSIP: 50184VAT1<br>LEI: 549300NGJ6CPPJRPGL08 | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $5476086.00   | 0.11%             | 2031-07-20      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XIV LP                                                                       | CUSIP: 50184WAC6<br>LEI: 549300NGJ6CPPJRPGL08 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $720370.00    | 0.01%             | 2031-07-20      | Floating      | 9.74%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456051 | PA      | $388334.60    | 0.01%             | 2036-10-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| DIST ENERGY CORP NE FAC REVENU | District Energy Corp                                                             | CUSIP: 254846FB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2830000 | PA      | $2168494.58   | 0.04%             | 2036-07-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| DOWNTOWN DALLAS TX DEV AUTH TA | Downtown Dallas Development Authority                                            | CUSIP: 261149BC1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6730000 | PA      | $3018917.83   | 0.06%             | 2036-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC           | ERAC USA Finance LLC                                                             | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |   9316000 | PA      | $10113589.34  | 0.20%             | 2037-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LGI HOMES INC                  | LGI Homes Inc                                                                    | CUSIP: 50187TAF3<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $945947.13    | 0.02%             | 2029-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XVIII LP                                                                     | CUSIP: 50188HAC5<br>LEI: 549300PYL1KC7BYM8G75 | Long             | ABS-CBDO         | CORP              | KY        |   5300000 | PA      | $3972371.20   | 0.08%             | 2031-04-20      | Floating      | 10.19%                | No            |                  2 | On Loan: No      |
| E BATON ROUGE PARISH LA SWR CO | East Baton Rouge Sewerage Commission                                             | CUSIP: 270618GX3<br>LEI: 5493006BC84VNIRSCG97 | Long             | DBT              | MUN               | US        |   2500000 | PA      | $1665242.75   | 0.03%             | 2039-02-01      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| EAST SIDE CA UNION HIGH SCH DI | East Side Union High School District                                             | CUSIP: 2752816H1<br>LEI: 549300FHNKBG2V8ZLG85 | Long             | DBT              | MUN               | US        |   6765000 | PA      | $6756725.73   | 0.14%             | 2036-04-01      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XVIII LP                                                                     | CUSIP: 50188QAE1<br>LEI: 549300PYL1KC7BYM8G75 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3949384.00   | 0.08%             | 2027-07-15      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XVIII LP                                                                     | CUSIP: 50188QAL5<br>LEI: 549300PYL1KC7BYM8G75 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2472912.50   | 0.05%             | 2027-07-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| EL PASO TX                     | City of El Paso TX                                                               | CUSIP: 283734JD4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3000000 | PA      | $3210257.10   | 0.06%             | 2035-08-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE COMMUNITY           | Enterprise Community Loan Fund Inc                                               | CUSIP: 29375EAA3<br>LEI: 549300L4U1958WIM9C65 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4763316.05   | 0.10%             | 2028-11-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XXII Ltd                                                                     | CUSIP: 50189GAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1738750.00   | 0.04%             | 2028-10-20      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XXV Ltd                                                                      | CUSIP: 50189PAJ1<br>LEI: 549300FY8UGGJMQNCO13 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3408032.00   | 0.07%             | 2030-07-20      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM XVII LP                                                                      | CUSIP: 50190BAB6<br>LEI: 549300K6S4MWQOINB710 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $735336.00    | 0.01%             | 2031-10-15      | Floating      | 10.08%                | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM 36 Ltd                                                                       | CUSIP: 50190GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $4762128.00   | 0.10%             | 2034-01-15      | Floating      | 10.79%                | No            |                  2 | On Loan: No      |
| ENTERPRISE COMMUNITY           | Enterprise Community Loan Fund Inc                                               | CUSIP: 29375EAB1<br>LEI: 549300L4U1958WIM9C65 | Long             | DBT              | CORP              | US        |   5010000 | PA      | $4947640.13   | 0.10%             | 2023-11-01      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                    | Equifax Inc                                                                      | CUSIP: 294429AT2<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $3861021.85   | 0.08%             | 2031-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Equity One ABS Inc             | Equity One Mortgage Pass-Through Trust 2003-1                                    | CUSIP: 294751BX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464131 | PA      | $451218.29    | 0.01%             | 2033-08-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Equity One ABS Inc             | Equity One Mortgage Pass-Through Trust 2003-3                                    | CUSIP: 294751CT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1318929 | PA      | $1221589.96   | 0.02%             | 2033-12-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM 26 Ltd                                                                       | CUSIP: 50200FAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $826426.00    | 0.02%             | 2031-01-20      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM 26 Ltd                                                                       | CUSIP: 50200GAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $2938728.00   | 0.06%             | 2031-01-20      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM Loan Income Fund I Income Note Issuer Ltd                                    | CUSIP: 50200JAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2700000 | PA      | $2489119.20   | 0.05%             | 2031-07-16      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM Loan Income Fund I Income Note Issuer Ltd                                    | CUSIP: 50200JAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3357760.00   | 0.07%             | 2031-07-16      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| ESSEX CNTY NJ                  | County of Essex NJ                                                               | CUSIP: 296804T80<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3560000 | PA      | $2248704.97   | 0.05%             | 2044-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables  | Exeter Automobile Receivables Trust 2022-4                                       | CUSIP: 30166BAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3766213.60   | 0.08%             | 2028-12-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM Loan Income Fund I Income Note Issuer Ltd                                    | CUSIP: 50200LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1475792.00   | 0.03%             | 2031-07-16      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM 29 Ltd                                                                       | CUSIP: 50201MAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4750000 | PA      | $4552357.25   | 0.09%             | 2031-04-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables  | Exeter Automobile Receivables Trust 2022-2                                       | CUSIP: 30166QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9500000 | PA      | $9205177.00   | 0.19%             | 2026-10-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables  | Exeter Automobile Receivables Trust 2022-5                                       | CUSIP: 30167FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4969456.00   | 0.10%             | 2026-04-15      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM 34 Ltd                                                                       | CUSIP: 50203DAA9<br>LEI: 54930038DJKYPKSVRB29 | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $2686050.25   | 0.05%             | 2034-10-20      | Floating      | 10.78%                | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM 35 Ltd                                                                       | CUSIP: 50203NAA7<br>LEI: 549300KLSB4ZQ2S3TJ95 | Long             | ABS-CBDO         | CORP              | KY        |   4750000 | PA      | $3797254.50   | 0.08%             | 2034-10-15      | Floating      | 10.69%                | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables  | Exeter Automobile Receivables Trust 2022-5                                       | CUSIP: 30167FAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4978510.50   | 0.10%             | 2027-03-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables  | Exeter Automobile Receivables Trust 2022-5                                       | CUSIP: 30167FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4991535.50   | 0.10%             | 2027-12-15      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-3                                                     | CUSIP: 52520CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3167871 | PA      | $1642154.24   | 0.03%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-3                                                     | CUSIP: 52520CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7003617 | PA      | $3630529.13   | 0.07%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MBQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520672 | PA      | $299013.57    | 0.01%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480585 | PA      | $838775.23    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily        | Freddie Mac Multifamily ML Certificates                                          | CUSIP: 302610AD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34315424 | PA      | $2013972.21   | 0.04%             | 2038-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust           | FREMF 2018-KF48 Mortgage Trust                                                   | CUSIP: 30308EAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4516885 | PA      | $4353976.69   | 0.09%             | 2028-06-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-3                                                     | CUSIP: 52520MDN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    854848 | PA      | $65006.57     | 0.00%             | 2036-01-25      | Floating      | 0.73%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-3                                                     | CUSIP: 52520MDR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211039 | PA      | $112629.72    | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BFXU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 112835240 | PA      | $1839756.01   | 0.04%             | 2024-12-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BJP72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 433143186 | PA      | $3001205.82   | 0.06%             | 2025-03-25      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BLN20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  89465874 | PA      | $1085927.84   | 0.02%             | 2025-07-25      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BPVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29645512 | PA      | $1633346.14   | 0.03%             | 2031-01-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2005-3                                                     | CUSIP: 52520MDS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    854848 | PA      | $361521.62    | 0.01%             | 2036-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MFA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366722 | PA      | $183870.11    | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BSPY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  62330514 | PA      | $258970.82    | 0.01%             | 2023-08-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BSQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  61645000 | PA      | $336994.72    | 0.01%             | 2023-09-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BTUR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  72512000 | PA      | $255641.06    | 0.01%             | 2026-11-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BUXA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  79423000 | PA      | $615615.62    | 0.01%             | 2026-12-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-4                                                     | CUSIP: 52521LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010976 | PA      | $501363.52    | 0.01%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-4                                                     | CUSIP: 52521LAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2208982 | PA      | $1095479.29   | 0.02%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BVZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 368730952 | PA      | $3536941.04   | 0.07%             | 2027-01-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137BXR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 123937232 | PA      | $2685137.32   | 0.05%             | 2027-03-25      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC              | Lithia Motors Inc                                                                | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |  10685000 | PA      | $8978231.53   | 0.18%             | 2029-06-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Long Point Park CLO Ltd        | Long Point Park CLO Ltd                                                          | CUSIP: 542795AC3<br>LEI: 549300639DPKTBUSCC77 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1662358.00   | 0.03%             | 2030-01-17      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F1G85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  57193000 | PA      | $1266029.97   | 0.03%             | 2027-05-25      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31300377 | PA      | $857138.92    | 0.02%             | 2027-06-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 120631448 | PA      | $6866149.01   | 0.14%             | 2030-09-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35916184 | PA      | $2629607.00   | 0.05%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Long Point Park CLO Ltd        | Long Point Park CLO Ltd                                                          | CUSIP: 542798AJ2<br>LEI: 549300639DPKTBUSCC77 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3478716.00   | 0.07%             | 2030-01-17      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA DEPT OF ARPTS   | City of Los Angeles Department of Airports                                       | CUSIP: 544435C32<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5085000 | PA      | $5633093.34   | 0.11%             | 2039-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA DEPT OF ARPTS A | City of Los Angeles Department of Airports                                       | CUSIP: 544445VM8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2000000 | PA      | $1613041.60   | 0.03%             | 2030-05-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LOUISIANA ST GAS & FUELS TAX R | State of Louisiana Gasoline & Fuels Tax Revenue                                  | CUSIP: 546475TZ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   8000000 | PA      | $5860076.00   | 0.12%             | 2036-05-01      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F64T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32621072 | PA      | $2041612.63   | 0.04%             | 2027-09-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 111859895 | PA      | $5911896.13   | 0.12%             | 2030-11-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| LOUISIANA ST GAS & FUELS TAX R | State of Louisiana Gasoline & Fuels Tax Revenue                                  | CUSIP: 546475UA0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  10445000 | PA      | $7342564.47   | 0.15%             | 2041-05-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| LOUISIANA ST GAS & FUELS TAX R | State of Louisiana Gasoline & Fuels Tax Revenue                                  | CUSIP: 546475UT9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   8135000 | PA      | $5651692.82   | 0.11%             | 2043-05-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  48858731 | PA      | $2930121.63   | 0.06%             | 2030-10-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F83U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49550000 | PA      | $3752669.25   | 0.08%             | 2030-11-25      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| LOUISIANA ST HIGHWAY IMPT REVE | State of Louisiana                                                               | CUSIP: 546486CD1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1900000 | PA      | $1362877.98   | 0.03%             | 2033-06-15      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| LOUISVILLE & JEFFERSON CNTY KY | Louisville and Jefferson County Metropolitan Sewer District                      | CUSIP: 546589N73<br>LEI: 5493004O4I11L8BK0A22 | Long             | DBT              | MUN               | US        |   4880000 | PA      | $3356118.01   | 0.07%             | 2044-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35211000 | PA      | $2432717.43   | 0.05%             | 2030-11-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F84T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 111060759 | PA      | $5676082.18   | 0.11%             | 2030-11-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| M/I HOMES INC                  | M/I Homes Inc                                                                    | CUSIP: 55305BAV3<br>LEI: 5299005M71FH9CCSFB69 | Long             | DBT              | CORP              | US        |   7266000 | PA      | $5581043.08   | 0.11%             | 2030-02-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MSCI INC                       | MSCI Inc                                                                         | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $884465.00    | 0.02%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MSCI INC                       | MSCI Inc                                                                         | CUSIP: 55354GAM2<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $5818925.00   | 0.12%             | 2031-11-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd              | Magnetite VIII Ltd                                                               | CUSIP: 55952YAV9<br>LEI: 549300NJNSVWVLHGRY73 | Long             | ABS-CBDO         | CORP              | KY        |  10150000 | PA      | $9670605.35   | 0.20%             | 2031-04-15      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F8ZZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 108000000 | PA      | $6782767.20   | 0.14%             | 2030-12-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F9Z38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  89626000 | PA      | $5446643.72   | 0.11%             | 2031-01-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F9ZA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 179796362 | PA      | $6442822.84   | 0.13%             | 2031-01-25      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F9ZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 103992000 | PA      | $5290988.17   | 0.11%             | 2031-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FAQF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14979217 | PA      | $386445.82    | 0.01%             | 2027-06-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40049636 | PA      | $883595.09    | 0.02%             | 2027-07-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 102181774 | PA      | $1738663.76   | 0.04%             | 2027-08-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FBTC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  57172915 | PA      | $369788.70    | 0.01%             | 2024-08-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FBU95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28780419 | PA      | $424744.30    | 0.01%             | 2027-09-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FCM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  46812190 | PA      | $225765.83    | 0.00%             | 2024-10-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FEBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  60419444 | PA      | $944283.40    | 0.02%             | 2027-12-25      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FETQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 155346537 | PA      | $2224717.76   | 0.04%             | 2028-01-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd              | Magnetite XII Ltd                                                                | CUSIP: 55953GCG8<br>LEI: 549300Z6VW568TT64K70 | Long             | ABS-CBDO         | CORP              | KY        |   8923000 | PA      | $7976180.47   | 0.16%             | 2031-10-15      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd              | Magnetite XV Ltd                                                                 | CUSIP: 55953MAW2<br>LEI: 549300B3V0K3DX0M2K31 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1871102.00   | 0.04%             | 2031-07-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FETS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  54203000 | PA      | $593230.15    | 0.01%             | 2028-01-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FG6U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 244797691 | PA      | $2941268.73   | 0.06%             | 2033-04-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd              | Magnetite XV Ltd                                                                 | CUSIP: 55953NAE0<br>LEI: 549300B3V0K3DX0M2K31 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3510480.00   | 0.07%             | 2031-07-25      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd              | Magnetite XVIII Ltd                                                              | CUSIP: 55953TAQ0<br>LEI: 549300BDVLRWS2SODX97 | Long             | ABS-CBDO         | CORP              | KY        |  10315000 | PA      | $9893663.20   | 0.20%             | 2028-11-15      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd              | Magnetite Xxx Ltd                                                                | CUSIP: 55953VAA0<br>LEI: 549300RI4HRUG7CFWM27 | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $3665482.00   | 0.07%             | 2034-10-25      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd              | Magnetite XIV-R LTD                                                              | CUSIP: 55954LAJ2<br>LEI: 549300XD71H6EU9N2I97 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1432207.50   | 0.03%             | 2031-10-18      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FGZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 574282158 | PA      | $3903453.26   | 0.08%             | 2028-06-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FHPL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 427696869 | PA      | $3300194.58   | 0.07%             | 2028-07-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FJEK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 153845029 | PA      | $848270.72    | 0.02%             | 2028-08-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FJZB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 337061875 | PA      | $4031293.73   | 0.08%             | 2028-10-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd              | Magnetite XXIII Ltd                                                              | CUSIP: 55954RAG5<br>LEI: 549300WG00K34O9YA435 | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2534092.00   | 0.05%             | 2035-01-25      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd              | Magnetite XXVII Ltd                                                              | CUSIP: 55955FAE5<br>LEI: 5493003N6WY184N72D84 | Long             | ABS-CBDO         | CORP              | KY        |   5250000 | PA      | $4634364.00   | 0.09%             | 2034-10-20      | Floating      | 10.24%                | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FL6T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  53965000 | PA      | $1392070.35   | 0.03%             | 2029-01-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FLMZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  50517000 | PA      | $1746241.35   | 0.04%             | 2029-03-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd              | Magnetite XXVIII Ltd                                                             | CUSIP: 55955MAE0<br>LEI: 54930077HHZ1QV5CPQ30 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $1998864.00   | 0.04%             | 2035-01-20      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| MAINE HLTH & HGR EDUCTNL FACS  | Maine Health & Higher Educational Facilities Authority                           | CUSIP: 56042RK84<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  14250000 | PA      | $9788852.25   | 0.20%             | 2043-07-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FPHS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31981124 | PA      | $1641696.63   | 0.03%             | 2029-08-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FPJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  75903031 | PA      | $4887130.52   | 0.10%             | 2034-08-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FPJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 210301858 | PA      | $10004522.05  | 0.20%             | 2029-09-25      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FQ3E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  62086000 | PA      | $3273186.34   | 0.07%             | 2029-09-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| MARYLAND ST DEPT OF TRANSPRTN  | State of Maryland Department of Transportation                                   | CUSIP: 57421FAH0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2110000 | PA      | $1652590.19   | 0.03%             | 2030-08-01      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| MARYLAND ST STADIUM AUTH REVEN | Maryland Stadium Authority                                                       | CUSIP: 574296CN7<br>LEI: 549300VA283TTQRDNF71 | Long             | DBT              | MUN               | US        |   7000000 | PA      | $5177940.60   | 0.10%             | 2040-05-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FQ4D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  65686000 | PA      | $4102557.07   | 0.08%             | 2029-10-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FQK28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  80398225 | PA      | $3859114.82   | 0.08%             | 2034-10-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FQKE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 165346317 | PA      | $7479341.44   | 0.15%             | 2029-10-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FQKQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 125198162 | PA      | $4496166.46   | 0.09%             | 2029-11-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| MASONITE INTERNATIONAL C       | Masonite International Corp                                                      | CUSIP: 575385AD1<br>LEI: 549300H0H07ZFT4JYM32 | Long             | DBT              | CORP              | CA        |    500000 | PA      | $460035.00    | 0.01%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MASONITE INTERNATIONAL C       | Masonite International Corp                                                      | CUSIP: 575385AE9<br>LEI: 549300H0H07ZFT4JYM32 | Long             | DBT              | CORP              | CA        |  10536000 | PA      | $8233594.47   | 0.17%             | 2030-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST EDUCTNL FING  | Massachusetts Educational Financing Authority                                    | CUSIP: 57563RPK9<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |    450000 | PA      | $442985.99    | 0.01%             | 2024-07-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST EDUCTNL FING  | Massachusetts Educational Financing Authority                                    | CUSIP: 57563RQH5<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |   2000000 | PA      | $1814767.00   | 0.04%             | 2028-07-01      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST               | Commonwealth of Massachusetts                                                    | CUSIP: 57582RR32<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |   3250000 | PA      | $2374323.58   | 0.05%             | 2043-09-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST CLG BLDG AUTH | Massachusetts State College Building Authority                                   | CUSIP: 575832TX8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    550000 | PA      | $571897.26    | 0.01%             | 2040-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST TRANSPRTN FUN | Commonwealth of Massachusetts Transportation Fund Revenue                        | CUSIP: 57604TAC0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1050000 | PA      | $1091945.51   | 0.02%             | 2030-06-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2004-4                                     | CUSIP: 576433LZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90633 | PA      | $82693.17     | 0.00%             | 2034-05-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FQXN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20050000 | PA      | $681132.59    | 0.01%             | 2026-10-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FRUN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64122000 | PA      | $6573210.34   | 0.13%             | 2030-01-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2005-1                                     | CUSIP: 576433XE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109594 | PA      | $100059.99    | 0.00%             | 2035-02-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2003-5                                              | CUSIP: 576434FU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    683742 | PA      | $435088.41    | 0.01%             | 2033-08-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FRZD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 118898000 | PA      | $10631454.91  | 0.21%             | 2030-02-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FTBP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16043362 | PA      | $1535308.06   | 0.03%             | 2030-03-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2003-7                                              | CUSIP: 576434HG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68166 | PA      | $67013.49     | 0.00%             | 2033-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2005-2                                              | CUSIP: 576434K78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1917970.60   | 0.04%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2004-6                                              | CUSIP: 576434SL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184451 | PA      | $169594.92    | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2004-6                                              | CUSIP: 576434SN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126215 | PA      | $119513.14    | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FTBR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  70601000 | PA      | $6944773.27   | 0.14%             | 2030-03-25      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FTFW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24099000 | PA      | $1207820.19   | 0.02%             | 2027-03-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2004-11                                             | CUSIP: 576434XB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393590 | PA      | $380317.25    | 0.01%             | 2034-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru | MASTR Asset Securitization Trust 2006-1                                          | CUSIP: 57643MMM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    586796 | PA      | $89253.66     | 0.00%             | 2036-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A5                       | CUSIP: 59020UYT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310407 | PA      | $284633.20    | 0.01%             | 2035-06-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2006-F1                            | CUSIP: 590218AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1993375 | PA      | $1012869.09   | 0.02%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MET PIER & EXPOSITION AUTH IL  | Metropolitan Pier & Exposition Authority                                         | CUSIP: 592247K90<br>LEI: 254900I3VDCQ58UGBR15 | Long             | DBT              | MUN               | US        |   5000000 | PA      | $2600641.00   | 0.05%             | 2036-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MET WASHINGTON DC ARPTS AUTH D | Metropolitan Washington Airports Authority Dulles Toll Road Revenue              | CUSIP: 592643BS8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  10310000 | PA      | $13505491.71  | 0.27%             | 2047-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi | Freddie Mac Multiclass Certificates Series 2020-RR09                             | CUSIP: 3137FTGA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  42360000 | PA      | $5165950.26   | 0.10%             | 2029-08-27      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  78649636 | PA      | $9468692.58   | 0.19%             | 2035-02-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29892062 | PA      | $2775711.12   | 0.06%             | 2030-04-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FUZE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 108791826 | PA      | $9759475.37   | 0.20%             | 2030-05-25      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| MIAMI-DADE CNTY FL TRANSIT SAL | County of Miami-Dade FL Transit System                                           | CUSIP: 59334PJF5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6095000 | PA      | $4864422.55   | 0.10%             | 2030-07-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| MIAMI-DADE CNTY FL SEAPORT REV | County of Miami-Dade Seaport Department                                          | CUSIP: 59335KCT2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6940000 | PA      | $5424734.28   | 0.11%             | 2031-10-01      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  41747551 | PA      | $5055570.01   | 0.10%             | 2035-05-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FUZX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  96355290 | PA      | $7970769.71   | 0.16%             | 2030-05-25      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| MIAMI-DADE CNTY FL SEAPORT REV | County of Miami-Dade Seaport Department                                          | CUSIP: 59335KCU9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4000000 | PA      | $3077494.00   | 0.06%             | 2032-10-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| MIAMI-DADE CNTY FL SEAPORT REV | County of Miami-Dade Seaport Department                                          | CUSIP: 59335KDY0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4235000 | PA      | $3334431.06   | 0.07%             | 2031-10-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| MICHIGAN ST FIN AUTH REVENUE   | Michigan Finance Authority                                                       | CUSIP: 59447TH97<br>LEI: 54930022O46HOX5J1D14 | Long             | DBT              | MUN               | US        |  19000000 | PA      | $15535431.70  | 0.31%             | 2039-06-01      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| MICHIGAN ST FIN AUTH REVENUE   | Michigan Finance Authority                                                       | CUSIP: 59447TKN2<br>LEI: 54930022O46HOX5J1D14 | Long             | DBT              | MUN               | US        |   3000000 | PA      | $2674420.20   | 0.05%             | 2032-11-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| MICHIGAN ST FIN AUTH REVENUE   | Michigan Finance Authority                                                       | CUSIP: 59447TXW8<br>LEI: 54930022O46HOX5J1D14 | Long             | DBT              | MUN               | US        |   5095000 | PA      | $4279584.48   | 0.09%             | 2034-12-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| MILWAUKEE WI REDEV AUTH REVENU | Milwaukee Redevelopment Authority                                                | CUSIP: 60242NDP3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | PA      | $393698.70    | 0.01%             | 2039-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  44272000 | PA      | $4436209.35   | 0.09%             | 2030-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FV5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  91306542 | PA      | $7347263.99   | 0.15%             | 2030-06-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| MISSISSIPPI ST DEV BANK SPL OB | Mississippi Development Bank                                                     | CUSIP: 60534QUE9<br>LEI: 549300122LOI8CB50V38 | Long             | DBT              | MUN               | US        |   5260000 | PA      | $5427475.24   | 0.11%             | 2036-10-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| MONTEBELLO CA PENSN OBLIG      | City of Montebello CA                                                            | CUSIP: 612285AM8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2825000 | PA      | $2390280.53   | 0.05%             | 2032-06-01      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| MONTGOMERY CNTY PA INDL DEV AU | Montgomery County Industrial Development Authority/PA                            | CUSIP: 61360PCV0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  10000000 | PA      | $8452692.00   | 0.17%             | 2028-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27                      | CUSIP: 61690AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2800597.20   | 0.06%             | 2047-12-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23                      | CUSIP: 61690QAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3845000 | PA      | $3554156.51   | 0.07%             | 2050-07-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2016-BNK2                                         | CUSIP: 61690YBW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  58680000 | PA      | $1075158.43   | 0.02%             | 2049-11-15      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FVEE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15564905 | PA      | $1219102.49   | 0.02%             | 2030-06-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 136240592 | PA      | $8927737.02   | 0.18%             | 2030-06-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  54977000 | PA      | $4519725.14   | 0.09%             | 2030-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  54084506 | PA      | $4170245.31   | 0.08%             | 2030-06-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8725000 | PA      | $674875.26    | 0.01%             | 2050-06-15      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5380000 | PA      | $4636649.17   | 0.09%             | 2050-06-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FWGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40865759 | PA      | $3865545.27   | 0.08%             | 2030-07-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2021-L5                                           | CUSIP: 61691YAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  70387500 | PA      | $3418495.64   | 0.07%             | 2054-05-15      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2021-L5                                           | CUSIP: 61691YAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6627000 | PA      | $5035594.87   | 0.10%             | 2054-05-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2021-L5                                           | CUSIP: 61691YBN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $1985533.55   | 0.04%             | 2054-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2021-L6                                           | CUSIP: 61692CAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11900000 | PA      | $10035315.22  | 0.20%             | 2054-06-15      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2021-L6                                           | CUSIP: 61692CBS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $5687927.25   | 0.11%             | 2054-06-15      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-7                                        | CUSIP: 61748HPH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    828127 | PA      | $774532.21    | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-7                                        | CUSIP: 61748HPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326343 | PA      | $276663.06    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-2                                        | CUSIP: 61748HVW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    893037 | PA      | $452676.14    | 0.01%             | 2036-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-2                                        | CUSIP: 61748HVY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1318222 | PA      | $778699.59    | 0.02%             | 2036-02-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-11                                       | CUSIP: 61749WAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1972070 | PA      | $934799.41    | 0.02%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2006-11                                       | CUSIP: 61749WAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1385654 | PA      | $956115.55    | 0.02%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-3XS                                      | CUSIP: 61752RAM4<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |   6633583 | PA      | $2097997.29   | 0.04%             | 2047-01-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-8XS                                      | CUSIP: 61754PAC8<br>LEI: 549300NAJR4EOJG3S510 | Long             | ABS-MBS          | CORP              | US        |   1318091 | PA      | $478127.48    | 0.01%             | 2037-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust   | Morgan Stanley Reremic Trust                                                     | CUSIP: 61761KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2036567 | PA      | $1593902.97   | 0.03%             | 2036-11-26      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12                      | CUSIP: 61762XAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4896776.00   | 0.10%             | 2046-10-15      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust       | Benchmark 2021-B30 Mortgage Trust                                                | CUSIP: 08163KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $859742.40    | 0.02%             | 2054-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-HY5                                         | CUSIP: 12544BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5541040 | PA      | $4067582.08   | 0.08%             | 2047-09-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-HY5                                         | CUSIP: 12544BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1896015 | PA      | $1699339.84   | 0.03%             | 2037-09-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-5                                           | CUSIP: 12544VAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1648936 | PA      | $918130.75    | 0.02%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-5                                           | CUSIP: 12544VAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    854529 | PA      | $475803.49    | 0.01%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-5                                           | CUSIP: 12544VBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    786167 | PA      | $428843.82    | 0.01%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-5                                           | CUSIP: 12544VCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5596349 | PA      | $3116057.01   | 0.06%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-10                                          | CUSIP: 12545CAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1779434 | PA      | $878827.81    | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-J2                                          | CUSIP: 12545EAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2956129 | PA      | $1241025.56   | 0.03%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-J2                                          | CUSIP: 12545EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190919 | PA      | $80150.40     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd               | CIFC Funding 2017-III Ltd                                                        | CUSIP: 12548JAE2<br>LEI: 254900S2BZHNDNVF2L25 | Long             | ABS-CBDO         | CORP              | KY        |   2100000 | PA      | $2050423.20   | 0.04%             | 2030-07-20      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd               | CIFC Funding 2018-I Ltd                                                          | CUSIP: 12551RAE8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |   3750000 | PA      | $3504382.50   | 0.07%             | 2031-04-18      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FIRST-CITIZENS BANK/TRST       | First-Citizens Bank & Trust Co                                                   | CUSIP: 125581GX0<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |   6841000 | PA      | $7014930.51   | 0.14%             | 2028-03-09      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A1                               | CUSIP: 12566QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1494750 | PA      | $1312569.75   | 0.03%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A1                               | CUSIP: 12566QAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2402190 | PA      | $2109410.79   | 0.04%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2017-C8 Commercial Mortgage Trust                                          | CUSIP: 12595BAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  74773000 | PA      | $1010990.78   | 0.02%             | 2050-06-15      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2019-C17 Commercial Mortgage Trust                                         | CUSIP: 12597BAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  84842606 | PA      | $5235085.73   | 0.11%             | 2052-09-15      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2019-C18 Commercial Mortgage Trust                                         | CUSIP: 12597DAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  90821556 | PA      | $4278857.78   | 0.09%             | 2052-12-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2019-C18 Commercial Mortgage Trust                                         | CUSIP: 12597DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3216000 | PA      | $2564331.95   | 0.05%             | 2052-12-15      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| CNB FINANCIAL CORP/PA          | CNB Financial Corp/PA                                                            | CUSIP: 126128AB3<br>LEI: 254900RUYUOKD91VNX69 | Long             | SN               | CORP              | US        |   2000000 | PA      | $1754264.78   | 0.04%             | 2031-06-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2013-CCRE11 Mortgage Trust                                                  | CUSIP: 12626LAF9<br>LEI: 549300BCCWSDWINK2593 | Long             | ABS-MBS          | CORP              | US        |  48793580 | PA      | $189660.65    | 0.00%             | 2050-08-10      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2015-C1 Commercial Mortgage Trust                                          | CUSIP: 126281AC8<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |  62192000 | PA      | $529365.87    | 0.01%             | 2050-04-15      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2014-CCRE18 Mortgage Trust                                                  | CUSIP: 12632QBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4550700 | PA      | $4323256.92   | 0.09%             | 2047-07-15      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus | CSAIL 2016-C5 Commercial Mortgage Trust                                          | CUSIP: 12636LAJ9<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |  46821000 | PA      | $1111034.24   | 0.02%             | 2048-11-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    517629 | PA      | $305150.36    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505858 | PA      | $86460.71     | 0.00%             | 2036-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-2                                                | CUSIP: 126384AU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1351985 | PA      | $759753.78    | 0.02%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-3                                                | CUSIP: 12638PCC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302275 | PA      | $245764.51    | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2007-3                                                | CUSIP: 12638PCQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    422887 | PA      | $343827.80    | 0.01%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2011-12R                                                             | CUSIP: 12645VCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1142700 | PA      | $1121793.50   | 0.02%             | 2036-07-27      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2013-2R                                                               | CUSIP: 12646PDL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1964276 | PA      | $1282863.78   | 0.03%             | 2037-05-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2019-GC44 Mortgage Trust                                                    | CUSIP: 12655TAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19460000 | PA      | $1108517.49   | 0.02%             | 2057-08-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-6CB                                                  | CUSIP: 12667F5C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222434 | PA      | $205415.87    | 0.00%             | 2035-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-6CB                                                  | CUSIP: 12667F5G6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1896931 | PA      | $1633171.26   | 0.03%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-24CB                                                 | CUSIP: 12667FVN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1430534 | PA      | $1389609.89   | 0.03%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-27CB                                                 | CUSIP: 12667FWU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1017106 | PA      | $900546.59    | 0.02%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-28CB                                                 | CUSIP: 12667FYT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127195 | PA      | $89765.42     | 0.00%             | 2500-12-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-28CB                                                 | CUSIP: 12667FYV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302047 | PA      | $273343.72    | 0.01%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-13CB                                                 | CUSIP: 12667GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    945045 | PA      | $775411.69    | 0.02%             | 2035-05-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-9CB                                                  | CUSIP: 12667GEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2013651 | PA      | $1769795.04   | 0.04%             | 2035-05-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-9CB                                                  | CUSIP: 12667GES8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7194924 | PA      | $3846056.44   | 0.08%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-21CB                                                 | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2731213 | PA      | $2119444.41   | 0.04%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-21CB                                                 | CUSIP: 12667GKS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1648231 | PA      | $1322090.84   | 0.03%             | 2035-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-20CB                                                 | CUSIP: 12667GPV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1023637 | PA      | $791121.01    | 0.02%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J6                                                   | CUSIP: 12667GVG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2744221 | PA      | $2303516.79   | 0.05%             | 2035-07-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-43                                                   | CUSIP: 12668AAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139516 | PA      | $117565.51    | 0.00%             | 2035-09-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-J13                                                  | CUSIP: 12668AD28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    491539 | PA      | $343519.71    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-75CB                                                 | CUSIP: 12668AG33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1341497 | PA      | $960758.67    | 0.02%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-54CB                                                 | CUSIP: 12668APS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580419 | PA      | $337646.92    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-73CB                                                 | CUSIP: 12668AV44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349919 | PA      | $203219.37    | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-63                                                   | CUSIP: 12668AXF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    852517 | PA      | $719710.48    | 0.01%             | 2035-11-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-65CB                                                 | CUSIP: 12668AY25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104925 | PA      | $72437.67     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-65CB                                                 | CUSIP: 12668AZ73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    739892 | PA      | $343591.80    | 0.01%             | 2035-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-86CB                                                 | CUSIP: 12668BFH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    964785 | PA      | $617783.99    | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-86CB                                                 | CUSIP: 12668BFK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133696 | PA      | $85609.65     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-80CB                                                 | CUSIP: 12668BGD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4464130 | PA      | $4183311.70   | 0.08%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-6CB                                                  | CUSIP: 12668BSD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99608 | PA      | $81944.84     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-12CB                                                 | CUSIP: 12668BWY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    569207 | PA      | $300593.31    | 0.01%             | 2036-05-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J5                                                   | CUSIP: 12668EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1932467 | PA      | $1119576.77   | 0.02%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J5                                                   | CUSIP: 12668EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9355236 | PA      | $5419966.44   | 0.11%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-20                                          | CUSIP: 126694FN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19691 | PA      | $12636.38     | 0.00%             | 2027-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-6                                           | CUSIP: 126694K31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629885 | PA      | $352755.08    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-27                                          | CUSIP: 126694NT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    994972 | PA      | $748475.84    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-27                                          | CUSIP: 126694NV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    508701 | PA      | $228476.40    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-30                                          | CUSIP: 126694TX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63801 | PA      | $40777.35     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-31                                          | CUSIP: 126694UT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    853574 | PA      | $759689.64    | 0.02%             | 2036-01-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-HY10                                        | CUSIP: 126694VH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61178 | PA      | $48360.03     | 0.00%             | 2036-02-20      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-HY10                                        | CUSIP: 126694VP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1620237 | PA      | $1284389.79   | 0.03%             | 2036-02-20      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-9                                           | CUSIP: 126694W95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1149015 | PA      | $579664.31    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2003-42                                          | CUSIP: 12669EH74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900622 | PA      | $821228.48    | 0.02%             | 2033-10-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2003-44                                          | CUSIP: 12669EN93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256000 | PA      | $248426.68    | 0.01%             | 2033-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-HYB5                                        | CUSIP: 12669F3B7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    584160 | PA      | $563058.95    | 0.01%             | 2035-04-20      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-4                                           | CUSIP: 12669FRM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    434389 | PA      | $398326.24    | 0.01%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-14                                          | CUSIP: 12669FT45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2201526 | PA      | $2012931.95   | 0.04%             | 2034-08-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-J3                                          | CUSIP: 12669G4W8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55842 | PA      | $48790.44     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-21                                          | CUSIP: 12669GAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    519661 | PA      | $454657.93    | 0.01%             | 2034-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-13                                          | CUSIP: 12669GC66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1666679 | PA      | $1016334.14   | 0.02%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-24                                          | CUSIP: 12669GCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2446422 | PA      | $2222269.78   | 0.04%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2004-J9                                          | CUSIP: 12669GFK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495349 | PA      | $474927.24    | 0.01%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MERCANTILE BANK CORP           | Mercantile Bank Corp                                                             | CUSIP: 587376AE4<br>LEI: P16VZZCKTJ5IONL6XE37 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6037760.61   | 0.12%             | 2032-01-30      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | Resecuritization Pass-Through Trust 2005-8R                                      | CUSIP: 12669GQG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1660934 | PA      | $1574686.27   | 0.03%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-HYB2                                        | CUSIP: 12669GWU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    757487 | PA      | $702410.97    | 0.01%             | 2035-05-20      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| MERCER CNTY NJ IMPT AUTH       | Mercer County Improvement Authority/The                                          | CUSIP: 5878446W6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  14455000 | PA      | $17389934.53  | 0.35%             | 2034-12-01      | Fixed         | 8.27%                 | No            |                  2 | On Loan: No      |
| MERITAGE HOMES CORP            | Meritage Homes Corp                                                              | CUSIP: 59001ABD3<br>LEI: 52990044W9UMFJO2FB97 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $3821715.00   | 0.08%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc    | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-D                        | CUSIP: 59020UGG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    668506 | PA      | $627440.80    | 0.01%             | 2029-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A7                       | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3849674 | PA      | $3098209.55   | 0.06%             | 2035-09-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                      | CUSIP: 61766RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21212500 | PA      | $835486.13    | 0.02%             | 2049-11-15      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34                      | CUSIP: 61767EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5054000 | PA      | $4432753.73   | 0.09%             | 2052-11-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-J4                                          | CUSIP: 12669YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96089 | PA      | $38778.90     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2005-A1                                      | CUSIP: 16162WPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770123 | PA      | $704525.19    | 0.01%             | 2035-12-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34                      | CUSIP: 61767EAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4953000 | PA      | $3284020.28   | 0.07%             | 2052-11-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2018-H3                                           | CUSIP: 61767YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15363500 | PA      | $1229875.83   | 0.02%             | 2051-07-15      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2018-H3                                           | CUSIP: 61767YAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4808154.50   | 0.10%             | 2051-07-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2018-H3                                           | CUSIP: 61767YBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 135712000 | PA      | $2463539.22   | 0.05%             | 2051-07-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2005-A1                                      | CUSIP: 16162WPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    802885 | PA      | $734497.09    | 0.01%             | 2035-12-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S3                                      | CUSIP: 16162XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6769895 | PA      | $3067251.27   | 0.06%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S4                                      | CUSIP: 16162YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1226693 | PA      | $601366.92    | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S4                                      | CUSIP: 16162YAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3958334 | PA      | $1940511.49   | 0.04%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2019-L2                                           | CUSIP: 61768HAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 127093000 | PA      | $4299441.81   | 0.09%             | 2052-03-15      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2402000 | PA      | $1683943.72   | 0.03%             | 2052-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-S1                                      | CUSIP: 16163FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4023500 | PA      | $1655644.05   | 0.03%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-S3                                      | CUSIP: 16163HAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691713 | PA      | $340928.09    | 0.01%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 130723000 | PA      | $4704289.38   | 0.09%             | 2052-07-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9593000 | PA      | $7671985.44   | 0.15%             | 2052-07-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2021-L7                                           | CUSIP: 61772TBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15100000 | PA      | $12720461.97  | 0.26%             | 2054-10-15      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust 2021-L7                                           | CUSIP: 61772TBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 143080000 | PA      | $4377775.84   | 0.09%             | 2054-10-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities  | MASTR Asset Securitization Trust 2002-NC1                                        | CUSIP: 61909QAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244635 | PA      | $239380.52    | 0.00%             | 2032-10-25      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO              | Mountain View Clo XV Ltd                                                         | CUSIP: 62432PAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2914779.00   | 0.06%             | 2033-01-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-S3                                      | CUSIP: 16163HAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2107646 | PA      | $1058092.04   | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-A2                                      | CUSIP: 16163LAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    867906 | PA      | $740257.01    | 0.01%             | 2037-07-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| MULTNOMAH CNTY OR HOSP FACS AU | Hospital Facilities Authority of Multnomah County Oregon                         | CUSIP: 62551PDE4<br>LEI: 549300GAP0JIG7V33754 | Long             | DBT              | MUN               | US        |   2610000 | PA      | $2352940.84   | 0.05%             | 2026-06-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| MUNI ELEC AUTH OF GA           | Municipal Electric Authority of Georgia                                          | CUSIP: 62620HCQ3<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |  10355000 | PA      | $8306074.79   | 0.17%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NBT BANCORP INC                | NBT Bancorp Inc                                                                  | CUSIP: 628778AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7088010.90   | 0.14%             | 2030-07-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receiv | New Residential Advance Receivables Trust Advance Receivables Backed 2020-T1     | CUSIP: 62942QCT8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1625164.98   | 0.03%             | 2053-08-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| New Residential Advance Receiv | New Residential Advance Receivables Trust Advance Receivables Backed 2020-T1     | CUSIP: 62942QCU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4400000 | PA      | $4202885.72   | 0.08%             | 2053-08-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK        | National Australia Bank Ltd                                                      | CUSIP: 632525BB6<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   9500000 | PA      | $7176997.21   | 0.14%             | 2037-01-12      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| NATIONAL FIN AUTH NH FEDERAL L | New Hampshire Business Finance Authority                                         | CUSIP: 63607VAB2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4895000 | PA      | $3323146.97   | 0.07%             | 2037-10-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| NATURE CONSERVANCY (THE)       | Nature Conservancy/The                                                           | CUSIP: 63902HAP4<br>LEI: 549300GJ1IZME7V1JJ28 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $993939.29    | 0.02%             | 2031-07-01      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| NATURE CONSERVANCY (THE)       | Nature Conservancy/The                                                           | CUSIP: 63902HAQ2<br>LEI: 549300GJ1IZME7V1JJ28 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $893643.81    | 0.02%             | 2032-07-01      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| NATURE CONSERVANCY (THE)       | Nature Conservancy/The                                                           | CUSIP: 63902HAR0<br>LEI: 549300GJ1IZME7V1JJ28 | Long             | DBT              | CORP              | US        |    532000 | PA      | $402123.79    | 0.01%             | 2033-07-01      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd       | Neuberger Berman CLO XXI Ltd                                                     | CUSIP: 64130DBN9<br>LEI: 549300VBBLOSKH8XQ869 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2379882.50   | 0.05%             | 2034-04-20      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd       | Neuberger Berman Loan Advisers CLO 33 Ltd                                        | CUSIP: 64132TAQ6<br>LEI: 549300RVE5T2OYI2H743 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1845766.00   | 0.04%             | 2033-10-16      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd       | Neuberger Berman Loan Advisers CLO 35 Ltd                                        | CUSIP: 64133CAL3<br>LEI: 549300MYVO80EQUJK294 | Long             | ABS-CBDO         | CORP              | KY        |   7971955 | PA      | $7537021.08   | 0.15%             | 2033-01-19      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| NEW HOPE CULTURAL EDU FACS FIN | New Hope Cultural Education Facilities Finance Corp                              | CUSIP: 64542PAE5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    220000 | PA      | $70400.00     | 0.00%             | 2500-12-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY INSTITUTE OF TECHNO | New Jersey Institute of Technology/NJ                                            | CUSIP: 64579RAW7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1540000 | PA      | $1513844.95   | 0.03%             | 2024-07-01      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY INSTITUTE OF TECHNO | New Jersey Institute of Technology/NJ                                            | CUSIP: 64579RCZ8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6455000 | PA      | $4871139.88   | 0.10%             | 2042-07-01      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2006-2                                                    | CUSIP: 16165MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2456145 | PA      | $2158488.66   | 0.04%             | 2036-09-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Series 2005-1                                                    | CUSIP: 16165TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299167 | PA      | $247735.29    | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                | ChaseFlex Trust Multi-Class Mortgage Pass-Through Certificates Series 2007-M1    | CUSIP: 16165YAT9<br>LEI: 5493006ND0ASVXWQFQ18 | Long             | ABS-MBS          | CORP              | US        |   1390748 | PA      | $1160726.72   | 0.02%             | 2037-08-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Chenango Park CLO, Ltd.        | Chenango Park CLO Ltd                                                            | CUSIP: 16409TAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $914597.00    | 0.02%             | 2030-04-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST ECON DEV AUTH LE | New Jersey Economic Development Authority                                        | CUSIP: 645913AA2<br>LEI: 5493006JS6QWDVU4R678 | Long             | DBT              | MUN               | US        |  10000000 | PA      | $10819922.00  | 0.22%             | 2029-02-15      | Fixed         | 7.42%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST ECON DEV AUTH LE | New Jersey Economic Development Authority                                        | CUSIP: 645913BD5<br>LEI: 5493006JS6QWDVU4R678 | Long             | DBT              | MUN               | US        |  20188000 | PA      | $18080344.54  | 0.36%             | 2025-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO IL O'HARE INTERNATIONA | Chicago O'Hare International Airport                                             | CUSIP: 167593T51<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   8500000 | PA      | $6985624.70   | 0.14%             | 2031-01-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| THE CHILDRENS TRUST FUND PR TO | Children's Trust Fund                                                            | CUSIP: 16876QBE8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    120000 | PA      | $120038.05    | 0.00%             | 2033-05-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TURNPIKE AUTH TU | New Jersey Turnpike Authority                                                    | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   4500000 | PA      | $5514091.65   | 0.11%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TURNPIKE AUTH TU | New Jersey Turnpike Authority                                                    | CUSIP: 646140DW0<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   6250000 | PA      | $4821663.75   | 0.10%             | 2033-01-01      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-1                                           | CUSIP: 170255AN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1977093 | PA      | $1001995.81   | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-16                                          | CUSIP: 170257AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514337 | PA      | $202764.61    | 0.00%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEW MEMPHIS ARENA PUBLIC BLDG  | New Memphis Arena Public Building Authority                                      | CUSIP: 64704CAN8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1800000 | PA      | $649014.30    | 0.01%             | 2044-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW MEMPHIS ARENA PUBLIC BLDG  | New Memphis Arena Public Building Authority                                      | CUSIP: 64704CAP3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2000000 | PA      | $678563.40    | 0.01%             | 2045-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-17                                          | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2138442 | PA      | $978565.37    | 0.02%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-17                                          | CUSIP: 17025AAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2892179 | PA      | $1340301.62   | 0.03%             | 2036-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-HY6                                         | CUSIP: 17025MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254882 | PA      | $219423.03    | 0.00%             | 2037-11-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| CHRISTUS HEALTH                | CHRISTUS Health                                                                  | CUSIP: 17108JAA1<br>LEI: OQUVMAC1TV7BMO6XVW61 | Long             | DBT              | CORP              | US        |  13170000 | PA      | $12464755.19  | 0.25%             | 2028-07-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| NEW MEMPHIS ARENA PUBLIC BLDG  | New Memphis Arena Public Building Authority                                      | CUSIP: 64704CAQ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1700000 | PA      | $539811.88    | 0.01%             | 2046-04-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS LA                 | City of New Orleans LA                                                           | CUSIP: 64763FZX0<br>LEI: 54930084B6KHR5PR2651 | Long             | DBT              | MUN               | US        |   6400000 | PA      | $5408561.28   | 0.11%             | 2029-09-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| CHULA VISTA CA PENSN OBLG      | City of Chula Vista CA                                                           | CUSIP: 17131RAY2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2235000 | PA      | $1758422.68   | 0.04%             | 2030-06-01      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| CHULA VISTA CA PENSN OBLG      | City of Chula Vista CA                                                           | CUSIP: 17131RAZ9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2000000 | PA      | $1531351.20   | 0.03%             | 2031-06-01      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS LA SEWAGE SVC REVE | City of New Orleans LA Sewerage Service Revenue                                  | CUSIP: 647719QE6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | PA      | $790723.10    | 0.02%             | 2030-06-01      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS LA SEWAGE SVC REVE | City of New Orleans LA Sewerage Service Revenue                                  | CUSIP: 647719QF3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1575000 | PA      | $1215293.15   | 0.02%             | 2031-06-01      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS LA WTR REVENUE     | City of New Orleans LA Water System Revenue                                      | CUSIP: 647753ME9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1800000 | PA      | $1436750.46   | 0.03%             | 2029-12-01      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS LA WTR REVENUE     | City of New Orleans LA Water System Revenue                                      | CUSIP: 647753MF6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3120000 | PA      | $2436126.58   | 0.05%             | 2030-12-01      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS LA WTR REVENUE     | City of New Orleans LA Water System Revenue                                      | CUSIP: 647753MG4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1635000 | PA      | $1247317.30   | 0.03%             | 2031-12-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS LA WTR REVENUE     | City of New Orleans LA Water System Revenue                                      | CUSIP: 647753MN9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2530000 | PA      | $1724521.12   | 0.03%             | 2041-12-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST LIBERTY DEV CORP L | New York Liberty Development Corp                                                | CUSIP: 649519EK7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  13595000 | PA      | $9450595.52   | 0.19%             | 2041-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST LIBERTY DEV CORP L | New York Liberty Development Corp                                                | CUSIP: 649519EL5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5500000 | PA      | $4289438.45   | 0.09%             | 2042-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST LIBERTY DEV CORP L | New York Liberty Development Corp                                                | CUSIP: 649519EY7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  12500000 | PA      | $10226956.25  | 0.21%             | 2043-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY NY INDL DEV AGY  | New York City Industrial Development Agency                                      | CUSIP: 64971PLN3<br>LEI: 549300XR20ZR5DHL9534 | Long             | DBT              | MUN               | US        |   5850000 | PA      | $4071691.26   | 0.08%             | 2036-01-01      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY NY TRANSITIONAL  | New York City Transitional Finance Authority Future Tax Secured Revenue          | CUSIP: 64971QRB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  20000000 | PA      | $19039802.00  | 0.38%             | 2030-11-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH REVENUES | New York State Dormitory Authority                                               | CUSIP: 64990GGJ5<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |   3125000 | PA      | $2933552.81   | 0.06%             | 2034-08-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH REVENUES | New York State Dormitory Authority                                               | CUSIP: 64990GWU2<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |   6430000 | PA      | $5449277.11   | 0.11%             | 2030-07-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NEWARK NJ                      | City of Newark NJ                                                                | CUSIP: 650367NZ4<br>LEI: 5493008RBPM01QHRYX34 | Long             | DBT              | MUN               | US        |   2830000 | PA      | $2778382.50   | 0.06%             | 2028-11-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| NEXBANK CAPITAL INC            | NexBank Capital Inc                                                              | CUSIP: 65341TAE7<br>LEI: 549300H29S945S4X7A03 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $5770791.91   | 0.12%             | 2031-08-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Niagara Park CLO, Ltd.         | Niagara Park Clo Ltd                                                             | CUSIP: 65357KAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1767238.00   | 0.04%             | 2032-07-17      | Floating      | 10.03%                | No            |                  2 | On Loan: No      |
| NJB PROPERTIES WA LEASE REVENU | NJB Properties                                                                   | CUSIP: 65486MAV9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7665000 | PA      | $7844650.75   | 0.16%             | 2036-12-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-WF1              | CUSIP: 65535VKX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24992 | PA      | $24188.96     | 0.00%             | 2035-03-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AR3              | CUSIP: 65535VMG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    703397 | PA      | $679425.05    | 0.01%             | 2035-07-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2011-4R                                            | CUSIP: 65539CAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5666218 | PA      | $5091078.51   | 0.10%             | 2036-12-26      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust  | Nomura Resecuritization Trust 2014-5R                                            | CUSIP: 65540HAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3566821 | PA      | $2923454.94   | 0.06%             | 2035-06-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| NORTH LAS VEGAS NV             | City of North Las Vegas NV                                                       | CUSIP: 660393P86<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  12655000 | PA      | $14328413.68  | 0.29%             | 2040-06-01      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| N TX TOLLWAY AUTH REVENUE      | North Texas Tollway Authority                                                    | CUSIP: 66285WYE0<br>LEI: PQGZGRE0F2WPMYQQ1B78 | Long             | DBT              | MUN               | US        |   5090000 | PA      | $5738109.70   | 0.12%             | 2030-02-01      | Fixed         | 8.41%                 | No            |                  2 | On Loan: No      |
| NTHRN CA PWR AGY REVENUE       | Northern California Power Agency                                                 | CUSIP: 664845DG6<br>LEI: 549300QYTU4PHD2XHS96 | Long             | DBT              | MUN               | US        |   9765000 | PA      | $10203404.56  | 0.21%             | 2035-06-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| NORTHWELL HEALTHCARE INC       | Northwell Healthcare Inc                                                         | CUSIP: 667274AB0<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |   4652000 | PA      | $4282632.27   | 0.09%             | 2027-11-01      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| NORWALK-LA MIRADA CA UNIF SCH  | Norwalk-La Mirada Unified School District                                        | CUSIP: 669096RW1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4400000 | PA      | $2205452.04   | 0.04%             | 2038-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OCEANFIRST FINANCIAL CP        | OceanFirst Financial Corp                                                        | CUSIP: 675234AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4755561.80   | 0.10%             | 2030-05-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 26 | Octagon Investment Partners 26 Ltd                                               | CUSIP: 67590YAS9<br>LEI: 549300ZYOSZSIH0Y3392 | Long             | ABS-CBDO         | CORP              | KY        |   6220000 | PA      | $5721858.86   | 0.12%             | 2030-07-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP          | Oglethorpe Power Corp                                                            | CUSIP: 677050AC0<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |   6445000 | PA      | $6505599.76   | 0.13%             | 2031-01-01      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| OHIO ST HGR EDUCTNL FAC COMMIS | Ohio Higher Educational Facility Commission                                      | CUSIP: 67756DXS0<br>LEI: 5493007MQT6NGNN6BR81 | Long             | DBT              | MUN               | US        |   4025000 | PA      | $3861592.65   | 0.08%             | 2026-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OKLAHOMA CITY OK ECON DEV TRUS | Oklahoma City Economic Development Trust                                         | CUSIP: 678553BZ0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1545000 | PA      | $1236704.52   | 0.02%             | 2031-03-01      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| OKLAHOMA ST DEV FIN AUTH HLTHS | Oklahoma Development Finance Authority                                           | CUSIP: 67884XCP0<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |   5520000 | PA      | $4854089.28   | 0.10%             | 2028-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| OKLAHOMA ST DEV FIN AUTH       | Oklahoma Development Finance Authority                                           | CUSIP: 6789084G6<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |   5000000 | PA      | $4742709.50   | 0.10%             | 2044-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| OKLAHOMA ST DEV FIN AUTH       | Oklahoma Development Finance Authority                                           | CUSIP: 6789084H4<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |  10000000 | PA      | $10286670.00  | 0.21%             | 2042-10-01      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| OKLAHOMA ST MUNI PWR AUTH      | Oklahoma Municipal Power Authority                                               | CUSIP: 67910HRY8<br>LEI: 54930074Q1M8747DCS20 | Long             | DBT              | MUN               | US        |   3870000 | PA      | $3082222.41   | 0.06%             | 2034-01-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| OKLAHOMA ST MUNI PWR AUTH      | Oklahoma Municipal Power Authority                                               | CUSIP: 67910HRZ5<br>LEI: 54930074Q1M8747DCS20 | Long             | DBT              | MUN               | US        |   3475000 | PA      | $2733964.24   | 0.06%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OKLAHOMA ST MUNI PWR AUTH      | Oklahoma Municipal Power Authority                                               | CUSIP: 67910HSA9<br>LEI: 54930074Q1M8747DCS20 | Long             | DBT              | MUN               | US        |   2390000 | PA      | $1850554.30   | 0.04%             | 2036-01-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| OKLAHOMA ST MUNI PWR AUTH      | Oklahoma Municipal Power Authority                                               | CUSIP: 67910HSB7<br>LEI: 54930074Q1M8747DCS20 | Long             | DBT              | MUN               | US        |  15500000 | PA      | $11692834.20  | 0.24%             | 2041-01-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN       | 1011778 BC ULC / New Red Finance Inc                                             | CUSIP: 68245XAP4<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1200000 | PA      | $1022773.03   | 0.02%             | 2029-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP           | OneMain Finance Corp                                                             | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4100922.55   | 0.08%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONTARIO CA PENSN OBLIG         | City of Ontario CA                                                               | CUSIP: 68304FAW6<br>LEI: 254900FN91TH1F225693 | Long             | DBT              | MUN               | US        |   3000000 | PA      | $2616945.30   | 0.05%             | 2038-06-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                 | Open Text Corp                                                                   | CUSIP: 683715AD8<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |   8830000 | PA      | $7050879.06   | 0.14%             | 2029-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                 | Open Text Corp                                                                   | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |   1000000 | PA      | $1002460.00   | 0.02%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| PEAPACK GLADSTONE FINANC       | Peapack-Gladstone Financial Corp                                                 | CUSIP: 704699AE7<br>LEI: 549300G8DN2UK8K0ET30 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $6784548.23   | 0.14%             | 2030-12-30      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| PENN STATE HEALTH              | Penn State Health                                                                | CUSIP: 707631AA5<br>LEI: 254900ZBDOI59F4TUB07 | Long             | DBT              | CORP              | US        |   4250000 | PA      | $3110404.83   | 0.06%             | 2049-11-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ST ECON DEV FING  | Pennsylvania Economic Development Financing Authority                            | CUSIP: 70869PNC7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7600000 | PA      | $5556757.48   | 0.11%             | 2042-06-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ST TURNPIKE COMMI | Pennsylvania Turnpike Commission                                                 | CUSIP: 709225AY2<br>LEI: 549300J8LLBYEYEXZJ24 | Long             | DBT              | MUN               | US        |   9095000 | PA      | $7126123.50   | 0.14%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PENSKE AUTOMOTIVE GROUP        | Penske Automotive Group Inc                                                      | CUSIP: 70959WAK9<br>LEI: 549300W7UTQ0M4C7LB15 | Long             | DBT              | CORP              | US        |   8950000 | PA      | $7466671.75   | 0.15%             | 2029-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PERALTA CA CMNTY CLG DIST LTD  | Peralta Community College District                                               | CUSIP: 713580AJ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  12350000 | PA      | $10737608.70  | 0.22%             | 2031-08-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PHILADELPHIA PA                | City of Philadelphia PA                                                          | CUSIP: 717813ZQ5<br>LEI: 549300IVFOPB4AG7UL47 | Long             | DBT              | MUN               | US        |   2500000 | PA      | $1905401.25   | 0.04%             | 2031-07-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| PIEDMONT HEALTHCARE INC        | Piedmont Healthcare Inc                                                          | CUSIP: 72014TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12725000 | PA      | $9918330.48   | 0.20%             | 2032-01-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| PIERCE CNTY WA SCH DIST #10 TA | Pierce County School District No 10 Tacoma                                       | CUSIP: 720424A75<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  14560000 | PA      | $10094902.27  | 0.20%             | 2039-12-01      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| PLACENTIA-YORBA LINDA CA UNIF  | Placentia-Yorba Linda Unified School District                                    | CUSIP: 725894JY6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7600000 | PA      | $4658413.16   | 0.09%             | 2035-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PORT BEAUMONT TX INDL DEV AUTH | Port of Beaumont Industrial Development Authority                                | CUSIP: 73358SAA1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7000000 | PA      | $5723335.80   | 0.12%             | 2028-01-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| PUBLIC FIN AUTH WI REVENUE     | Public Finance Authority                                                         | CUSIP: 74442PXM2<br>LEI: 5493004S6D3NA627K012 | Long             | DBT              | MUN               | US        |   5750000 | PA      | $5690421.38   | 0.11%             | 2029-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC FIN AUTH WI SENIOR LIVI | Public Finance Authority                                                         | CUSIP: 74443UAY9<br>LEI: 5493004S6D3NA627K012 | Long             | DBT              | MUN               | US        |   1275000 | PA      | $1192720.55   | 0.02%             | 2032-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC FIN AUTH WI LEASE REVEN | Public Finance Authority                                                         | CUSIP: 74445HAJ9<br>LEI: 5493004S6D3NA627K012 | Long             | DBT              | MUN               | US        |   3635000 | PA      | $3471590.03   | 0.07%             | 2031-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO CMWLTH             | Commonwealth of Puerto Rico                                                      | CUSIP: 74514L3E5<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |    255706 | PA      | $256826.55    | 0.01%             | 2023-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO CMWLTH             | Commonwealth of Puerto Rico                                                      | CUSIP: 74514L3F2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |    512555 | PA      | $519954.35    | 0.01%             | 2025-07-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO CMWLTH             | Commonwealth of Puerto Rico                                                      | CUSIP: 74514L3G0<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |    507913 | PA      | $520220.90    | 0.01%             | 2027-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO CMWLTH             | Commonwealth of Puerto Rico                                                      | CUSIP: 74514L3H8<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |    499673 | PA      | $512194.76    | 0.01%             | 2029-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO CMWLTH             | Commonwealth of Puerto Rico                                                      | CUSIP: 74514L3J4<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |    485328 | PA      | $498522.08    | 0.01%             | 2031-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO CMWLTH             | Commonwealth of Puerto Rico                                                      | CUSIP: 74514L3K1<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |    460219 | PA      | $401007.22    | 0.01%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO CMWLTH             | Commonwealth of Puerto Rico                                                      | CUSIP: 74514L3L9<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |    413675 | PA      | $352786.22    | 0.01%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO CMWLTH             | Commonwealth of Puerto Rico                                                      | CUSIP: 74514L3M7<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |    355042 | PA      | $296734.55    | 0.01%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO CMWLTH             | Commonwealth of Puerto Rico                                                      | CUSIP: 74514L3N5<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |    482722 | PA      | $387976.61    | 0.01%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO CMWLTH             | Commonwealth of Puerto Rico                                                      | CUSIP: 74514L3P0<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |    502024 | PA      | $387737.28    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO CMWLTH             | Commonwealth of Puerto Rico                                                      | CUSIP: 74514L3Q8<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |    153671 | PA      | $141215.64    | 0.00%             | 2024-07-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO CMWLTH             | Commonwealth of Puerto Rico                                                      | CUSIP: 74514L3R6<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |    592257 | PA      | $325102.36    | 0.01%             | 2033-07-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO CMWLTH             | Commonwealth of Puerto Rico                                                      | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | US        |   2291998 | PA      | $1045724.09   | 0.02%             | 2043-11-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO HIGHWAY & TRANSPRT | Puerto Rico Highway & Transportation Authority                                   | CUSIP: 745185BN7<br>LEI: 549300J6QBXVWJXB7Y41 | Long             | DBT              | MUN               | US        |   7000000 | PA      | $5541665.50   | 0.11%             | 2026-07-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS17 Trust                                                      | CUSIP: 74922SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    789941 | PA      | $542666.20    | 0.01%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FLN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64230131 | PA      | $1049192.76   | 0.02%             | 2026-02-25      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FLND2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  53659000 | PA      | $1481637.67   | 0.03%             | 2029-03-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 131829489 | PA      | $7687333.44   | 0.16%             | 2034-03-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  54380166 | PA      | $2637807.83   | 0.05%             | 2029-05-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FMTU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  47482085 | PA      | $3198051.39   | 0.06%             | 2034-04-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 195335070 | PA      | $8952225.80   | 0.18%             | 2029-06-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FMU83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  58696515 | PA      | $1563246.67   | 0.03%             | 2026-05-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FMUA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  70547000 | PA      | $2887121.87   | 0.06%             | 2026-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FMUR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  63012321 | PA      | $2438665.05   | 0.05%             | 2029-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  72736824 | PA      | $4213891.51   | 0.09%             | 2029-07-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FNX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  66115000 | PA      | $4931954.21   | 0.10%             | 2051-09-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  61860579 | PA      | $3748695.44   | 0.08%             | 2029-08-25      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FPHP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24691000 | PA      | $1902244.02   | 0.04%             | 2029-08-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  80254380 | PA      | $8560012.39   | 0.17%             | 2035-07-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23000000 | PA      | $2289167.00   | 0.05%             | 2030-08-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FXQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  51000000 | PA      | $3639987.30   | 0.07%             | 2030-10-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FXZ76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 186332000 | PA      | $6242438.76   | 0.13%             | 2031-02-25      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 153984188 | PA      | $5037685.11   | 0.10%             | 2031-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37700000 | PA      | $1850003.09   | 0.04%             | 2031-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H0GZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  89849000 | PA      | $3866786.49   | 0.08%             | 2028-04-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H13R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  70301999 | PA      | $4474272.29   | 0.09%             | 2031-05-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31700000 | PA      | $2562875.26   | 0.05%             | 2031-05-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H14F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  99488000 | PA      | $6003464.08   | 0.12%             | 2028-05-25      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi | Freddie Mac Multiclass Certificates Series 2015-P001                             | CUSIP: 3137H14L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  70015000 | PA      | $5013823.16   | 0.10%             | 2027-08-27      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 122726448 | PA      | $8279838.00   | 0.17%             | 2031-06-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H1YZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  43372188 | PA      | $3609823.84   | 0.07%             | 2031-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H2N83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 135613147 | PA      | $6634547.76   | 0.13%             | 2031-07-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H2NZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  95883247 | PA      | $8086783.44   | 0.16%             | 2036-08-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H5E37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 160000000 | PA      | $3354640.00   | 0.07%             | 2028-12-25      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H5XY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 195000000 | PA      | $9908827.50   | 0.20%             | 2032-01-25      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H5YG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 175000000 | PA      | $5180717.50   | 0.10%             | 2029-01-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H6ZT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 162760277 | PA      | $3867184.19   | 0.08%             | 2032-02-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H73H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 195000000 | PA      | $4921663.50   | 0.10%             | 2032-02-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  83325171 | PA      | $1963982.61   | 0.04%             | 2032-08-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Fillmore Park CLO, Ltd.        | Fillmore Park CLO Ltd 2018-1A                                                    | CUSIP: 31722QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $864895.00    | 0.02%             | 2030-07-15      | Floating      | 9.48%                 | No            |                  2 | On Loan: No      |
| First American Government Obli | First American Government Obligations Fund                                       | CUSIP: 31846V336<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |  81200185 | NS      | $81200185.11  | 1.64%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST BUSEY CORPORATION        | First Busey Corp                                                                 | CUSIP: 319383AD7<br>LEI: 549300X4ZNLYSX7GUY60 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3836984.08   | 0.08%             | 2030-06-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FIRST BUSEY CORPORATION        | First Busey Corp                                                                 | CUSIP: 319383AE5<br>LEI: 549300X4ZNLYSX7GUY60 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1822545.14   | 0.04%             | 2032-06-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANCSHARE       | First Citizens BancShares Inc/NC                                                 | CUSIP: 31946MAA1<br>LEI: 549300N3Z00ZHE2XC526 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1419932.06   | 0.03%             | 2030-03-15      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FIRST FINANCIAL BANCORP        | First Financial Bancorp                                                          | CUSIP: 320209AB5<br>LEI: 549300D3F5B3EZMY7P77 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3857166.60   | 0.08%             | 2030-05-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FIRST FOUNDATION INC           | First Foundation Inc                                                             | CUSIP: 32026VAA2<br>LEI: 254900TQZQ6LBCK77E82 | Long             | DBT              | CORP              | US        |   9500000 | PA      | $8240009.68   | 0.17%             | 2032-02-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA2                     | CUSIP: 32051G2X2<br>LEI: 549300C1T80OPZQ1IW57 | Long             | ABS-MBS          | CORP              | US        |   2255857 | PA      | $1074473.79   | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA2                     | CUSIP: 32051G2Z7<br>LEI: 549300C1T80OPZQ1IW57 | Long             | ABS-MBS          | CORP              | US        |   1431909 | PA      | $682024.33    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2004-AA6                     | CUSIP: 32051GCB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278334 | PA      | $269727.56    | 0.01%             | 2035-01-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2004-AA7                     | CUSIP: 32051GFB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    817235 | PA      | $752459.53    | 0.02%             | 2035-02-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-FA11                    | CUSIP: 32051GM69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       698 | PA      | $0.01         | 0.00%             | 2500-12-31      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-AA5                     | CUSIP: 32051GPM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1386335 | PA      | $1241484.19   | 0.03%             | 2035-07-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2005-AR3                               | CUSIP: 32051GQP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1304757 | PA      | $1213939.43   | 0.02%             | 2035-08-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA1                     | CUSIP: 32051GS63<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |   1919181 | PA      | $932055.91    | 0.02%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-AA7                     | CUSIP: 32051GSQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1443657 | PA      | $1240952.67   | 0.03%             | 2035-09-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-FA8                     | CUSIP: 32051GYU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1195728 | PA      | $653323.84    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA6                     | CUSIP: 32052FAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6440898 | PA      | $3261867.21   | 0.07%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA6                     | CUSIP: 32052FAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1211545 | PA      | $453335.85    | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA6                     | CUSIP: 32052FAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    955808 | PA      | $348557.73    | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2006-FA6                     | CUSIP: 32052FBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       969 | PA      | $733.41       | 0.00%             | 2500-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2006-4                                 | CUSIP: 32052UAF0<br>LEI: 549300YB0SYOI7JLTH61 | Long             | ABS-MBS          | CORP              | US        |    923689 | PA      | $266958.08    | 0.01%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2006-4                                 | CUSIP: 32052UAQ6<br>LEI: 549300YB0SYOI7JLTH61 | Long             | ABS-MBS          | CORP              | US        |    559327 | PA      | $168099.55    | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-FA4                     | CUSIP: 32052WAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1828019 | PA      | $803181.80    | 0.02%             | 2037-08-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2006-AR4                               | CUSIP: 32053AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2322652 | PA      | $1469173.52   | 0.03%             | 2037-01-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-AA1                     | CUSIP: 32053BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2355214 | PA      | $1654774.73   | 0.03%             | 2037-05-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2007-AR1                               | CUSIP: 32053EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495585 | PA      | $216440.72    | 0.00%             | 2037-05-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2007-AR2                               | CUSIP: 32055GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2286111 | PA      | $783513.23    | 0.02%             | 2037-08-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| FIRST INTERSTATE BANCSYS       | First Interstate BancSystem Inc                                                  | CUSIP: 32055YAA0<br>LEI: 549300WRWYTYX0RCNJ43 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4846521.20   | 0.10%             | 2030-05-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Tru | First Investors Auto Owner Trust 2022-1                                          | CUSIP: 32057KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4644954.00   | 0.09%             | 2028-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Tru | First Investors Auto Owner Trust 2021-1                                          | CUSIP: 32059FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1795000 | PA      | $1692615.35   | 0.03%             | 2027-03-15      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| FIRST MID BANCSHARES INC       | First Mid Bancshares Inc                                                         | CUSIP: 320866AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5300000 | PA      | $4886296.20   | 0.10%             | 2030-10-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| OLD NATL BANCORP               | Old National Bancorp/IN                                                          | CUSIP: 320867AC8<br>LEI: 549300MMK90CL5KMVX16 | Long             | DBT              | CORP              | US        |   8500000 | PA      | $8643038.94   | 0.17%             | 2026-09-29      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FIRSTBANK                      | FirstBank/Nashville TN                                                           | CUSIP: 33766NAJ3<br>LEI: 549300OBO7DOF2KOP535 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7507764.88   | 0.15%             | 2030-09-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust     | Flagship Credit Auto Trust 2022-3                                                | CUSIP: 33845PAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9772840.00   | 0.20%             | 2027-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FLORIDA DEV FIN CORP SURFACE T | Florida Development Finance Corp                                                 | CUSIP: 34061YAH3<br>LEI: 549300HC854CNBLMWC48 | Long             | DBT              | MUN               | US        |   7000000 | PA      | $6242055.40   | 0.13%             | 2049-01-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| FLORIDA ST BRD OF ADMIN FIN CO | State Board of Administration Finance Corp                                       | CUSIP: 341271AF1<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |  15537000 | PA      | $12554620.02  | 0.25%             | 2030-07-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FLUSHING FINANCIAL CORP        | Flushing Financial Corp                                                          | CUSIP: 343873AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4252458.35   | 0.09%             | 2031-12-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC       | Ford Motor Credit Co LLC                                                         | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   5853000 | PA      | $5545454.12   | 0.11%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FRANKLIN CNTY OH CONVENTION FA | Franklin County Convention Facilities Authority                                  | CUSIP: 353174JF3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5485000 | PA      | $4530150.91   | 0.09%             | 2030-12-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| FRANKLIN CNTY OH CONVENTION FA | Franklin County Convention Facilities Authority                                  | CUSIP: 353174JJ5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  22100000 | PA      | $17478081.14  | 0.35%             | 2034-12-01      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit  | Freddie Mac Multifamily Structured Credit Risk                                   | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6216952.70   | 0.13%             | 2051-11-25      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR Trust 2018-DNA2                                                | CUSIP: 35563TAV3<br>LEI: 549300L8K4CLYS7FCQ06 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4917362.00   | 0.10%             | 2030-12-25      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | STACR Trust 2018-HRP2                                                            | CUSIP: 35564ACB5<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9619107.00   | 0.19%             | 2047-02-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2021-HQA1                                          | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5855000 | PA      | $5394082.10   | 0.11%             | 2033-08-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2021-DNA5                                          | CUSIP: 35564KJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7759414 | PA      | $6916034.76   | 0.14%             | 2034-01-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2021-DNA7                                          | CUSIP: 35564KMH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7750000 | PA      | $7203604.08   | 0.15%             | 2041-11-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA1                                          | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6800000 | PA      | $6229260.36   | 0.13%             | 2042-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2022-DNA1                                          | CUSIP: 35564KQC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $7961124.60   | 0.16%             | 2042-01-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2020-DNA5                                          | CUSIP: 35566ABD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10606000 | PA      | $10545697.47  | 0.21%             | 2050-10-25      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust           | FREMF 2018-KF50 Mortgage Trust                                                   | CUSIP: 35709BAC9<br>LEI: 549300LI8XT0ZWPV2P54 | Long             | ABS-MBS          | CORP              | US        |   2452343 | PA      | $2418912.49   | 0.05%             | 2028-07-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily        | Freddie Mac Multifamily ML Certificates                                          | CUSIP: 35833FAC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24990823 | PA      | $4042015.75   | 0.08%             | 2036-10-25      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily        | Freddie Mac Multifamily ML Certificates                                          | CUSIP: 35833JAE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15165540 | PA      | $1961359.30   | 0.04%             | 2038-06-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily        | Freddie Mac Multifamily ML Certificates                                          | CUSIP: 35833JAG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14288932 | PA      | $2512137.19   | 0.05%             | 2038-01-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily        | Freddie Mac Multifamily ML Certificates                                          | CUSIP: 35833TAB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18122650 | PA      | $1735062.47   | 0.04%             | 2041-07-25      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| FRUITA CO HLTHCARE REVENUE     | City of Fruita CO Healthcare Revenue                                             | CUSIP: 359427AD3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2650000 | PA      | $2526098.72   | 0.05%             | 2028-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FULLERTON CA PUBLIC FING AUTH  | Fullerton Public Financing Authority                                             | CUSIP: 35981TAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1265000 | PA      | $1409435.80   | 0.03%             | 2031-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust   | GS Mortgage Securities Corp II                                                   | CUSIP: 36192RAG7<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   6608000 | PA      | $5721761.47   | 0.12%             | 2034-11-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2003-5F                                                  | CUSIP: 36228FTD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    887332 | PA      | $804866.09    | 0.02%             | 2032-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-15                                                   | CUSIP: 3622E8AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2121224 | PA      | $604983.97    | 0.01%             | 2036-09-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-18                                                   | CUSIP: 3622ELAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700521 | PA      | $438164.28    | 0.01%             | 2036-11-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| GAINESVILLE FL PENSN OBLG REVE | City of Gainesville FL                                                           | CUSIP: 362832AZ0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4610000 | PA      | $3567600.63   | 0.07%             | 2027-10-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GAINESVILLE FL PENSN OBLG REVE | City of Gainesville FL                                                           | CUSIP: 362832BA4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1400000 | PA      | $1023824.20   | 0.02%             | 2028-10-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                    | Gartner Inc                                                                      | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |   4678000 | PA      | $4102635.00   | 0.08%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GATEWAY CA UNIF SCH DIST       | Gateway Unified School District/CA                                               | CUSIP: 36759RBZ9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2315000 | PA      | $1531604.69   | 0.03%             | 2033-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GATEWAY CA UNIF SCH DIST       | Gateway Unified School District/CA                                               | CUSIP: 36759RCB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2315000 | PA      | $1384176.47   | 0.03%             | 2035-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GATEWAY CA UNIF SCH DIST       | Gateway Unified School District/CA                                               | CUSIP: 36759RCC9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2315000 | PA      | $1313238.85   | 0.03%             | 2036-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GDB DEBT RECOVERY AUTH OF CMWL | GDB Debt Recovery Authority of Puerto Rico                                       | CUSIP: 36829QAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  10708965 | PA      | $8968758.19   | 0.18%             | 2040-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GILBERT PARK CLO LTD           | Gilbert Park CLO Ltd                                                             | CUSIP: 375414AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1065316.25   | 0.02%             | 2030-10-15      | Floating      | 10.48%                | No            |                  2 | On Loan: No      |
| GILBERT PARK CLO LTD           | Gilbert Park CLO Ltd                                                             | CUSIP: 375415AG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8475000 | PA      | $8012129.40   | 0.16%             | 2030-10-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| GLENDALE AZ MUNI PROPERTY CORP | Glendale Municipal Property Corp                                                 | CUSIP: 378294DM1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3050000 | PA      | $3296291.47   | 0.07%             | 2033-07-01      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust     | GLS Auto Receivables Issuer Trust 2022-3                                         | CUSIP: 38014QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2925969.90   | 0.06%             | 2027-01-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| GOLDEN ST TOBACCO SECURITIZATI | Golden State Tobacco Securitization Corp                                         | CUSIP: 38122NB76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  12145000 | PA      | $11242966.56  | 0.23%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDEN ST TOBACCO SECURITIZATI | Golden State Tobacco Securitization Corp                                         | CUSIP: 38122ND25<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  15930000 | PA      | $12879056.13  | 0.26%             | 2031-06-01      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US  | Goldentree Loan Management US Clo 2 Ltd                                          | CUSIP: 38136PAA9<br>LEI: 549300UYD6YMBA6XSE43 | Long             | ABS-CBDO         | CORP              | KY        |   6561000 | PA      | $5620152.60   | 0.11%             | 2030-11-28      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Opportunities  | Goldentree Loan Opportunities XI Ltd                                             | CUSIP: 38137HCA4<br>LEI: 549300ZH5R2TCUAYC824 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2126772.00   | 0.04%             | 2031-01-18      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Opportunities  | Goldentree Loan Opportunities XI Ltd                                             | CUSIP: 38137JBG8<br>LEI: 549300ZH5R2TCUAYC824 | Long             | ABS-CBDO         | CORP              | KY        |   3750000 | PA      | $3192191.25   | 0.06%             | 2031-01-18      | Floating      | 9.59%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Opportunities  | Goldentree Loan Opportunities X Ltd                                              | CUSIP: 38137PAY6<br>LEI: 549300IGEA8MXF2YEF61 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3810468.00   | 0.08%             | 2031-07-20      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US  | Goldentree Loan Management US Clo 4 Ltd                                          | CUSIP: 38138CAA6<br>LEI: 549300H67V5FL4RU1Z53 | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $6782920.00   | 0.14%             | 2031-04-24      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US  | Goldentree Loan Management US CLO 5 Ltd                                          | CUSIP: 38138DAU0<br>LEI: 549300O473GD3F35WC55 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2344320.00   | 0.05%             | 2032-10-20      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US  | Goldentree Loan Management US CLO 5 Ltd                                          | CUSIP: 38138EAA2<br>LEI: 549300O473GD3F35WC55 | Long             | ABS-CBDO         | CORP              | KY        |   7500000 | PA      | $6275452.50   | 0.13%             | 2032-10-20      | Floating      | 9.09%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST EARTHQUAKE AUTH  | California Earthquake Authority                                                  | CUSIP: 13017HAP1<br>LEI: 254900P2MGLOUH3QS859 | Long             | DBT              | MUN               | US        |   5000000 | PA      | $5032387.00   | 0.10%             | 2027-07-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA HSG FIN AGY MUNI CT | California Housing Finance Agency                                                | CUSIP: 13033DAF2<br>LEI: 549300BOPCVLBA552Z14 | Long             | DBT              | MUN               | US        |  28294324 | PA      | $1598629.33   | 0.03%             | 2035-11-20      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| California Housing Finance Age | California Housing Finance Agency                                                | CUSIP: 13033DAH8<br>LEI: 549300BOPCVLBA552Z14 | Long             | ABS-MBS          | CORP              | US        |  32041799 | PA      | $1827343.81   | 0.04%             | 2035-03-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| California Housing Finance Age | California Housing Finance Agency                                                | CUSIP: 13033DAK1<br>LEI: 549300BOPCVLBA552Z14 | Long             | ABS-MBS          | CORP              | US        |  25903985 | PA      | $1595167.38   | 0.03%             | 2036-08-20      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                  | State of California                                                              | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  28000000 | PA      | $36054715.20  | 0.73%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST UNIV REVENUE     | California State University                                                      | CUSIP: 13077DKM3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4265000 | PA      | $3396625.53   | 0.07%             | 2033-11-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA STWD CMNTYS DEV AUT | California Statewide Communities Development Authority                           | CUSIP: 13080SK45<br>LEI: 549300KTNI2GCJNX2U48 | Long             | DBT              | MUN               | US        |  10000000 | PA      | $10253133.00  | 0.21%             | 2034-06-01      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Catskill Park CLO, LTD.        | Catskill Park CLO Ltd                                                            | CUSIP: 149420AJ0<br>LEI: 549300QY7L9WFVGWC115 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3213714.00   | 0.06%             | 2029-04-20      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Catskill Park CLO, LTD.        | Catskill Park CLO Ltd                                                            | CUSIP: 149421AA7<br>LEI: 549300QY7L9WFVGWC115 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1066230.00   | 0.02%             | 2029-04-20      | Floating      | 10.24%                | No            |                  2 | On Loan: No      |
| CENTENE CORP                   | Centene Corp                                                                     | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   5965000 | PA      | $4896012.35   | 0.10%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                   | Centene Corp                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |  16390000 | PA      | $13800022.70  | 0.28%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CENTRAL PACIFIC FIN CORP       | Central Pacific Financial Corp                                                   | CUSIP: 154760AC6<br>LEI: 549300W3YEAOZ4KGG849 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4708372.55   | 0.10%             | 2030-11-01      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CENTRAL STORAGE TRUST          | Central Storage Safety Project Trust                                             | CUSIP: 155431AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6278720 | PA      | $5728278.81   | 0.12%             | 2038-02-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| CENTURY COMMUNITIES            | Century Communities Inc                                                          | CUSIP: 156504AM4<br>LEI: 5299002QMB2O7ZL1CA26 | Long             | DBT              | CORP              | US        |   3925000 | PA      | $3174716.63   | 0.06%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CHAFFEY CA JT UNION HIGH SCH D | Chaffey Joint Union High School District                                         | CUSIP: 157411TX7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3790000 | PA      | $2793819.35   | 0.06%             | 2043-08-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan As | Chase Funding Trust Series 2004-1                                                | CUSIP: 161546JA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47058 | PA      | $46908.62     | 0.00%             | 2033-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2005-S2                                      | CUSIP: 16162WLM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640910 | PA      | $598912.89    | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2005-S3                                      | CUSIP: 16162WNK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5486494 | PA      | $4076754.51   | 0.08%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2016-C1                                      | CUSIP: 17290YAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2685066.60   | 0.05%             | 2049-05-10      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2016-C1                                      | CUSIP: 17290YAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8348000 | PA      | $7462349.83   | 0.15%             | 2049-05-10      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2018-C5                                      | CUSIP: 17291DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28400000 | PA      | $503347.40    | 0.01%             | 2051-06-10      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2016-P6                                      | CUSIP: 17291EAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6835000 | PA      | $6037274.85   | 0.12%             | 2049-12-10      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                    | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   8679000 | PA      | $7924068.38   | 0.16%             | 2030-03-20      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2006-1                                 | CUSIP: 1729734V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77655 | PA      | $72321.07     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-AR7                                           | CUSIP: 172987AW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1407678 | PA      | $1250364.08   | 0.03%             | 2036-11-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2006-WF1                                           | CUSIP: 17307G4E5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26417218 | PA      | $13436029.34  | 0.27%             | 2036-03-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc Mortgage Pass-Through Ctfs Series 2005-7       | CUSIP: 17307GA57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410058 | PA      | $346128.90    | 0.01%             | 2035-09-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GJY5<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    471376 | PA      | $428668.83    | 0.01%             | 2034-09-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GMR6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     13449 | PA      | $12270.43     | 0.00%             | 2033-08-25      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GPG7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   2742380 | PA      | $2660308.38   | 0.05%             | 2034-11-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GPU6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    333913 | PA      | $307070.29    | 0.01%             | 2035-04-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GRE0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    398346 | PA      | $379890.10    | 0.01%             | 2035-05-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GT40<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1040864 | PA      | $678729.36    | 0.01%             | 2035-12-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GYQ5<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1854061 | PA      | $1663544.21   | 0.03%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A2                               | CUSIP: 17309CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    398227 | PA      | $353104.86    | 0.01%             | 2036-05-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A4                               | CUSIP: 17309VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1011313 | PA      | $889706.59    | 0.02%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2006-3                                 | CUSIP: 17310BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1248010 | PA      | $1090031.08   | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2006-3                                 | CUSIP: 17310BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355819 | PA      | $308020.58    | 0.01%             | 2036-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2006-3                                 | CUSIP: 17310BAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    781359 | PA      | $688476.82    | 0.01%             | 2036-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2006-3                                 | CUSIP: 17310BAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50926 | PA      | $32929.74     | 0.00%             | 2500-12-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2006-7                                 | CUSIP: 17311AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2702852 | PA      | $2239687.93   | 0.05%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-AR4                                           | CUSIP: 17311WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1019826 | PA      | $885893.84    | 0.02%             | 2037-03-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2007-3                                 | CUSIP: 17312FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    477854 | PA      | $433573.84    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,  | Citicorp Mortgage Securities Trust Series 2007-3                                 | CUSIP: 17312FAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37458 | PA      | $34608.71     | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2013-GC17                                    | CUSIP: 17321RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4743775.00   | 0.10%             | 2046-11-10      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2014-GC19                                    | CUSIP: 17322AAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3030000 | PA      | $2950270.40   | 0.06%             | 2047-03-11      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2014-GC19                                    | CUSIP: 17322AAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2882579 | PA      | $2785657.76   | 0.06%             | 2047-03-11      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2017-P7                                      | CUSIP: 17325HBV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  45124000 | PA      | $1025934.75   | 0.02%             | 2050-04-14      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | CGMS Commercial Mortgage Trust 2017-B1                                           | CUSIP: 17326CBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38016000 | PA      | $317657.89    | 0.01%             | 2050-08-15      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2017-P8                                      | CUSIP: 17326DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4160000 | PA      | $3682478.59   | 0.07%             | 2050-09-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2017-P8                                      | CUSIP: 17326DAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4310388.50   | 0.09%             | 2050-09-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2017-C4                                      | CUSIP: 17326FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28933729 | PA      | $1026994.02   | 0.02%             | 2050-10-12      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2017-C4                                      | CUSIP: 17326FAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  42746500 | PA      | $515595.46    | 0.01%             | 2050-10-12      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2018-B2                                      | CUSIP: 17327FBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  49202000 | PA      | $894635.05    | 0.02%             | 2051-03-10      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup COmmercial Mortgage Trust 2018-C6                                      | CUSIP: 17327GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4836453.00   | 0.10%             | 2051-11-10      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2019-C7                                      | CUSIP: 17328CAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8358343.00   | 0.17%             | 2072-12-15      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2019-C7                                      | CUSIP: 17328CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  75965774 | PA      | $3413886.71   | 0.07%             | 2072-12-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2019-C7                                      | CUSIP: 17328CAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  50711000 | PA      | $895089.72    | 0.02%             | 2072-12-15      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2019-C7                                      | CUSIP: 17328CAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39933000 | PA      | $2611674.11   | 0.05%             | 2072-12-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2019-GC41                                    | CUSIP: 17328FAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10339000 | PA      | $8685382.41   | 0.18%             | 2056-08-10      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2019-GC41                                    | CUSIP: 17328FBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  52787945 | PA      | $2484380.18   | 0.05%             | 2056-08-10      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2020-GC46                                    | CUSIP: 17328RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  92457000 | PA      | $1966098.11   | 0.04%             | 2053-02-15      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2020-GC46                                    | CUSIP: 17328RBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  89321570 | PA      | $4502316.24   | 0.09%             | 2053-02-15      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| CLIFTON NJ BRD OF EDU          | Clifton Board Of Education                                                       | CUSIP: 187099JJ6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4560000 | PA      | $3110733.96   | 0.06%             | 2044-08-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| COACHELLA VLY CA UNIF SCH DIST | Coachella Valley Unified School District/CA                                      | CUSIP: 189849FP2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1100000 | PA      | $695601.17    | 0.01%             | 2034-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COAST CA CMNTY CLG DIST        | Coast Community College District                                                 | CUSIP: 190335KT5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  15000000 | PA      | $11419230.00  | 0.23%             | 2038-08-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| COLONY TX ECON DEV CORP SALES  | Colony Economic Development Corp                                                 | CUSIP: 19625CAD0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5000000 | PA      | $5075942.00   | 0.10%             | 2042-10-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-23CB                                                 | CUSIP: 02147RAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    619843 | PA      | $574364.54    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-23CB                                                 | CUSIP: 02147RAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5681826 | PA      | $2047152.25   | 0.04%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLORADO ST HLTH FACS AUTH REV | Colorado Health Facilities Authority                                             | CUSIP: 19648FNU4<br>LEI: 5493002JB6DRFRZPEQ21 | Long             | DBT              | MUN               | US        |   4825000 | PA      | $3962895.06   | 0.08%             | 2039-11-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COLORADO ST HLTH FACS AUTH REV | Colorado Health Facilities Authority                                             | CUSIP: 19648FNV2<br>LEI: 5493002JB6DRFRZPEQ21 | Long             | DBT              | MUN               | US        |  11815000 | PA      | $9364226.37   | 0.19%             | 2044-11-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| COLORADO ST BRD OF GOVERNORS U | Board of Governors of Colorado State University System                           | CUSIP: 196707F40<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6275000 | PA      | $5012475.65   | 0.10%             | 2034-03-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH            | CommonSpirit Health                                                              | CUSIP: 20268JAB9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |  13075000 | PA      | $11357845.61  | 0.23%             | 2029-10-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-26CB                                                 | CUSIP: 02147WAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5568200 | PA      | $3125040.16   | 0.06%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust Resecuritization 2008-2R                                  | CUSIP: 021482AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7018697 | PA      | $3649597.44   | 0.07%             | 2037-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH            | CommonSpirit Health                                                              | CUSIP: 20268JAD5<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1324852.74   | 0.03%             | 2049-10-01      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH            | CommonSpirit Health                                                              | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $8050268.00   | 0.16%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-4CB                                                  | CUSIP: 02148FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1542127 | PA      | $1290862.63   | 0.03%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-4CB                                                  | CUSIP: 02148FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159991 | PA      | $970989.64    | 0.02%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CMWLTH FING AUTH PA            | Commonwealth Financing Authority                                                 | CUSIP: 20281PKM3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2750000 | PA      | $2557216.48   | 0.05%             | 2033-06-01      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| CMWLTH FING AUTH PA            | Commonwealth Financing Authority                                                 | CUSIP: 20281PKV3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  13820000 | PA      | $11663386.24  | 0.24%             | 2038-06-01      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-31CB                                                 | CUSIP: 02148HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217368 | PA      | $133851.59    | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-31CB                                                 | CUSIP: 02148HAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1960829 | PA      | $1181726.81   | 0.02%             | 2036-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CMWLTH FING AUTH PA            | Commonwealth Financing Authority                                                 | CUSIP: 20281PMP4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1040000 | PA      | $889303.27    | 0.02%             | 2030-06-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| CMWLTH FING AUTH PA            | Commonwealth Financing Authority                                                 | CUSIP: 20281PNE8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   9810000 | PA      | $7072270.33   | 0.14%             | 2042-06-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-39CB                                                 | CUSIP: 02148JAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2450629 | PA      | $2031968.11   | 0.04%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    534976 | PA      | $311742.74    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMPEER FIN FLCA / PCA         | Compeer Financial FLCA/Compeer Financial PCA                                     | CUSIP: 20454PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4417502.05   | 0.09%             | 2031-06-01      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| COMPEER FIN FLCA / PCA         | Compeer Financial FLCA/Compeer Financial PCA                                     | CUSIP: 20454PAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4750000 | PA      | $3693676.71   | 0.07%             | 2036-06-01      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-2CB                                                  | CUSIP: 02149HBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5675055 | PA      | $3113669.20   | 0.06%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-8CB                                                  | CUSIP: 02150FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5882983 | PA      | $3341991.19   | 0.07%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2021-R03                                     | CUSIP: 20754AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5685000 | PA      | $5082063.68   | 0.10%             | 2041-12-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R02                                     | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9285272.00   | 0.19%             | 2042-01-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-8CB                                                  | CUSIP: 02150FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    794898 | PA      | $474952.21    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-13                                                   | CUSIP: 02150MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2497710 | PA      | $1325203.70   | 0.03%             | 2047-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2003945.40   | 0.04%             | 2041-11-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT ST                 | State of Connecticut                                                             | CUSIP: 20772KMB2<br>LEI: 5493007GRO6CU0IKP741 | Long             | DBT              | MUN               | US        |   7075000 | PA      | $6230050.44   | 0.13%             | 2037-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-23CB                                                 | CUSIP: 02151EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4381928 | PA      | $2531288.45   | 0.05%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALVORD CA UNIF SCH DIST        | Alvord Unified School District                                                   | CUSIP: 022555UN4<br>LEI: 549300Q9J0UCO75DL276 | Long             | DBT              | MUN               | US        |   1975000 | PA      | $2087336.62   | 0.04%             | 2046-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CORNING INC                    | Corning Inc                                                                      | CUSIP: 219350AV7<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |   5107000 | PA      | $5173917.79   | 0.10%             | 2040-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CORONA CA PENSN OBLIG          | City of Corona CA                                                                | CUSIP: 21969AAG7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4515000 | PA      | $3850484.11   | 0.08%             | 2028-05-01      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| AMER AGCREDIT FLCA/PCA         | American AGcredit FLCA / American AGcredit PCA                                   | CUSIP: 02369FAA5<br>LEI: N/A                  | Long             | SN               | CORP              | US        |  10000000 | PA      | $7744880.70   | 0.16%             | 2036-06-15      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec | American Credit Acceptance Receivables Trust 2022-3                              | CUSIP: 02528GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $973479.70    | 0.02%             | 2026-10-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-8                     | CUSIP: 22541SV70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142886 | PA      | $136442.97    | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254582H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2698470 | PA      | $1370275.34   | 0.03%             | 2035-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec | American Credit Acceptance Receivables Trust 2022-3                              | CUSIP: 02528GAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3846592.80   | 0.08%             | 2028-10-13      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec | American Credit Acceptance Receivables Trust 2022-4                              | CUSIP: 02529XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1003306.80   | 0.02%             | 2026-10-13      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9                     | CUSIP: 2254585R5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    563740 | PA      | $307365.35    | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-3                     | CUSIP: 225458KN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385736 | PA      | $378791.92    | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470EE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425288 | PA      | $319177.35    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470EF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1676442 | PA      | $1258164.35   | 0.03%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec | American Credit Acceptance Receivables Trust 2022-4                              | CUSIP: 02529XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4020000 | PA      | $4067072.59   | 0.08%             | 2029-02-15      | Fixed         | 7.86%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec | American Credit Acceptance Receivables Trust 2022-2                              | CUSIP: 02530BAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4400000 | PA      | $4289021.44   | 0.09%             | 2028-06-13      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470FM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815774 | PA      | $244331.16    | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2006-CF1                                                              | CUSIP: 225470UD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2565000 | PA      | $2224564.74   | 0.04%             | 2035-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec | American Credit Acceptance Receivables Trust 2021-4                              | CUSIP: 02530TAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1085000 | PA      | $1024957.51   | 0.02%             | 2028-02-14      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| NECESS RETAIL/AFIN OP LP       | Necessity Retail REIT Inc/The / American Finance Operating Partner LP            | CUSIP: 02608AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10000000 | PA      | $7666250.00   | 0.15%             | 2028-09-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-1                                         | CUSIP: 225470UK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300296 | PA      | $267206.46    | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-1                                         | CUSIP: 225470WW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31355 | PA      | $28252.32     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm | American Home Mortgage Investment Trust 2006-2                                   | CUSIP: 02660YAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2747648 | PA      | $478326.77    | 0.01%             | 2036-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN MUNI PWR-OHIO INC OH  | American Municipal Power Inc                                                     | CUSIP: 02765UDV3<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |   4480000 | PA      | $5416297.60   | 0.11%             | 2050-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470YM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560915 | PA      | $379216.51    | 0.01%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470ZC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4174212 | PA      | $1870693.57   | 0.04%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                     | Apidos CLO XXXII                                                                 | CUSIP: 03768QAQ1<br>LEI: 549300CXPXW83QGWOL98 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1344969.00   | 0.03%             | 2033-01-20      | Floating      | 10.99%                | No            |                  2 | On Loan: No      |
| APTARGROUP INC                 | AptarGroup Inc                                                                   | CUSIP: 038336AA1<br>LEI: VNPEQDQFAA7IY1T2PX43 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $8351501.70   | 0.17%             | 2032-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-7                                                | CUSIP: 22942KBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    720411 | PA      | $564946.83    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust           | FREMF 2019-KF62 Mortgage Trust                                                   | CUSIP: 30310WAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500847 | PA      | $1472555.60   | 0.03%             | 2026-04-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY SR INC            | Arbor Realty SR Inc                                                              | CUSIP: 03881NAA5<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4282711.30   | 0.09%             | 2028-12-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec | Arbor Multifamily Mortgage Securities Trust 2022-MF4                             | CUSIP: 03882LAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7852000 | PA      | $6227246.89   | 0.13%             | 2055-02-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily        | Freddie Mac Multifamily ML Certificates                                          | CUSIP: 30312CAD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10757430 | PA      | $951279.56    | 0.02%             | 2037-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily        | Freddie Mac Multifamily ML Certificates                                          | CUSIP: 30318LAK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33098216 | PA      | $4990218.02   | 0.10%             | 2037-07-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec | Arbor Multifamily Mortgage Securities Trust 2022-MF4                             | CUSIP: 03882LBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19700000 | PA      | $1703350.65   | 0.03%             | 2055-02-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY TRUST INC         | Arbor Realty Trust Inc                                                           | CUSIP: 038923AL2<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3772217.24   | 0.08%             | 2024-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily        | Freddie Mac Multifamily ML Certificates                                          | CUSIP: 30319NAA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  44046100 | PA      | $5854607.55   | 0.12%             | 2040-02-25      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   2568924 | PA      | $2606771.88   | 0.05%             | 2025-07-25      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY TRUST INC         | Arbor Realty Trust Inc                                                           | CUSIP: 038923AQ1<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4215419.20   | 0.09%             | 2027-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP              | Ares Capital Corp                                                                | CUSIP: 04010LBC6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $11146881.30  | 0.22%             | 2031-11-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1306787 | PA      | $1360051.91   | 0.03%             | 2028-08-25      | Floating      | 10.97%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4946299.50   | 0.10%             | 2030-10-25      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                   | Ares XXXVIII CLO Ltd                                                             | CUSIP: 04015UAL2<br>LEI: 6354004TAEXDOTEJZN31 | Long             | ABS-CBDO         | CORP              | KY        |   7450000 | PA      | $6642904.25   | 0.13%             | 2030-04-20      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                   | Ares XXXIX CLO Ltd                                                               | CUSIP: 04015WBJ2<br>LEI: 5493005YAOTYJUJV3S58 | Long             | ABS-CBDO         | CORP              | KY        |   7335000 | PA      | $6536159.82   | 0.13%             | 2031-04-18      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                   | Ares XLII Clo Ltd                                                                | CUSIP: 04016LAJ6<br>LEI: 5493004S1FMDW7K3MU50 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4601500.00   | 0.09%             | 2028-01-22      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                   | ARES XLVI CLO Ltd                                                                | CUSIP: 04016UAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3600000 | PA      | $3207610.80   | 0.06%             | 2030-01-15      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   6599636 | PA      | $6518855.14   | 0.13%             | 2030-01-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                   | ARES XLVI CLO Ltd                                                                | CUSIP: 04016UAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1436843 | PA      | $1341019.94   | 0.03%             | 2030-01-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                   | ARES XLVII CLO Ltd                                                               | CUSIP: 04016VAJ4<br>LEI: 5493001J0ZSE1Y09WE50 | Long             | ABS-CBDO         | CORP              | KY        |   1915000 | PA      | $1677291.05   | 0.03%             | 2030-04-15      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                   | Ares XXXIR CLO Ltd                                                               | CUSIP: 04017TAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2876277.00   | 0.06%             | 2030-05-24      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP        | Asbury Automotive Group Inc                                                      | CUSIP: 043436AX2<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |   6800000 | PA      | $5753220.85   | 0.12%             | 2032-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE       | Ashton Woods USA LLC / Ashton Woods Finance Co                                   | CUSIP: 045086AP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8120000 | PA      | $6267016.00   | 0.13%             | 2030-04-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ATLANTIC UNION BANKSHARE       | Atlantic Union Bankshares Corp                                                   | CUSIP: 04911AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8000000 | PA      | $6725261.44   | 0.14%             | 2031-12-15      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP        | Australia & New Zealand Banking Group Ltd                                        | CUSIP: 052528AP1<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   2000000 | PA      | $2018955.12   | 0.04%             | 2032-12-08      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                 | AutoNation Inc                                                                   | CUSIP: 05329RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1439649.61   | 0.03%             | 2032-03-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS         | Axalta Coating Systems LLC                                                       | CUSIP: 05453GAC9<br>LEI: 549300G80QONCHILSF69 | Long             | DBT              | CORP              | US        |  15505000 | PA      | $12714100.00  | 0.26%             | 2029-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | Barclays Commercial Mortgage Trust 2019-C5                                       | CUSIP: 05492JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12996000 | PA      | $896877.35    | 0.02%             | 2052-11-15      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | Barclays Commercial Mortgage Trust 2019-C5                                       | CUSIP: 05492JBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 174774000 | PA      | $3363036.26   | 0.07%             | 2052-11-15      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2020-C6                                                     | CUSIP: 05492TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  93047488 | PA      | $4934299.00   | 0.10%             | 2053-02-15      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2020-C6                                                     | CUSIP: 05492TAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  59000000 | PA      | $2414634.00   | 0.05%             | 2053-02-15      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2020-C7                                                     | CUSIP: 05492VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21999520 | PA      | $1624013.36   | 0.03%             | 2053-04-15      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2020-C7                                                     | CUSIP: 05492VAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17140000 | PA      | $1023004.33   | 0.02%             | 2053-04-15      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2021-C9                                                     | CUSIP: 05493EAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8572966.00   | 0.17%             | 2054-02-15      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2021-C9                                                     | CUSIP: 05493EBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  68467000 | PA      | $4370488.24   | 0.09%             | 2054-02-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2021-C9                                                     | CUSIP: 05493EBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8500000 | PA      | $6586338.05   | 0.13%             | 2054-02-15      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2021-C11                                                    | CUSIP: 05493MAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29540000 | PA      | $1955450.52   | 0.04%             | 2054-09-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2022-C17                                                    | CUSIP: 054976AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  65287756 | PA      | $5359256.41   | 0.11%             | 2055-09-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC Trust 2007-AA2                                                          | CUSIP: 05530NAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301361 | PA      | $185493.01    | 0.00%             | 2037-04-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | Barclays Commercial Mortgage Trust 2019-C3                                       | CUSIP: 05550MAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  56340000 | PA      | $2344572.20   | 0.05%             | 2052-05-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Trust 2021-C10                                                             | CUSIP: 05551VBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8539054.00   | 0.17%             | 2054-07-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Trust 2021-C10                                                             | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  65263653 | PA      | $4806922.57   | 0.10%             | 2054-07-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Trust 2021-C10                                                             | CUSIP: 05551VBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  73112500 | PA      | $4928901.12   | 0.10%             | 2054-07-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2022-C15                                                    | CUSIP: 05552FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25000000 | PA      | $2347770.00   | 0.05%             | 2055-04-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2021-C12                                                    | CUSIP: 05552XAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4750000 | PA      | $2867719.40   | 0.06%             | 2054-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2021-C12                                                    | CUSIP: 05552XBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12000000 | PA      | $10320092.40  | 0.21%             | 2054-11-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2021-C12                                                    | CUSIP: 05552XBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 101714368 | PA      | $5790202.29   | 0.12%             | 2054-11-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2021-C12                                                    | CUSIP: 05552XBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  59992000 | PA      | $2621008.49   | 0.05%             | 2054-11-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS Mortgage Trust 2021-C12                                                    | CUSIP: 05552XBM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $6651572.40   | 0.13%             | 2054-11-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 Mortgage Trust     | BMO 2022-C1 Mortgage Trust                                                       | CUSIP: 05609MAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30550000 | PA      | $3585928.45   | 0.07%             | 2055-02-15      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| BALDWIN CNTY AL PUBLIC BLDG AU | Baldwin County Public Building Authority                                         | CUSIP: 057864CT5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1070000 | PA      | $664837.33    | 0.01%             | 2046-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BALL CORP                      | Ball Corp                                                                        | CUSIP: 058498AW6<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |  18437000 | PA      | $14769543.67  | 0.30%             | 2030-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BALL CORP                      | Ball Corp                                                                        | CUSIP: 058498AX4<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $1989568.45   | 0.04%             | 2031-09-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-B Trust                                             | CUSIP: 058928AL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    628255 | PA      | $515430.71    | 0.01%             | 2036-03-20      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-8 Trust                                             | CUSIP: 05946X2Z5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1976433 | PA      | $1752220.09   | 0.04%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2003-3 Trust                                             | CUSIP: 05946XDL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190051 | PA      | $177272.83    | 0.00%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-5 Trust                                             | CUSIP: 05946XE58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160203 | PA      | $153491.90    | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-5 Trust                                             | CUSIP: 05946XE74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1673173 | PA      | $1595742.74   | 0.03%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2004-1 Trust                                             | CUSIP: 05946XFV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    578141 | PA      | $557578.29    | 0.01%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2004-1 Trust                                             | CUSIP: 05946XFX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3514750 | PA      | $3484689.86   | 0.07%             | 2034-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2004-B Trust                                             | CUSIP: 05946XJK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2032832 | PA      | $1825429.10   | 0.04%             | 2034-11-20      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-7 Trust                                             | CUSIP: 05946XR88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3058342 | PA      | $2710995.04   | 0.05%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-7 Trust                                             | CUSIP: 05946XT60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19763 | PA      | $19002.35     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-7 Trust                                             | CUSIP: 05946XU43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3973 | PA      | $3874.16      | 0.00%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-3 Trust                                             | CUSIP: 05946XWC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77478 | PA      | $72906.68     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2005-4 Trust                                             | CUSIP: 05946XZZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36578 | PA      | $34900.57     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-6                                    | CUSIP: 059487AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1096882 | PA      | $914087.53    | 0.02%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2005-11                                   | CUSIP: 05948KW54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    716585 | PA      | $601479.71    | 0.01%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2005-11                                   | CUSIP: 05948KW62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116821 | PA      | $98056.32     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-9                                    | CUSIP: 059494AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188543 | PA      | $160028.38    | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-9                                    | CUSIP: 059494AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    922556 | PA      | $707094.38    | 0.01%             | 2037-01-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-A Trust                                            | CUSIP: 05949AH86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1398282 | PA      | $1328386.33   | 0.03%             | 2035-02-25      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2005-F Trust                                            | CUSIP: 05949CBZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750376 | PA      | $673850.44    | 0.01%             | 2035-07-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-4                                    | CUSIP: 05950AAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    942868 | PA      | $800359.10    | 0.02%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-4                                    | CUSIP: 05950AAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    569632 | PA      | $498476.98    | 0.01%             | 2046-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-4                                    | CUSIP: 05950AAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1117744 | PA      | $937753.80    | 0.02%             | 2046-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2006-5                                    | CUSIP: 05950BAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275338 | PA      | $241337.78    | 0.00%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-F Trust                                             | CUSIP: 05950HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6548930 | PA      | $5524018.96   | 0.11%             | 2036-07-20      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-5 Trust                                             | CUSIP: 05950NBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333071 | PA      | $293834.77    | 0.01%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2006-B Trust                                            | CUSIP: 05950TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429416 | PA      | $388060.50    | 0.01%             | 2046-10-20      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-3 Trust                                             | CUSIP: 059515AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    909419 | PA      | $802300.53    | 0.02%             | 2037-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006 J Trust                                             | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123124 | PA      | $111697.07    | 0.00%             | 2047-01-20      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735737 | PA      | $634089.36    | 0.01%             | 2037-01-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-2 Trust                                             | CUSIP: 05951GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378266 | PA      | $363318.45    | 0.01%             | 2037-03-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-7 Trust                                             | CUSIP: 05951KAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507037 | PA      | $420315.27    | 0.01%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-I Trust                                             | CUSIP: 05951VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    564856 | PA      | $542250.71    | 0.01%             | 2036-12-20      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-I Trust                                             | CUSIP: 05951VAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2494520 | PA      | $2320565.25   | 0.05%             | 2036-12-20      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-I Trust                                             | CUSIP: 05951VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    433910 | PA      | $396900.50    | 0.01%             | 2036-12-20      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-5 Trust                                             | CUSIP: 059523AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1378911 | PA      | $1027466.84   | 0.02%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-6 Trust                                             | CUSIP: 059526AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1028691 | PA      | $946940.92    | 0.02%             | 2037-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Bank                           | BANK 2021-BNK32                                                                  | CUSIP: 06542BBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10727500 | PA      | $9254143.31   | 0.19%             | 2054-04-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| BANNER CORP                    | Banner Corp                                                                      | CUSIP: 06652VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7581357.84   | 0.15%             | 2030-06-30      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| BAPTIST HLTH SO FLOR INC       | Baptist Health South Florida Inc                                                 | CUSIP: 066836AB3<br>LEI: K6I7TB5M0RZYIMZN1Q07 | Long             | DBT              | CORP              | US        |  14760000 | PA      | $12784854.59  | 0.26%             | 2041-11-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                   | Barclays PLC                                                                     | CUSIP: 06738EBN4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  15050000 | PA      | $13599932.50  | 0.27%             | 2025-12-15      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** Trust for Professional Managers

**Signature:** /s/ John Buckel

**Name of Signer:** John Buckel

**Title:** President