# EDGAR Filing Document

**Accession Number:** 0000277751
**File Stem:** 0001741773-23-000779
**Filing Date:** 2023-3
**Character Count:** 337367
**Document Hash:** b6a5207f194c7dfc38549e8e4347a891
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001741773-23-000779.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001741773-23-000779

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JANUS INVESTMENT FUND
- **CENTRAL INDEX KEY:** 0000277751
- **IRS NUMBER:** 840592523
- **STATE OF INCORPORATION:** MA

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-01879
- **FILM NUMBER:** 23691531

**BUSINESS ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206
- **BUSINESS PHONE:** 303-333-3863

**MAIL ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** JANUS FUND /MD/
- **DATE OF NAME CHANGE:** 19870701

## Series and Classes Contracts Data

### Janus Henderson Balanced Fund (Series ID: S000010464)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000028918 | Class T      | JABAX           |
| C000077650 | Class A      | JDBAX           |
| C000077651 | Class C      | JABCX           |
| C000077652 | Class I      | JBALX           |
| C000077653 | Class R      | JDBRX           |
| C000077654 | Class S      | JABRX           |
| C000083512 | Class D      | JANBX           |
| C000114869 | Class N      | JABNX           |

## Nport-Ex

### Janus Henderson Balanced Fund

#### Schedule of Investments (unaudited)

#### December 31, 2022

---

| | | |
|:---|:---|:---|
| *Shares or*<br>*Principal Amounts* | *Shares or*<br>*Principal Amounts* | *Value* |
| Asset-Backed/Commercial Mortgage-Backed Securities– 8.7% | Asset-Backed/Commercial Mortgage-Backed Securities– 8.7% |  |
| 208 Park Avenue Mortgage Trust 2017-280P, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 0.8800%, 5.1170%, 9/15/34 (144A)<sup>‡</sup> | $11417538 | $11138387 |
| ACC Auto Trust 2022-A A, 4.5800%, 7/15/26 (144A) | 7294096 | 7158261 |
| ACM Auto Trust 2022-1A A, 3.2300%, 4/20/29 (144A) | 2580245 | 2567583 |
| Affirm Asset Securitization Trust 2021-B A, 1.0300%, 8/17/26 (144A) | 12148000 | 11516673 |
| Aimco 2020-11A AR, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.1300%, 5.2091%, 10/17/34 (144A)<sup>‡</sup> | 5821000 | 5666214 |
| Angel Oak Mortgage Trust I LLC 2019-5, 2.5930%, 10/25/49 (144A)<sup>‡</sup> | 1562381 | 1498497 |
| Angel Oak Mortgage Trust I LLC 2019-6, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 12 Month + 0.9500%, 2.6200%, 11/25/59 (144A)<sup>‡</sup> | 1349799 | 1279077 |
| Angel Oak Mortgage Trust I LLC 2020-3, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 12 Month + 1.0000%, 2.4100%, 4/25/65 (144A)<sup>‡</sup> | 3272587 | 2958138 |
| Aqua Finance Trust 2021-A A, 1.5400%, 7/17/46 (144A) | 5485031 | 4925708 |
| ARES CLO Ltd 2021-60A A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.1200%, 3.8603%, 7/18/34 (144A)<sup>‡</sup> | 5454000 | 5305100 |
| Arivo Acceptance Auto Loan Receivables 2022-1A A, 3.9300%, 5/15/28 (144A) | 6788962 | 6589238 |
| Babson CLO Ltd 2018-3A A1, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 0.9500%, 5.1926%, 7/20/29 (144A)<sup>‡</sup> | 9817983 | 9740559 |
| Babson CLO Ltd 2019-3A A1R, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.0700%, 5.3126%, 4/20/31 (144A)<sup>‡</sup> | 22450000 | 22130536 |
| Babson CLO Ltd 2020-4A A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.2200%, 3.9299%, 1/20/32 (144A)<sup>‡</sup> | 7293853 | 7177815 |
| Barclays Commercial Mortgage Securities LLC 2015-SRCH, |  |  |
| &nbsp;&nbsp;&nbsp;4.1970%, 8/10/35 (144A) | 8386000 | 7805545 |
| Barclays Commercial Mortgage Securities LLC 2017-DELC, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 0.9750%, 5.2929%, 8/15/36 (144A)<sup>‡</sup> | 7553000 | 7415581 |
| BPR Trust 2022-OANA A, |  |  |
| &nbsp;&nbsp;&nbsp;CME Term SOFR 1 Month + 1.8980%, 6.2336%, 4/15/37 (144A)<sup>‡</sup> | 33039000 | 32533867 |
| BX Commercial Mortgage Trust 2019-OC11, 3.6050%, 12/9/41 (144A) | 4134000 | 3399026 |
| BX Commercial Mortgage Trust 2019-OC11, 3.8560%, 12/9/41 (144A) | 8218000 | 6789772 |
| BX Commercial Mortgage Trust 2019-XL, |  |  |
| &nbsp;&nbsp;&nbsp;CME Term SOFR 1 Month + 1.0345%, 5.3701%, 10/15/36 (144A)<sup>‡</sup> | 20264599 | 20014464 |
| BX Commercial Mortgage Trust 2019-XL, |  |  |
| &nbsp;&nbsp;&nbsp;CME Term SOFR 1 Month + 1.1945%, 5.5301%, 10/15/36 (144A)<sup>‡</sup> | 6531400 | 6411256 |
| BX Commercial Mortgage Trust 2020-VKNG A, |  |  |
| &nbsp;&nbsp;&nbsp;CME Term SOFR 1 Month + 1.0445%, 5.3801%, 10/15/37 (144A)<sup>‡</sup> | 3140315 | 3066011 |
| BX Commercial Mortgage Trust 2021-LBA AJV, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 0.8000%, 5.1180%, 2/15/36 (144A)<sup>‡</sup> | 18764000 | 17841864 |
| BX Commercial Mortgage Trust 2021-LBA AV, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 0.8000%, 5.1180%, 2/15/36 (144A)<sup>‡</sup> | 18857000 | 17962652 |
| BX Commercial Mortgage Trust 2021-VINO A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 0.6523%, 4.9703%, 5/15/38 (144A)<sup>‡</sup> | 18990000 | 18290303 |
| BX Commercial Mortgage Trust 2021-VOLT B, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 0.9500%, 5.2679%, 9/15/36 (144A)<sup>‡</sup> | 15945000 | 15081438 |
| BX Commercial Mortgage Trust 2021-VOLT D, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.6500%, 5.9679%, 9/15/36 (144A)<sup>‡</sup> | 16692000 | 15621452 |
| BX Commercial Mortgage Trust 2022-FOX2 A2, |  |  |
| &nbsp;&nbsp;&nbsp;CME Term SOFR 1 Month + 0.7492%, 5.0848%, 4/15/39 (144A)<sup>‡</sup> | 19343000 | 17811702 |
| BXP Trust 2017-GM, 3.3790%, 6/13/39 (144A) | 4190000 | 3685645 |
| Carvana Auto Receivables Trust 2021-P4 A2, 0.8200%, 4/10/25 | 5325373 | 5256918 |
| CBAM CLO Management 2019-11RA A1, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.1800%, 5.4226%, 1/20/35 (144A)<sup>‡</sup> | 16984000 | 16534603 |
| CBAM CLO Management 2019-11RA B, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.7500%, 5.9926%, 1/20/35 (144A)<sup>‡</sup> | 6819244 | 6483076 |
| Cedar Funding Ltd 2019-11A A1R, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.0500%, 5.7863%, 5/29/32 (144A)<sup>‡</sup> | 21276000 | 20864012 |
| CF Hippolyta Issuer LLC 2021-1A A1, 1.5300%, 3/15/61 (144A) | 16024118 | 13822438 |
| CF Hippolyta Issuer LLC 2021-1A B1, 1.9800%, 3/15/61 (144A) | 6051039 | 4966817 |
| CF Hippolyta Issuer LLC 2022-1A A1, 5.9700%, 8/15/62 (144A) | 21536688 | 20875941 |
| CF Hippolyta Issuer LLC 2022-1A A2, 6.1100%, 8/15/62 (144A) | 50336804 | 47686033 |
| Chase Auto Credit Linked Notes 2021-1 B, 0.8750%, 9/25/28 (144A) | 3148941 | 3022558 |
| Chase Auto Credit Linked Notes 2021-2 B, 0.8890%, 12/26/28 (144A) | 7089508 | 6774383 |
| Chase Mortgage Finance Corp 2021-CL1 M1, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 1.2000%, 5.1277%, 2/25/50 (144A)<sup>‡</sup> | 15647762 | 14172181 |
| CIFC Funding Ltd 2018-3A A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.1000%, 5.2937%, 7/18/31 (144A)<sup>‡</sup> | 10918000 | 10742133 |
| CIFC Funding Ltd 2021-4A A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.0500%, 5.1291%, 7/15/33 (144A)<sup>‡</sup> | 19742995 | 19433287 |

---

------

---

| | | |
|:---|:---|:---|
| *Shares or*<br>*Principal Amounts* | *Shares or*<br>*Principal Amounts* | *Value* |
| Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | Asset-Backed/Commercial Mortgage-Backed Securities– (continued) |  |
| CIFC Funding Ltd 2021-7A B, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.6000%, 5.9246%, 1/23/35 (144A)<sup>‡</sup> | $5524216 | $5274781 |
| CIM Trust 2021-NR1 A1, 2.5690%, 7/25/55 (144A)<sup>Ç</sup> | 8660674 | 8154771 |
| Cold Storage Trust 2020-ICE5 A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 0.9000%, 5.2179%, 11/15/37 (144A)<sup>‡</sup> | 24568865 | 23925735 |
| Cold Storage Trust 2020-ICE5 B, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.3000%, 5.6179%, 11/15/37 (144A)<sup>‡</sup> | 10924957 | 10576954 |
| Cold Storage Trust 2020-ICE5 C, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.6500%, 5.9679%, 11/15/37 (144A)<sup>‡</sup> | 10966242 | 10606920 |
| COLT Funding LLC 2020-2, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 12 Month + 1.5000%, 1.8530%, 3/25/65 (144A)<sup>‡</sup> | 319133 | 310452 |
| COLT Funding LLC 2020-3, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 12 Month + 1.2000%, 1.5060%, 4/27/65 (144A)<sup>‡</sup> | 1167266 | 1080944 |
| Conn Funding II LP 2021-A A, 1.0500%, 5/15/26 (144A) | 11983 | 11963 |
| Connecticut Avenue Securities Trust 2014-C04, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 4.9000%, 9.2887%, 11/25/24<sup>‡</sup> | 693943 | 713560 |
| Connecticut Avenue Securities Trust 2015-C01 1M2, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 4.3000%, 8.6887%, 2/25/25<sup>‡</sup> | 4289154 | 4372371 |
| Connecticut Avenue Securities Trust 2018-R07, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 2.4000%, 6.7887%, 4/25/31 (144A)<sup>‡</sup> | 1412108 | 1407925 |
| Connecticut Avenue Securities Trust 2019-R02, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 2.3000%, 6.6887%, 8/25/31 (144A)<sup>‡</sup> | 449169 | 448304 |
| Connecticut Avenue Securities Trust 2019-R03, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 2.1500%, 6.5387%, 9/25/31 (144A)<sup>‡</sup> | 760467 | 758323 |
| Connecticut Avenue Securities Trust 2019-R07, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 2.1000%, 6.4887%, 10/25/39 (144A)<sup>‡</sup> | 1011601 | 1008863 |
| Connecticut Avenue Securities Trust 2021-R02 2M2, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.0000%, 5.9277%, 11/25/41 (144A)<sup>‡</sup> | 32659000 | 30394078 |
| Connecticut Avenue Securities Trust 2021-R03 1M2, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 1.6500%, 5.5777%, 12/25/41 (144A)<sup>‡</sup> | 10646000 | 9885845 |
| Connecticut Avenue Securities Trust 2022-R02 2M2, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 3.0000%, 6.9277%, 1/25/42 (144A)<sup>‡</sup> | 12368000 | 11655741 |
| Connecticut Avenue Securities Trust 2022-R03 1M1, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.1000%, 6.0277%, 3/25/42 (144A)<sup>‡</sup> | 22764418 | 22636811 |
| Connecticut Avenue Securities Trust 2022-R04 1M1, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.0000%, 5.9277%, 3/25/42 (144A)<sup>‡</sup> | 9768597 | 9745069 |
| Connecticut Avenue Securities Trust 2022-R05 2M1, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 1.9000%, 5.8277%, 4/25/42 (144A)<sup>‡</sup> | 10759009 | 10655975 |
| Connecticut Avenue Securities Trust 2022-R05 2M2, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 3.0000%, 6.9277%, 4/25/42 (144A)<sup>‡</sup> | 9001000 | 8764026 |
| Connecticut Avenue Securities Trust 2022-R06 1M1, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.7500%, 6.6777%, 5/25/42 (144A)<sup>‡</sup> | 7212428 | 7278243 |
| Connecticut Avenue Securities Trust 2022-R08 1M1, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.5500%, 6.4777%, 7/25/42 (144A)<sup>‡</sup> | 5814766 | 5831331 |
| Connecticut Avenue Securities Trust 2022-R09 2M1, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.5000%, 6.4444%, 9/25/42 (144A)<sup>‡</sup> | 21667734 | 21517608 |
| Consumer Loan Underlying Bond Credit Trust 2018-P3 C, |  |  |
| &nbsp;&nbsp;&nbsp;5.5400%, 1/15/26 (144A) | 288138 | 287992 |
| Consumer Loan Underlying Bond Credit Trust 2019-P2 C, |  |  |
| &nbsp;&nbsp;&nbsp;4.4100%, 10/15/26 (144A) | 2120147 | 2107152 |
| Consumer Loan Underlying Bond Credit Trust 2020-P1 C, |  |  |
| &nbsp;&nbsp;&nbsp;4.6100%, 3/15/28 (144A) | 992186 | 982608 |
| CP EF Asset Securitization I LLC 2002-1A A, 5.9600%, 4/15/30 (144A) | 8793973 | 8650446 |
| Credit Suisse Commercial Mortgage Trust 2019-ICE4, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 0.9800%, 5.2980%, 5/15/36 (144A)<sup>‡</sup> | 26562000 | 26256896 |
| Credit Suisse Commercial Mortgage Trust 2019-ICE4 C, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.4300%, 5.7480%, 5/15/36 (144A)<sup>‡</sup> | 5508000 | 5388094 |
| Credit Suisse Commercial Mortgage Trust 2021-WEHO A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 3.9693%, 8.2873%, 4/15/23 (144A)<sup>‡</sup> | 12440454 | 12080182 |
| Diamond Infrastructure Funding LLC 2021-1A A, 1.7600%, 4/15/49 (144A) | 17354000 | 14214432 |
| Domino's Pizza Master Issuer LLC, 4.1160%, 7/25/48 (144A) | 11599680 | 10941742 |
| Dryden Senior Loan Fund 2020-83A A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.2200%, 5.4137%, 1/18/32 (144A)<sup>‡</sup> | 7111119 | 6995286 |
| Elmwood CLO VIII Ltd 2019-2A AR, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.1500%, 3.8599%, 4/20/34 (144A)<sup>‡</sup> | 8217000 | 8022619 |
| Exeter Automobile Receivables Trust 2019-1, 5.2000%, 1/15/26 (144A) | 8200000 | 8123171 |
| Exeter Automobile Receivables Trust 2021-1A D, 1.0800%, 11/16/26 | 11355000 | 10581413 |
| Extended Stay America Trust 2021-ESH A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.0800%, 5.3980%, 7/15/38 (144A)<sup>‡</sup> | 8882373 | 8624142 |
| Extended Stay America Trust 2021-ESH B, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.3800%, 5.6980%, 7/15/38 (144A)<sup>‡</sup> | 5714629 | 5474586 |
| Fannie Mae Connecticut Avenue Securities, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 5.0000%, 9.3887%, 7/25/25<sup>‡</sup> | 3235760 | 3355924 |
| Fannie Mae REMICS, 3.0000%, 5/25/48 | 7974600 | 7194477 |
| Fannie Mae REMICS, 3.0000%, 11/25/49 | 10501743 | 9323099 |

---

------

---

| | | |
|:---|:---|:---|
| *Shares or*<br>*Principal Amounts* | *Shares or*<br>*Principal Amounts* | *Value* |
| Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | Asset-Backed/Commercial Mortgage-Backed Securities– (continued) |  |
| Flagstar Mortgage Trust 2021-13IN A2, 3.0000%, 12/30/51 (144A)<sup>‡</sup> | $33556302 | $28005153 |
| Foursight Capital Auto Receivables Trust 2021-1 B, 0.8700%, 1/15/26 (144A) | 7165000 | 6983422 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4 M2, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.9500%, 6.3387%, 10/25/49 (144A)<sup>‡</sup> | 349473 | 349246 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA6 M2, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.0000%, 5.9277%, 12/25/50 (144A)<sup>‡</sup> | 14876627 | 14759070 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA2 M2, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 3.1000%, 7.4887%, 3/25/50 (144A)<sup>‡</sup> | 4653282 | 4689510 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA4 M2, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 3.1500%, 7.5387%, 9/25/50 (144A)<sup>‡</sup> | 73487 | 73488 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 M2, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.6000%, 6.5277%, 11/25/50 (144A)<sup>‡</sup> | 16487585 | 16287097 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.3000%, 6.2277%, 8/25/33 (144A)<sup>‡</sup> | 10269549 | 10155604 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA7 M1, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 0.8500%, 4.7777%, 11/25/41 (144A)<sup>‡</sup> | 12767291 | 12498066 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA1 M2, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.2500%, 6.1777%, 8/25/33 (144A)<sup>‡</sup> | 23429000 | 21582039 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA4 M1, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 0.9500%, 4.8777%, 12/25/41 (144A)<sup>‡</sup> | 22530466 | 21376408 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA2 M1A, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 1.3000%, 5.2277%, 2/25/42 (144A)<sup>‡</sup> | 4944795 | 4871108 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA3 M1A, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.0000%, 5.9277%, 4/25/42 (144A)<sup>‡</sup> | 4618582 | 4601305 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA5 M1A, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.9500%, 6.8777%, 6/25/42 (144A)<sup>‡</sup> | 14550405 | 14682786 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA6 M1A, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.1500%, 6.0777%, 9/25/42 (144A)<sup>‡</sup> | 3779924 | 3766717 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA1 M1A, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.1000%, 6.0277%, 3/25/42 (144A)<sup>‡</sup> | 10043979 | 9951770 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA2 M1A, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.6500%, 6.5777%, 7/25/42 (144A)<sup>‡</sup> | 7416924 | 7428650 |
| Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA3 M1A, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 2.3000%, 6.2277%, 8/25/42 (144A)<sup>‡</sup> | 6614921 | 6587780 |
| FREED ABS Trust 2019-2 C, 4.8600%, 11/18/26 (144A) | 1420287 | 1418782 |
| FREED ABS Trust 2022-3FP A, 4.5000%, 8/20/29 (144A) | 6815977 | 6790066 |
| GCAT 2022-INV1 A1, 3.0000%, 12/25/51 (144A)<sup>‡</sup> | 42862605 | 35303488 |
| Great Wolf Trust, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.0340%, 5.3520%, 12/15/36 (144A)<sup>‡</sup> | 19125000 | 18559531 |
| Great Wolf Trust, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.3340%, 5.6520%, 12/15/36 (144A)<sup>‡</sup> | 4405000 | 4234630 |
| Great Wolf Trust, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.6330%, 5.9510%, 12/15/36 (144A)<sup>‡</sup> | 4900000 | 4700831 |
| Highbridge Loan Management Ltd 2021-16A B, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.7000%, 6.0246%, 1/23/35 (144A)<sup>‡</sup> | 5360143 | 5094891 |
| JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE A, |  |  |
| &nbsp;&nbsp;&nbsp;3.2865%, 1/10/37 (144A) | 20581000 | 18923073 |
| JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE B, |  |  |
| &nbsp;&nbsp;&nbsp;3.6401%, 1/10/37 (144A) | 14000000 | 12836210 |
| LAD Auto Receivables Trust 2021-1A A, 1.3000%, 8/17/26 (144A) | 6294475 | 6108676 |
| LAD Auto Receivables Trust 2022-1A A, 5.2100%, 6/15/27 (144A) | 20863650 | 20520280 |
| LCM LP 24A AR, ICE LIBOR USD 3 Month + 0.9800%, 5.2226%, 3/20/30 (144A)<sup>‡</sup> | 7095432 | 6980223 |
| Lendbuzz Securitization Trust 2021-1A A, 4.2200%, 5/17/27 (144A)<sup>‡</sup> | 17337211 | 16655101 |
| Life Financial Services Trust 2021-BMR A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 0.7000%, 5.0180%, 3/15/38 (144A)<sup>‡</sup> | 26199103 | 25368749 |
| Life Financial Services Trust 2021-BMR C, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.1000%, 5.4180%, 3/15/38 (144A)<sup>‡</sup> | 15119064 | 14370129 |
| Life Financial Services Trust 2022-BMR2 A1, |  |  |
| &nbsp;&nbsp;&nbsp;CME Term SOFR 1 Month + 1.2952%, 5.6309%, 5/15/39 (144A)<sup>‡</sup> | 36759000 | 35848519 |
| Life Financial Services Trust 2022-BMR2 B, |  |  |
| &nbsp;&nbsp;&nbsp;CME Term SOFR 1 Month + 1.7939%, 6.1295%, 5/15/39 (144A)<sup>‡</sup> | 6155000 | 5941898 |
| Madison Park Funding Ltd 2019-35A A1R, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 0.9900%, 5.2326%, 4/20/32 (144A)<sup>‡</sup> | 28249000 | 27763004 |
| MED Trust 2021-MDLN C, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.8000%, 6.1180%, 11/15/38 (144A)<sup>‡</sup> | 4649000 | 4408647 |
| MED Trust 2021-MDLN D, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 2.0000%, 6.3180%, 11/15/38 (144A)<sup>‡</sup> | 4904000 | 4642361 |
| MED Trust 2021-MDLN E, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 3.1500%, 7.4680%, 11/15/38 (144A)<sup>‡</sup> | 21424000 | 19885950 |
| MED Trust 2021-MDLN F, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 4.0000%, 8.3180%, 11/15/38 (144A)<sup>‡</sup> | 14528000 | 13379115 |
| Mello Mortgage Capital Acceptance Trust 2021-INV2 A11, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 0.9500%, 4.4708%, 8/25/51 (144A)<sup>‡</sup> | 11164410 | 10067257 |
| Mello Mortgage Capital Acceptance Trust 2021-INV3 A11, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 0.9500%, 4.4708%, 10/25/51 (144A)<sup>‡</sup> | 13958171 | 12602026 |

---

------

---

| | | |
|:---|:---|:---|
| *Shares or*<br>*Principal Amounts* | *Shares or*<br>*Principal Amounts* | *Value* |
| Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | Asset-Backed/Commercial Mortgage-Backed Securities– (continued) |  |
| Mello Mortgage Capital Acceptance Trust 2021-INV4 A3, |  |  |
| &nbsp;&nbsp;&nbsp;2.5000%, 12/25/51 (144A)<sup>‡</sup> | $8460008 | $6756478 |
| Mello Mortgage Capital Acceptance Trust 2022-INV1 A2, |  |  |
| &nbsp;&nbsp;&nbsp;3.0000%, 3/25/52 (144A)<sup>‡</sup> | 29019108 | 23796970 |
| Mercury Financial Credit Card Master Trust 2021-1A A, |  |  |
| &nbsp;&nbsp;&nbsp;1.5400%, 3/20/26 (144A) | 14022000 | 13423423 |
| MHC Commercial Mortgage Trust 2021-MHC A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 0.8010%, 5.1190%, 4/15/38 (144A)<sup>‡</sup> | 27729249 | 26899372 |
| MHC Commercial Mortgage Trust 2021-MHC C, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.3510%, 5.6690%, 4/15/38 (144A)<sup>‡</sup> | 15653295 | 14919252 |
| New Economy Assets Phase 1 Issuer LLC 2021-1 B1, 2.4100%, 10/20/61 (144A) | 8554000 | 7027238 |
| New Residential Mortgage Loan Trust 2018-2, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 6 Month + 0.6800%, 4.5000%, 2/25/58 (144A)<sup>‡</sup> | 1442798 | 1362955 |
| NRZ Excess Spread Collateralized Notes 2020-PLS1 A, |  |  |
| &nbsp;&nbsp;&nbsp;3.8440%, 12/25/25 (144A) | 3992575 | 3638725 |
| NRZ Excess Spread Collateralized Notes 2021-FHT1 A, 3.1040%, 7/25/26 (144A) | 10193241 | 8849715 |
| Oak Street Investment Grade Net Lease Fund 2020-1A A1, |  |  |
| &nbsp;&nbsp;&nbsp;1.8500%, 11/20/50 (144A) | 13086621 | 11634567 |
| Oasis Securitization 2022-1A A, 4.7500%, 5/15/34 (144A) | 6211164 | 6093209 |
| Oasis Securitization 2022-2A A, 6.8500%, 10/15/34 (144A) | 6417180 | 6381365 |
| Oceanview Mortgage Trust 2021-5 AF, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 0.8500%, 4.3708%, 11/25/51 (144A)<sup>‡</sup> | 15739799 | 14136041 |
| Oceanview Mortgage Trust 2022-1 A1, 3.0000%, 12/25/51 (144A)<sup>‡</sup> | 17347529 | 14477749 |
| Oceanview Mortgage Trust 2022-2 A1, 3.0000%, 12/25/51 (144A)<sup>‡</sup> | 32273121 | 26934273 |
| Onslow Bay Financial LLC 2021-INV3 A3, 2.5000%, 10/25/51 (144A)<sup>‡</sup> | 9787910 | 7825164 |
| Onslow Bay Financial LLC 2022-INV1 A1, 3.0000%, 12/25/51 (144A)<sup>‡</sup> | 32510935 | 27138454 |
| Onslow Bay Financial LLC 2022-INV1 A18, 3.0000%, 12/25/51 (144A)<sup>‡</sup> | 13785795 | 10910690 |
| Pagaya AI Debt Selection Trust 2022-1 A, 2.0300%, 10/15/29 (144A) | 8989056 | 8571623 |
| Preston Ridge Partners Mortgage Trust 2020-4 A1, 2.9510%, 10/25/25 (144A)<sup>Ç</sup> | 9524322 | 8935751 |
| Preston Ridge Partners Mortgage Trust 2021-10 A1, 2.4870%, 10/25/26 (144A)<sup>Ç</sup> | 24448749 | 21984029 |
| Preston Ridge Partners Mortgage Trust 2021-9 A1, 2.3630%, 10/25/26 (144A)<sup>Ç</sup> | 18097404 | 16392350 |
| Preston Ridge Partners Mortgage Trust 2022-2 A1, 5.0000%, 3/25/27 (144A)<sup>Ç</sup> | 24988376 | 23349965 |
| Reach Financial LLC 2022-2A A, 6.6300%, 5/15/30 (144A) | 6416977 | 6403752 |
| Regatta XXIII Funding Ltd 2021-4A B, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.7000%, 5.9426%, 1/20/35 (144A)<sup>‡</sup> | 5891224 | 5613588 |
| Santander Bank Auto Credit-Linked Notes 2021-1A B, 1.8330%, 12/15/31 (144A) | 3623786 | 3499677 |
| Santander Bank Auto Credit-Linked Notes 2022-A B, 5.2810%, 5/15/32 (144A) | 14051070 | 13605101 |
| Santander Bank Auto Credit-Linked Notes 2022-B A2, 5.5870%, 8/16/32 (144A) | 5407676 | 5377769 |
| Santander Drive Auto Receivables Trust 2020-3 D, 1.6400%, 11/16/26 | 27434000 | 26303920 |
| Sequoia Mortgage Trust 2013-5, 2.5000%, 5/25/43 (144A)<sup>‡</sup> | 2291663 | 1977956 |
| Sequoia Mortgage Trust 2020-2, 3.5000%, 3/25/50 (144A)<sup>‡</sup> | 953796 | 831663 |
| SMRT 2022-MINI A, CME Term SOFR 1 Month + 1.0000%, 5.3360%, 1/15/39 (144A)<sup>‡</sup> | 10990000 | 10609208 |
| Sound Point CLO Ltd 2019-1A AR, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.0800%, 3.7899%, 1/20/32 (144A)<sup>‡</sup> | 26345000 | 25783483 |
| Spruce Hill Mortgage Loan Trust 2020-SH1 A1, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 12 Month + 0.9500%, 2.5210%, 1/28/50 (144A)<sup>‡</sup> | 140427 | 138135 |
| Spruce Hill Mortgage Loan Trust 2020-SH1 A2, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 12 Month + 1.0500%, 2.6240%, 1/28/50 (144A)<sup>‡</sup> | 740898 | 726999 |
| SREIT Trust 2021-MFP A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 0.7308%, 5.0487%, 11/15/38 (144A)<sup>‡</sup> | 2350000 | 2259848 |
| Tesla Auto Lease Trust 2021-B A3, 0.6000%, 9/22/25 (144A) | 8570000 | 8069983 |
| Tesla Auto Lease Trust 2021-B B, 0.9100%, 9/22/25 (144A) | 4395000 | 4060740 |
| Theorem Funding Trust 2021-1A A, 1.2100%, 12/15/27 (144A) | 8607042 | 8448515 |
| THL Credit Wind River CLO Ltd 2019-1A AR, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 3 Month + 1.1600%, 3.8699%, 7/20/34 (144A)<sup>‡</sup> | 7594000 | 7364555 |
| TPI Re-Remic Trust 2022-FRR1 AK33, 0%, 7/25/46 (144A)<sup>◊</sup> | 8395000 | 8071033 |
| TPI Re-Remic Trust 2022-FRR1 AK34, 0%, 7/25/46 (144A)<sup>◊</sup> | 6915000 | 6648147 |
| TPI Re-Remic Trust 2022-FRR1 AK35, 0%, 8/25/46 (144A)<sup>◊</sup> | 9375000 | 8958275 |
| Tricolor Auto Securitization Trust 2022-1A A, 3.3000%, 2/18/25 (144A) | 2087996 | 2069503 |
| United Wholesale Mortgage LLC 2021-INV1 A9, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 0.9000%, 4.4208%, 8/25/51 (144A)<sup>‡</sup> | 13337306 | 12009444 |
| United Wholesale Mortgage LLC 2021-INV4 A3, 2.5000%, 12/25/51 (144A)<sup>‡</sup> | 6518744 | 5258754 |
| Upstart Securitization Trust 2021-4 A, 0.8400%, 9/20/31 (144A) | 5565657 | 5386208 |
| Upstart Securitization Trust 2021-5 A, 1.3100%, 11/20/31 (144A) | 3853349 | 3709386 |
| Upstart Securitization Trust 2022-1 A, 3.1200%, 3/20/32 (144A) | 16911690 | 16234595 |
| Upstart Securitization Trust 2022-2 A, 4.3700%, 5/20/32 (144A) | 24587888 | 23934070 |
| Vantage Data Centers LLC 2020-1A A2, 1.6450%, 9/15/45 (144A) | 17832000 | 15697214 |
| Vantage Data Centers LLC 2020-2A A2, 1.9920%, 9/15/45 (144A) | 11511000 | 9421979 |
| VASA Trust 2021-VASA A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 0.9000%, 5.2180%, 7/15/39 (144A)<sup>‡</sup> | 8418000 | 7789905 |
| VCAT Asset Securitization LLC 2021-NPL1 A1, 2.2891%, 12/26/50 (144A) | 2925626 | 2758052 |
| VMC Finance LLC 2021-HT1 A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.6500%, 5.9891%, 1/18/37 (144A)<sup>‡</sup> | 10311722 | 9953519 |

---

------

---

| | | |
|:---|:---|:---|
| *Shares or*<br>*Principal Amounts* | *Shares or*<br>*Principal Amounts* | *Value* |
| Asset-Backed/Commercial Mortgage-Backed Securities– (continued) | Asset-Backed/Commercial Mortgage-Backed Securities– (continued) |  |
| Wells Fargo Commercial Mortgage Trust 2021-SAVE A, |  |  |
| &nbsp;&nbsp;&nbsp;ICE LIBOR USD 1 Month + 1.1500%, 5.4680%, 2/15/40 (144A)<sup>‡</sup> | $8375727 | $7825527 |
| Westgate Resorts 2022-1A A, 1.7880%, 8/20/36 (144A) | 5242688 | 4998256 |
| Westlake Automobile Receivable Trust 2020-1A D, 2.8000%, 6/16/25 (144A) | 12457000 | 12169176 |
| Woodward Capital Management 2021-3 A21, |  |  |
| &nbsp;&nbsp;&nbsp;US 30 Day Average SOFR + 0.8000%, 4.3208%, 7/25/51 (144A)<sup>‡</sup> | 9975292 | 8939010 |
| Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $2,091,198,525) | Total Asset-Backed/Commercial Mortgage-Backed Securities (cost $2,091,198,525) | 1975036557 |
| Corporate Bonds– 8.1% | Corporate Bonds– 8.1% |  |
| Banking – 3.5% | Banking – 3.5% |  |
| American Express Co, SOFR + 2.2550%, 4.9890%, 5/26/33<sup>‡</sup> | 19419000 | 18665734 |
| Bank of America Corp, ICE LIBOR USD 3 Month + 1.5120%, 3.7050%, 4/24/28<sup>‡</sup> | 12653000 | 11709003 |
| Bank of America Corp, SOFR + 1.5800%, 4.3760%, 4/27/28<sup>‡</sup> | 31762000 | 30374730 |
| Bank of America Corp, SOFR + 1.9900%, 6.2040%, 11/10/28<sup>‡</sup> | 29671000 | 30634468 |
| Bank of America Corp, ICE LIBOR USD 3 Month + 1.0700%, 3.9700%, 3/5/29<sup>‡</sup> | 11944000 | 11021025 |
| Bank of America Corp, SOFR + 1.0600%, 2.0870%, 6/14/29<sup>‡</sup> | 25438000 | 21405926 |
| Bank of America Corp, SOFR + 2.1500%, 2.5920%, 4/29/31<sup>‡</sup> | 25685000 | 20918787 |
| Bank of America Corp, ICE LIBOR USD 3 Month + 3.7050%, 6.2500%<sup>‡,µ</sup> | 21700000 | 20839831 |
| Bank of America Corp, ICE LIBOR USD 3 Month + 3.1350%, 5.2000%<sup>‡,µ</sup> | 7250000 | 7025261 |
| Bank of Montreal, |  |  |
| &nbsp;&nbsp;&nbsp;US Treasury Yield Curve Rate 5 Year + 1.4000%, 3.0880%, 1/10/37<sup>‡</sup> | 53212000 | 40233794 |
| BNP Paribas SA, SOFR + 1.2280%, 2.5910%, 1/20/28 (144A)<sup>‡</sup> | 12805000 | 11262029 |
| BNP Paribas SA, SOFR + 1.5610%, 3.1320%, 1/20/33 (144A)<sup>‡</sup> | 10937000 | 8635462 |
| Citigroup Inc, ICE LIBOR USD 3 Month + 1.5630%, 3.8870%, 1/10/28<sup>‡</sup> | 36115000 | 33748307 |
| Citigroup Inc, SOFR + 3.9140%, 4.4120%, 3/31/31<sup>‡</sup> | 24901000 | 22866504 |
| Citigroup Inc, ICE LIBOR USD 3 Month + 3.4660%, 5.3500%<sup>‡,µ</sup> | 8824000 | 8598142 |
| Citigroup Inc, ICE LIBOR USD 3 Month + 3.9050%, 5.9500%<sup>‡,µ</sup> | 8361000 | 7530753 |
| Citigroup Inc, ICE LIBOR USD 3 Month + 3.4230%, 6.3000%<sup>‡,µ</sup> | 2012000 | 1897819 |
| Commonwealth Bank of Australia, 3.7840%, 3/14/32 (144A) | 22906000 | 18881033 |
| First Republic Bank/CA, 4.6250%, 2/13/47 | 5767000 | 4475190 |
| Goldman Sachs Group Inc, 3.5000%, 4/1/25 | 39166000 | 37663686 |
| JPMorgan Chase & Co, SOFR + 1.7500%, 4.5650%, 6/14/30<sup>‡</sup> | 17992000 | 16928030 |
| JPMorgan Chase & Co, SOFR + 2.5150%, 2.9560%, 5/13/31<sup>‡</sup> | 22144000 | 18245676 |
| JPMorgan Chase & Co, SOFR + 1.2600%, 2.9630%, 1/25/33<sup>‡</sup> | 36264000 | 29515350 |
| JPMorgan Chase & Co, SOFR + 2.5800%, 5.7170%, 9/14/33<sup>‡</sup> | 39262000 | 38321811 |
| JPMorgan Chase & Co, SOFR + 3.3800%, 5.0000%<sup>‡,µ</sup> | 7243000 | 6626843 |
| JPMorgan Chase & Co, SOFR + 3.1250%, 4.6000%<sup>‡,µ</sup> | 7646000 | 6738038 |
| Mitsubishi UFJ Financial Group Inc, |  |  |
| &nbsp;&nbsp;&nbsp;US Treasury Yield Curve Rate 1 Year + 1.7000%, 4.7880%, 7/18/25<sup>‡</sup> | 15834000 | 15676176 |
| Mitsubishi UFJ Financial Group Inc, |  |  |
| &nbsp;&nbsp;&nbsp;US Treasury Yield Curve Rate 1 Year + 1.9500%, 5.0170%, 7/20/28<sup>‡</sup> | 25783000 | 25167429 |
| Morgan Stanley, SOFR + 1.9900%, 2.1880%, 4/28/26<sup>‡</sup> | 24836000 | 23079233 |
| Morgan Stanley, 4.3500%, 9/8/26 | 14618000 | 14183006 |
| Morgan Stanley, SOFR + 0.8790%, 1.5930%, 5/4/27<sup>‡</sup> | 11537000 | 10120654 |
| Morgan Stanley, SOFR + 1.0340%, 1.7940%, 2/13/32<sup>‡</sup> | 20010000 | 15038722 |
| Morgan Stanley, SOFR + 1.1780%, 2.2390%, 7/21/32<sup>‡</sup> | 31595000 | 24239494 |
| Morgan Stanley, SOFR + 1.2900%, 2.9430%, 1/21/33<sup>‡</sup> | 39331000 | 31817926 |
| Morgan Stanley, SOFR + 1.3600%, 2.4840%, 9/16/36<sup>‡</sup> | 33616000 | 24376012 |
| National Australia Bank Ltd, 2.9900%, 5/21/31 (144A) | 28726000 | 22485979 |
| Nordea Bank Abp, 5.3750%, 9/22/27 (144A) | 30280000 | 30419691 |
| SVB Financial Group, |  |  |
| &nbsp;&nbsp;&nbsp;US Treasury Yield Curve Rate 5 Year + 3.0740%, 4.2500%<sup>‡,µ</sup> | 36492000 | 23940530 |
| SVB Financial Group, |  |  |
| &nbsp;&nbsp;&nbsp;US Treasury Yield Curve Rate 10 Year + 3.0640%, 4.1000%<sup>‡,µ</sup> | 23100000 | 13220622 |
| SVB Financial Group, |  |  |
| &nbsp;&nbsp;&nbsp;US Treasury Yield Curve Rate 5 Year + 3.2020%, 4.0000%<sup>‡,µ</sup> | 4710000 | 3108694 |
| US Bancorp, SOFR + 2.1100%, 4.9670%, 7/22/33<sup>‡</sup> | 5612000 | 5324546 |
| US Bancorp, |  |  |
| &nbsp;&nbsp;&nbsp;US Treasury Yield Curve Rate 5 Year + 0.9500%, 2.4910%, 11/3/36<sup>‡</sup> | 20457000 | 15567198 |
| Westpac Banking Corp, |  |  |
| &nbsp;&nbsp;&nbsp;US Treasury Yield Curve Rate 5 Year + 1.7500%, 2.6680%, 11/15/35<sup>‡</sup> | 19870000 | 14768505 |
|  |  | 797297649 |
| Basic Industry – 0% | Basic Industry – 0% |  |
| Reliance Steel & Aluminum Co, 4.5000%, 4/15/23 | 7932000 | 7930615 |
| Brokerage – 0% | Brokerage – 0% |  |
| Charles Schwab Corp, |  |  |
| &nbsp;&nbsp;&nbsp;US Treasury Yield Curve Rate 10 Year + 3.0790%, 4.0000%<sup>‡,µ</sup> | 10811000 | 8621232 |
| Capital Goods – 0% | Capital Goods – 0% |  |
| General Dynamics Corp, 3.5000%, 4/1/27 | 7372000 | 7043160 |
| Communications – 0.1% | Communications – 0.1% |  |
| AT&T Inc, 3.8000%, 12/1/57 | 13125000 | 9055375 |
| AT&T Inc, 3.6500%, 9/15/59 | 2171000 | 1453117 |
| Charter Communications Operating LLC / Charter Communications Operating Capital, |  |  |
| &nbsp;&nbsp;&nbsp;6.4840%, 10/23/45 | 3584000 | 3231958 |
| Comcast Corp, 3.7500%, 4/1/40 | 6795000 | 5604005 |

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------

---

| | | |
|:---|:---|:---|
| *Shares or*<br>*Principal Amounts* | *Shares or*<br>*Principal Amounts* | *Value* |
| Corporate Bonds– (continued) | Corporate Bonds– (continued) |  |
| Communications– (continued) | Communications– (continued) |  |
| Fox Corp, 4.0300%, 1/25/24 | $8690000 | $8589224 |
|  |  | 27933679 |
| Consumer Cyclical – 0.1% | Consumer Cyclical – 0.1% |  |
| GLP Capital LP / GLP Financing II Inc, 5.3750%, 4/15/26 | 9419000 | 9240671 |
| GLP Capital LP / GLP Financing II Inc, 5.3000%, 1/15/29 | 1226000 | 1160213 |
|  |  | 10400884 |
| Consumer Non-Cyclical – 1.2% | Consumer Non-Cyclical – 1.2% |  |
| CSL Finance Ltd, 3.8500%, 4/27/27 (144A) | 6306000 | 6032497 |
| CSL Finance Ltd, 4.0500%, 4/27/29 (144A) | 12756000 | 12023000 |
| Diageo Capital PLC, 1.3750%, 9/29/25 | 11362000 | 10417854 |
| Diageo Capital PLC, 2.0000%, 4/29/30 | 10703000 | 8791269 |
| GE Healthcare Holding LLC, 5.6500%, 11/15/27 (144A) | 22545000 | 22808788 |
| GE Healthcare Holding LLC, 5.8570%, 3/15/30 (144A) | 26924000 | 27552991 |
| GE Healthcare Holding LLC, 5.9050%, 11/22/32 (144A) | 38592000 | 39988963 |
| GSK Consumer Healthcare Capital US LLC, 3.3750%, 3/24/27 | 10875000 | 10124144 |
| GSK Consumer Healthcare Capital US LLC, 3.3750%, 3/24/29 | 5546000 | 4987164 |
| Hasbro Inc, 3.9000%, 11/19/29 | 35072000 | 31167936 |
| Hasbro Inc, 6.3500%, 3/15/40 | 7010000 | 6786630 |
| Hasbro Inc, 5.1000%, 5/15/44 | 10090000 | 8589596 |
| HCA Inc, 5.8750%, 2/15/26 | 4146000 | 4172162 |
| HCA Inc, 5.3750%, 9/1/26 | 3180000 | 3144629 |
| HCA Inc, 5.6250%, 9/1/28 | 9208000 | 9155812 |
| HCA Inc, 5.8750%, 2/1/29 | 6941000 | 6919313 |
| Illumina Inc, 5.8000%, 12/12/25 | 11709000 | 11788564 |
| JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, |  |  |
| &nbsp;&nbsp;&nbsp;5.5000%, 1/15/30 (144A) | 19216000 | 18284408 |
| JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, |  |  |
| &nbsp;&nbsp;&nbsp;3.6250%, 1/15/32 (144A) | 9318000 | 7547580 |
| JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc, |  |  |
| &nbsp;&nbsp;&nbsp;3.0000%, 5/15/32 (144A) | 13810000 | 10590208 |
| Mondelez International Inc, 2.7500%, 4/13/30 | 1182000 | 1018829 |
| Royalty Pharma PLC, 3.5500%, 9/2/50 | 14211000 | 9081589 |
|  |  | 270973926 |
| Electric – 0.2% | Electric – 0.2% |  |
| Duke Energy Corp, 4.3000%, 3/15/28 | 15581000 | 14992407 |
| Duquesne Light Holdings Inc, 2.7750%, 1/7/32 (144A) | 16995000 | 13292979 |
| NRG Energy Inc, 3.3750%, 2/15/29 (144A) | 17426000 | 14056160 |
|  |  | 42341546 |
| Energy – 0.3% | Energy – 0.3% |  |
| Energy Transfer LP, 5.5500%, 2/15/28 | 14575000 | 14457380 |
| Energy Transfer LP, 5.7500%, 2/15/33 | 14579000 | 14263510 |
| Energy Transfer Operating LP, 4.9500%, 6/15/28 | 626000 | 605333 |
| EQT Corp, 5.6780%, 10/1/25 | 17974000 | 17886637 |
| EQT Corp, 5.7000%, 4/1/28 | 7749000 | 7707362 |
| Hess Midstream Operations LP, 5.1250%, 6/15/28 (144A) | 11121000 | 10283551 |
| Southwestern Energy Co, 4.7500%, 2/1/32 | 12491000 | 10674684 |
|  |  | 75878457 |
| Finance Companies – 0.6% | Finance Companies – 0.6% |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust, |  |  |
| &nbsp;&nbsp;&nbsp;4.6250%, 10/15/27 | 18600000 | 17274993 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust, |  |  |
| &nbsp;&nbsp;&nbsp;3.0000%, 10/29/28 | 12919000 | 10823219 |
| Air Lease Corp, 1.8750%, 8/15/26 | 17148000 | 14893681 |
| Air Lease Corp, 3.0000%, 2/1/30 | 8657000 | 7219705 |
| Ares Capital Corp, 2.8750%, 6/15/27 | 17055000 | 14454493 |
| OWL Rock Core Income Corp, 4.7000%, 2/8/27 | 2729000 | 2460763 |
| OWL Rock Core Income Corp, 7.7500%, 9/16/27 (144A) | 16398000 | 16344943 |
| Quicken Loans LLC, 3.6250%, 3/1/29 (144A) | 11261000 | 8923645 |
| Quicken Loans LLC, 3.8750%, 3/1/31 (144A) | 12708000 | 9699704 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc, |  |  |
| &nbsp;&nbsp;&nbsp;2.8750%, 10/15/26 (144A) | 12331000 | 10569669 |
| Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc, |  |  |
| &nbsp;&nbsp;&nbsp;4.0000%, 10/15/33 (144A) | 14597000 | 10901915 |
|  |  | 123566730 |
| Insurance – 0.8% | Insurance – 0.8% |  |
| Athene Global Funding, 2.7170%, 1/7/29 (144A) | 21681000 | 17903112 |
| Athene Global Funding, 2.6460%, 10/4/31 (144A) | 32528000 | 24849912 |
| Brown & Brown Inc, 4.2000%, 3/17/32 | 6426000 | 5571097 |
| Brown & Brown Inc, 4.9500%, 3/17/52 | 18886000 | 15330218 |
| Centene Corp, 4.2500%, 12/15/27 | 53971000 | 50617415 |
| Centene Corp, 2.4500%, 7/15/28 | 16998000 | 14347162 |
| Centene Corp, 3.0000%, 10/15/30 | 18048000 | 14794834 |

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------

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| | | |
|:---|:---|:---|
| *Shares or*<br>*Principal Amounts* | *Shares or*<br>*Principal Amounts* | *Value* |
| Corporate Bonds– (continued) | Corporate Bonds– (continued) |  |
| Insurance– (continued) | Insurance– (continued) |  |
| Prudential Financial Inc, |  |  |
| &nbsp;&nbsp;&nbsp;US Treasury Yield Curve Rate 5 Year + 3.0350%, 3.7000%, 10/1/50<sup>‡</sup> | $27945000 | $23582506 |
| UnitedHealth Group Inc, 5.2500%, 2/15/28 | 10004000 | 10226397 |
|  |  | 177222653 |
| Real Estate Investment Trusts (REITs) – 0.2% | Real Estate Investment Trusts (REITs) – 0.2% |  |
| Agree LP, 2.0000%, 6/15/28 | 11528000 | 9439485 |
| Agree LP, 2.9000%, 10/1/30 | 7437000 | 6037258 |
| Agree LP, 2.6000%, 6/15/33 | 8647000 | 6508362 |
| Sun Communities Operating LP, 2.7000%, 7/15/31 | 21657000 | 17094308 |
|  |  | 39079413 |
| Technology – 1.0% | Technology – 1.0% |  |
| Analog Devices Inc, 2.9500%, 4/1/25 | 10074000 | 9689116 |
| CoStar Group Inc, 2.8000%, 7/15/30 (144A) | 12054000 | 9844377 |
| Equinix Inc, 2.1500%, 7/15/30 | 9552000 | 7598991 |
| Global Payments Inc, 2.1500%, 1/15/27 | 11282000 | 9841867 |
| Global Payments Inc, 5.3000%, 8/15/29 | 20156000 | 19486226 |
| Global Payments Inc, 2.9000%, 11/15/31 | 16923000 | 13344942 |
| Global Payments Inc, 5.4000%, 8/15/32 | 9144000 | 8708293 |
| Marvell Technology Inc, 1.6500%, 4/15/26 | 13225000 | 11680483 |
| Marvell Technology Inc, 4.8750%, 6/22/28 | 14717000 | 14027020 |
| Microchip Technology Inc, 2.6700%, 9/1/23 | 23076000 | 22645754 |
| MSCI Inc, 4.0000%, 11/15/29 (144A) | 1532000 | 1334425 |
| MSCI Inc, 3.6250%, 9/1/30 (144A) | 25762000 | 21414662 |
| MSCI Inc, 3.8750%, 2/15/31 (144A) | 21571000 | 17934669 |
| Total System Services Inc, 4.8000%, 4/1/26 | 11686000 | 11370302 |
| Trimble Inc, 4.7500%, 12/1/24 | 18923000 | 18705846 |
| Trimble Inc, 4.9000%, 6/15/28 | 11312000 | 10846187 |
| TSMC Arizona Corp, 3.8750%, 4/22/27 | 15891000 | 15276246 |
| Workday Inc, 3.5000%, 4/1/27 | 8410000 | 7859726 |
|  |  | 231609132 |
| Transportation – 0.1% | Transportation – 0.1% |  |
| GXO Logistics Inc, 1.6500%, 7/15/26 | 14940000 | 12791286 |
| GXO Logistics Inc, 2.6500%, 7/15/31 | 2271000 | 1676794 |
|  |  | 14468080 |
| Total Corporate Bonds (cost $2,098,130,370) | Total Corporate Bonds (cost $2,098,130,370) | 1834367156 |
| Mortgage-Backed Securities– 12.6% | Mortgage-Backed Securities– 12.6% |  |
| Fannie Mae: | Fannie Mae: |  |
| 2.0000%, TBA, 15 Year Maturity | 47739539 | 42472101 |
| 2.5000%, TBA, 15 Year Maturity | 28461400 | 26056269 |
| 3.0000%, TBA, 15 Year Maturity | 4361241 | 4084494 |
| 2.5000%, TBA, 30 Year Maturity | 5395808 | 4563796 |
| 3.0000%, TBA, 30 Year Maturity | 104533452 | 91659739 |
| 3.5000%, TBA, 30 Year Maturity | 272873070 | 247700802 |
| 4.0000%, TBA, 30 Year Maturity | 33833000 | 31714242 |
| 4.5000%, TBA, 30 Year Maturity | 46089952 | 44364068 |
| 5.0000%, TBA, 30 Year Maturity | 146246723 | 144065161 |
| 5.5000%, TBA, 30 Year Maturity | 128939260 | 129283528 |
|  |  | 765964200 |
| Fannie Mae Pool: | Fannie Mae Pool: |  |
| 7.5000%, 7/1/28 | 33809 | 35050 |
| 3.0000%, 10/1/34 | 1272798 | 1199813 |
| 2.5000%, 11/1/34 | 926577 | 852844 |
| 3.0000%, 11/1/34 | 541044 | 510019 |
| 3.0000%, 12/1/34 | 569180 | 536542 |
| 6.0000%, 2/1/37 | 213870 | 223850 |
| 4.5000%, 11/1/42 | 1179097 | 1167073 |
| 3.0000%, 1/1/43 | 667436 | 604540 |
| 3.0000%, 2/1/43 | 159913 | 144844 |
| 3.0000%, 5/1/43 | 1546060 | 1400105 |
| 5.0000%, 7/1/44 | 125770 | 127250 |
| 4.5000%, 10/1/44 | 2885079 | 2878252 |
| 4.5000%, 3/1/45 | 4415823 | 4405375 |
| 4.5000%, 6/1/45 | 2284977 | 2260023 |
| 3.5000%, 12/1/45 | 1323141 | 1225433 |
| 3.0000%, 1/1/46 | 253399 | 227565 |
| 4.5000%, 2/1/46 | 5177917 | 5125114 |
| 3.5000%, 7/1/46 | 2974270 | 2781669 |
| 3.0000%, 9/1/46 | 15382072 | 13929931 |
| 3.0000%, 2/1/47 | 43644487 | 39524239 |
| 3.0000%, 3/1/47 | 5214592 | 4724690 |
| 3.5000%, 3/1/47 | 1161872 | 1076073 |
| 3.5000%, 7/1/47 | 1029578 | 953548 |
| 3.5000%, 8/1/47 | 968538 | 895537 |

---

------

---

| | | |
|:---|:---|:---|
| *Shares or*<br>*Principal Amounts* | *Shares or*<br>*Principal Amounts* | *Value* |
| Mortgage-Backed Securities– (continued) | Mortgage-Backed Securities– (continued) |  |
| Fannie Mae Pool– (continued) | Fannie Mae Pool– (continued) |  |
| 3.5000%, 8/1/47 | $933162 | $878633 |
| 4.0000%, 10/1/47 | 4322670 | 4124083 |
| 3.5000%, 12/1/47 | 429860 | 404741 |
| 3.5000%, 12/1/47 | 271979 | 256086 |
| 3.5000%, 1/1/48 | 2843531 | 2654512 |
| 4.0000%, 1/1/48 | 9525204 | 9231448 |
| 4.0000%, 1/1/48 | 3523097 | 3398028 |
| 3.0000%, 2/1/48 | 3265879 | 2969534 |
| 3.5000%, 3/1/48 | 421503 | 396076 |
| 4.0000%, 3/1/48 | 2742752 | 2652087 |
| 4.5000%, 3/1/48 | 118510 | 116031 |
| 5.0000%, 5/1/48 | 2681434 | 2679300 |
| 4.5000%, 6/1/48 | 4566787 | 4471257 |
| 3.5000%, 7/1/48 | 26404633 | 24418087 |
| 4.0000%, 7/1/48 | 5325123 | 5076070 |
| 4.5000%, 8/1/48 | 67080 | 65677 |
| 4.0000%, 10/1/48 | 2092471 | 2007961 |
| 4.0000%, 11/1/48 | 6188091 | 5898677 |
| 4.0000%, 12/1/48 | 987343 | 941165 |
| 4.0000%, 2/1/49 | 1436989 | 1369782 |
| 4.0000%, 6/1/49 | 837819 | 796917 |
| 4.5000%, 6/1/49 | 429934 | 420522 |
| 3.0000%, 8/1/49 | 3396320 | 3015625 |
| 3.0000%, 8/1/49 | 1854900 | 1646983 |
| 4.5000%, 8/1/49 | 589467 | 576562 |
| 3.0000%, 9/1/49 | 689120 | 622158 |
| 4.0000%, 11/1/49 | 13520811 | 12888448 |
| 4.0000%, 11/1/49 | 1203367 | 1152819 |
| 3.5000%, 12/1/49 | 34380040 | 31788710 |
| 4.5000%, 1/1/50 | 10706239 | 10482281 |
| 4.5000%, 1/1/50 | 825606 | 807531 |
| 2.5000%, 3/1/50 | 2747410 | 2351163 |
| 4.0000%, 3/1/50 | 19698521 | 18902947 |
| 4.0000%, 3/1/50 | 10686061 | 10186278 |
| 4.0000%, 3/1/50 | 4077669 | 3886958 |
| 4.5000%, 7/1/50 | 17265737 | 16619826 |
| 2.5000%, 8/1/50 | 56566571 | 48690220 |
| 2.5000%, 8/1/50 | 2405356 | 2074243 |
| 4.0000%, 9/1/50 | 22527038 | 21427275 |
| 4.0000%, 10/1/50 | 21677600 | 20767032 |
| 4.5000%, 10/1/50 | 13362574 | 13083051 |
| 4.0000%, 3/1/51 | 55360155 | 52657490 |
| 4.0000%, 3/1/51 | 1075980 | 1023451 |
| 4.0000%, 3/1/51 | 524411 | 499885 |
| 4.0000%, 10/1/51 | 7702717 | 7326673 |
| 3.0000%, 12/1/51 | 147983893 | 131473455 |
| 2.5000%, 1/1/52 | 14266767 | 12209866 |
| 2.5000%, 2/1/52 | 70438072 | 60211644 |
| 2.5000%, 3/1/52 | 28926707 | 24706695 |
| 2.5000%, 3/1/52 | 28287240 | 24180406 |
| 2.5000%, 3/1/52 | 10426776 | 8916220 |
| 2.5000%, 3/1/52 | 2507816 | 2140596 |
| 2.5000%, 3/1/52 | 2356382 | 2012618 |
| 2.5000%, 3/1/52 | 1990653 | 1701643 |
| 2.5000%, 3/1/52 | 813519 | 696255 |
| 3.0000%, 3/1/52 | 13857619 | 12266460 |
| 3.5000%, 3/1/52 | 19188416 | 17645702 |
| 3.0000%, 4/1/52 | 11725147 | 10408138 |
| 3.0000%, 4/1/52 | 10298614 | 9112956 |
| 3.5000%, 4/1/52 | 10001202 | 9145833 |
| 3.5000%, 4/1/52 | 7387110 | 6809927 |
| 3.5000%, 4/1/52 | 5656682 | 5168926 |
| 3.5000%, 4/1/52 | 3428189 | 3134988 |
| 3.5000%, 4/1/52 | 2054391 | 1877501 |
| 3.5000%, 4/1/52 | 1644474 | 1502676 |
| 4.0000%, 4/1/52 | 8264721 | 7844645 |
| 4.5000%, 4/1/52 | 1600004 | 1541446 |
| 4.5000%, 4/1/52 | 1231388 | 1186321 |
| 4.5000%, 4/1/52 | 706254 | 680406 |
| 4.5000%, 4/1/52 | 640949 | 617491 |
| 4.5000%, 4/1/52 | 560637 | 540118 |
| 4.5000%, 4/1/52 | 360991 | 347471 |
| 3.5000%, 5/1/52 | 8935382 | 8211441 |
| 3.5000%, 5/1/52 | 5730095 | 5239132 |

---

------

---

| | | |
|:---|:---|:---|
| *Shares or*<br>*Principal Amounts* | *Shares or*<br>*Principal Amounts* | *Value* |
| Mortgage-Backed Securities– (continued) | Mortgage-Backed Securities– (continued) |  |
| Fannie Mae Pool– (continued) | Fannie Mae Pool– (continued) |  |
| 4.5000%, 5/1/52 | $1953496 | $1882000 |
| 3.5000%, 6/1/52 | 30896940 | 28454046 |
| 3.5000%, 6/1/52 | 17862468 | 16480891 |
| 4.0000%, 6/1/52 | 6274444 | 5886569 |
| 4.0000%, 6/1/52 | 1681093 | 1577171 |
| 3.5000%, 7/1/52 | 39821923 | 36583194 |
| 3.5000%, 7/1/52 | 4473171 | 4119496 |
| 3.5000%, 7/1/52 | 1630298 | 1503696 |
| 4.0000%, 7/1/52 | 2681975 | 2516180 |
| 4.5000%, 7/1/52 | 7970714 | 7683525 |
| 3.5000%, 8/1/52 | 7955537 | 7306039 |
| 3.5000%, 8/1/52 | 2945904 | 2712068 |
| 4.5000%, 8/1/52 | 30784971 | 29675772 |
| 5.5000%, 9/1/52 | 38909855 | 39170732 |
| 5.0000%, 10/1/52 | 6195832 | 6183399 |
| 5.0000%, 10/1/52 | 2769668 | 2764110 |
| 5.5000%, 10/1/52 | 6565826 | 6685581 |
| 4.5000%, 11/1/52 | 20956487 | 20484925 |
| 5.0000%, 11/1/52 | 15380874 | 15350011 |
| 5.5000%, 11/1/52 | 13983161 | 14238203 |
| 4.5000%, 12/1/52 | 9490044 | 9181145 |
| 3.5000%, 8/1/56 | 10715055 | 9971308 |
| 3.0000%, 2/1/57 | 10863416 | 9676191 |
| 3.0000%, 6/1/57 | 200144 | 178259 |
|  |  | 1096309149 |
| Freddie Mac Gold Pool: | Freddie Mac Gold Pool: |  |
| 3.5000%, 1/1/47 | 810768 | 759291 |
| Freddie Mac Pool: | Freddie Mac Pool: |  |
| 3.0000%, 5/1/31 | 11577851 | 10968989 |
| 3.0000%, 9/1/32 | 2635001 | 2495100 |
| 3.0000%, 10/1/32 | 1284987 | 1216763 |
| 3.0000%, 12/1/32 | 858897 | 805153 |
| 3.0000%, 1/1/33 | 1750474 | 1657535 |
| 2.5000%, 12/1/33 | 11990865 | 11171829 |
| 3.0000%, 10/1/34 | 2987039 | 2815652 |
| 3.0000%, 10/1/34 | 1375782 | 1296845 |
| 2.5000%, 11/1/34 | 3791492 | 3489727 |
| 2.5000%, 11/1/34 | 940903 | 866017 |
| 6.0000%, 4/1/40 | 3298555 | 3457357 |
| 3.5000%, 7/1/42 | 577895 | 540677 |
| 3.5000%, 8/1/42 | 644847 | 603317 |
| 3.5000%, 8/1/42 | 591171 | 553098 |
| 3.5000%, 2/1/43 | 1433958 | 1340928 |
| 3.0000%, 3/1/43 | 7001620 | 6340591 |
| 3.0000%, 6/1/43 | 224976 | 201029 |
| 3.5000%, 2/1/44 | 1783698 | 1667977 |
| 4.5000%, 5/1/44 | 931366 | 921186 |
| 3.5000%, 12/1/44 | 10621367 | 9932288 |
| 3.0000%, 1/1/45 | 2744608 | 2480325 |
| 4.0000%, 4/1/45 | 23257 | 22381 |
| 3.0000%, 1/1/46 | 501244 | 457778 |
| 3.5000%, 7/1/46 | 2015716 | 1882501 |
| 4.0000%, 3/1/47 | 1065066 | 1026731 |
| 3.0000%, 4/1/47 | 1221743 | 1096538 |
| 3.5000%, 4/1/47 | 460995 | 431159 |
| 3.5000%, 9/1/47 | 3782800 | 3497627 |
| 3.5000%, 12/1/47 | 6333246 | 5920729 |
| 3.5000%, 2/1/48 | 2226578 | 2074594 |
| 4.0000%, 3/1/48 | 2476370 | 2394515 |
| 4.5000%, 3/1/48 | 104311 | 102129 |
| 4.0000%, 4/1/48 | 2317247 | 2230601 |
| 4.0000%, 4/1/48 | 2292210 | 2185010 |
| 4.0000%, 5/1/48 | 4077444 | 3886755 |
| 4.5000%, 7/1/48 | 611451 | 598660 |
| 5.0000%, 9/1/48 | 111405 | 111316 |
| 4.0000%, 11/1/48 | 558453 | 532336 |
| 4.0000%, 12/1/48 | 6973402 | 6647277 |
| 4.5000%, 12/1/48 | 2156766 | 2130673 |
| 4.5000%, 6/1/49 | 429406 | 420011 |
| 4.5000%, 7/1/49 | 3807556 | 3724253 |
| 4.5000%, 7/1/49 | 653536 | 639238 |
| 3.0000%, 8/1/49 | 1153122 | 1023860 |
| 4.5000%, 8/1/49 | 3336437 | 3263441 |
| 3.0000%, 12/1/49 | 1375095 | 1220951 |

---

------

---

| | | |
|:---|:---|:---|
| *Shares or*<br>*Principal Amounts* | *Shares or*<br>*Principal Amounts* | *Value* |
| Mortgage-Backed Securities– (continued) | Mortgage-Backed Securities– (continued) |  |
| Freddie Mac Pool– (continued) | Freddie Mac Pool– (continued) |  |
| 3.0000%, 12/1/49 | $1142586 | $1014506 |
| 4.5000%, 1/1/50 | 2268534 | 2218902 |
| 4.5000%, 1/1/50 | 642390 | 628335 |
| 3.5000%, 3/1/50 | 602569 | 548995 |
| 4.0000%, 3/1/50 | 6779047 | 6462012 |
| 4.5000%, 3/1/50 | 7849126 | 7548014 |
| 4.0000%, 6/1/50 | 11012255 | 10584802 |
| 2.5000%, 8/1/50 | 1177317 | 1015618 |
| 2.5000%, 8/1/50 | 419458 | 361717 |
| 2.5000%, 9/1/50 | 2218792 | 1912676 |
| 4.5000%, 9/1/50 | 20082903 | 19662783 |
| 4.0000%, 10/1/50 | 2002406 | 1904654 |
| 2.5000%, 6/1/51 | 17334183 | 14888333 |
| 2.5000%, 11/1/51 | 15602657 | 13392534 |
| 2.5000%, 1/1/52 | 4503342 | 3860349 |
| 2.5000%, 1/1/52 | 2769048 | 2370833 |
| 2.5000%, 2/1/52 | 6503839 | 5559599 |
| 3.0000%, 2/1/52 | 3668253 | 3248192 |
| 3.0000%, 2/1/52 | 2771446 | 2462095 |
| 2.5000%, 3/1/52 | 970916 | 829230 |
| 3.0000%, 3/1/52 | 3859890 | 3427696 |
| 4.5000%, 3/1/52 | 303758 | 292645 |
| 3.5000%, 4/1/52 | 4165674 | 3809417 |
| 3.5000%, 4/1/52 | 4001188 | 3658999 |
| 3.5000%, 4/1/52 | 1353056 | 1236559 |
| 3.5000%, 4/1/52 | 1185389 | 1083182 |
| 3.5000%, 6/1/52 | 17779655 | 16344756 |
| 3.5000%, 7/1/52 | 64745877 | 59480361 |
| 4.0000%, 7/1/52 | 6028147 | 5655601 |
| 4.0000%, 8/1/52 | 6869886 | 6448220 |
| 4.5000%, 8/1/52 | 68386596 | 65923590 |
| 4.5000%, 8/1/52 | 29098416 | 28102896 |
| 4.5000%, 8/1/52 | 14861289 | 14326046 |
| 5.0000%, 8/1/52 | 15339092 | 15415040 |
| 5.5000%, 9/1/52 | 9903685 | 10041322 |
| 4.5000%, 10/1/52 | 13320582 | 13020957 |
| 5.0000%, 10/1/52 | 19039483 | 19001277 |
| 5.0000%, 10/1/52 | 12354974 | 12330182 |
| 5.0000%, 10/1/52 | 373976 | 373226 |
| 5.5000%, 11/1/52 | 43141768 | 43928836 |
|  |  | 536718434 |
| Ginnie Mae: | Ginnie Mae: |  |
| 2.5000%, TBA, 30 Year Maturity | 148691910 | 128432340 |
| 3.5000%, TBA, 30 Year Maturity | 60543177 | 55519365 |
| 4.0000%, TBA, 30 Year Maturity | 83118031 | 78567485 |
| 4.5000%, TBA, 30 Year Maturity | 81037738 | 78528891 |
|  |  | 341048081 |
| Ginnie Mae I Pool: | Ginnie Mae I Pool: |  |
| 6.0000%, 1/15/34 | 57922 | 60518 |
| 4.0000%, 1/15/45 | 9885124 | 9585182 |
| 4.5000%, 8/15/46 | 11917590 | 11694985 |
| 4.0000%, 7/15/47 | 1981066 | 1904195 |
| 4.0000%, 8/15/47 | 242724 | 233305 |
| 4.0000%, 11/15/47 | 317409 | 305092 |
| 4.0000%, 12/15/47 | 858738 | 825417 |
|  |  | 24608694 |
| Ginnie Mae II Pool: | Ginnie Mae II Pool: |  |
| 4.0000%, 8/20/47 | 1194950 | 1147999 |
| 4.0000%, 8/20/47 | 240832 | 231370 |
| 4.0000%, 8/20/47 | 186144 | 178830 |
| 4.5000%, 2/20/48 | 1249220 | 1225994 |
| 4.5000%, 5/20/48 | 2037741 | 1999968 |
| 4.5000%, 5/20/48 | 411744 | 404112 |
| 4.0000%, 6/20/48 | 9535417 | 9133717 |
| 5.0000%, 8/20/48 | 3691877 | 3698550 |
| 3.0000%, 7/20/51 | 24526796 | 21910799 |
| 3.0000%, 8/20/51 | 55313469 | 49398403 |
|  |  | 89329742 |
| Total Mortgage-Backed Securities (cost $2,977,885,082) | Total Mortgage-Backed Securities (cost $2,977,885,082) | 2854737591 |
| United States Treasury Notes/Bonds– 13.9% | United States Treasury Notes/Bonds– 13.9% |  |
| 4.3750%, 10/31/24 | 381202100 | 380115079 |
| 4.5000%, 11/15/25 | 33630000 | 33832305 |
| 0.3750%, 1/31/26 | 117038600 | 104132351 |

---

------

---

| | | |
|:---|:---|:---|
| *Shares or*<br>*Principal Amounts* | *Shares or*<br>*Principal Amounts* | *Value* |
| United States Treasury Notes/Bonds– (continued) | United States Treasury Notes/Bonds– (continued) |  |
| 0.7500%, 4/30/26 | $164071000 | $146670501 |
| 0.8750%, 6/30/26 | 235686000 | 210754840 |
| 4.1250%, 9/30/27 | 220895400 | 221723758 |
| 4.1250%, 10/31/27 | 126335800 | 126799690 |
| 3.8750%, 11/30/27 | 225972300 | 224736514 |
| 1.1250%, 8/31/28 | 119582000 | 102102474 |
| 3.8750%, 11/30/29 | 109129000 | 108395790 |
| 4.1250%, 11/15/32 | 514057800 | 524579921 |
| 2.3750%, 2/15/42 | 70057000 | 53489614 |
| 4.0000%, 11/15/42 | 627683000 | 614540887 |
| 3.0000%, 8/15/52 | 356406000 | 293645131 |
| Total United States Treasury Notes/Bonds (cost $3,245,311,131) | Total United States Treasury Notes/Bonds (cost $3,245,311,131) | 3145518855 |
| Common Stocks– 56.3% | Common Stocks– 56.3% |  |
| Aerospace & Defense – 1.2% | Aerospace & Defense – 1.2% |  |
| General Dynamics Corp | 751538 | 186464093 |
| L3Harris Technologies Inc | 438904 | 91384202 |
|  |  | 277848295 |
| Air Freight & Logistics – 1.4% | Air Freight & Logistics – 1.4% |  |
| United Parcel Service Inc | 1765015 | 306830208 |
| Banks – 2.2% | Banks – 2.2% |  |
| Bank of America Corp | 7743967 | 256480187 |
| JPMorgan Chase & Co | 1874957 | 251431734 |
|  |  | 507911921 |
| Beverages – 1.3% | Beverages – 1.3% |  |
| Constellation Brands Inc | 405460 | 93965355 |
| Monster Beverage Corp\* | 2054070 | 208549727 |
|  |  | 302515082 |
| Biotechnology – 1.3% | Biotechnology – 1.3% |  |
| AbbVie Inc | 1864319 | 301292594 |
| Building Products – 0.4% | Building Products – 0.4% |  |
| Trane Technologies PLC | 562589 | 94565585 |
| Capital Markets – 2.6% | Capital Markets – 2.6% |  |
| Charles Schwab Corp | 1289360 | 107352114 |
| CME Group Inc | 852888 | 143421646 |
| Goldman Sachs Group Inc | 352992 | 121210393 |
| Morgan Stanley | 2600379 | 221084223 |
|  |  | 593068376 |
| Chemicals – 0.9% | Chemicals – 0.9% |  |
| Corteva Inc | 2008433 | 118055692 |
| Sherwin-Williams Co | 326731 | 77543068 |
|  |  | 195598760 |
| Consumer Finance – 1.0% | Consumer Finance – 1.0% |  |
| American Express Co | 1541863 | 227810258 |
| Electrical Equipment – 0.3% | Electrical Equipment – 0.3% |  |
| Rockwell Automation Inc | 276544 | 71229438 |
| Electronic Equipment, Instruments & Components – 0.7% | Electronic Equipment, Instruments & Components – 0.7% |  |
| Corning Inc | 1394668 | 44545696 |
| TE Connectivity Ltd | 958267 | 110009052 |
|  |  | 154554748 |
| Entertainment – 0.8% | Entertainment – 0.8% |  |
| Walt Disney Co\* | 1967576 | 170943003 |
| Food & Staples Retailing – 1.2% | Food & Staples Retailing – 1.2% |  |
| Costco Wholesale Corp | 295411 | 134855121 |
| Sysco Corp | 1804725 | 137971226 |
|  |  | 272826347 |
| Food Products – 0.5% | Food Products – 0.5% |  |
| Hershey Co | 524462 | 121449665 |
| Health Care Equipment & Supplies – 2.1% | Health Care Equipment & Supplies – 2.1% |  |
| Abbott Laboratories | 1818191 | 199619190 |
| Edwards Lifesciences Corp\* | 724214 | 54033607 |
| Intuitive Surgical Inc\* | 263071 | 69805890 |
| Medtronic PLC | 700000 | 54404000 |
| Stryker Corp | 393844 | 96290920 |
|  |  | 474153607 |
| Health Care Providers & Services – 2.2% | Health Care Providers & Services – 2.2% |  |
| UnitedHealth Group Inc | 952834 | 505173530 |
| Hotels, Restaurants & Leisure – 3.4% | Hotels, Restaurants & Leisure – 3.4% |  |
| Booking Holdings Inc\* | 49550 | 99857124 |
| Hilton Worldwide Holdings Inc | 1545112 | 195240352 |
| McDonald's Corp | 1034743 | 272685823 |
| Starbucks Corp | 1930981 | 191553315 |
|  |  | 759336614 |
| Household Products – 1.0% | Household Products – 1.0% |  |
| Procter & Gamble Co | 1412598 | 214093353 |

---

------

---

| | | |
|:---|:---|:---|
| *Shares or*<br>*Principal Amounts* | *Shares or*<br>*Principal Amounts* | *Value* |
| Common Stocks– (continued) | Common Stocks– (continued) |  |
| Industrial Conglomerates – 0.8% | Industrial Conglomerates – 0.8% |  |
| Honeywell International Inc | 862953 | $184930828 |
| Information Technology Services – 3.3% | Information Technology Services – 3.3% |  |
| Accenture PLC | 746482 | 199191257 |
| Cognizant Technology Solutions Corp | 1477896 | 84520872 |
| Mastercard Inc | 1332999 | 463523742 |
|  |  | 747235871 |
| Insurance – 1.4% | Insurance – 1.4% |  |
| Progressive Corp/The | 2441516 | 316689040 |
| Interactive Media & Services – 1.9% | Interactive Media & Services – 1.9% |  |
| Alphabet Inc - Class C\* | 4928591 | 437313879 |
| Internet & Direct Marketing Retail – 0.7% | Internet & Direct Marketing Retail – 0.7% |  |
| Amazon.com Inc\* | 1992483 | 167368572 |
| Leisure Products – 0.3% | Leisure Products – 0.3% |  |
| Hasbro Inc | 1093026 | 66685516 |
| Life Sciences Tools & Services – 1.0% | Life Sciences Tools & Services – 1.0% |  |
| Thermo Fisher Scientific Inc | 426243 | 234727758 |
| Machinery – 1.7% | Machinery – 1.7% |  |
| Deere & Co | 709049 | 304011849 |
| Parker-Hannifin Corp | 267226 | 77762766 |
|  |  | 381774615 |
| Media – 1.1% | Media – 1.1% |  |
| Comcast Corp | 6991751 | 244501532 |
| Multiline Retail – 0.9% | Multiline Retail – 0.9% |  |
| Dollar General Corp | 847312 | 208650580 |
| Oil, Gas & Consumable Fuels – 1.2% | Oil, Gas & Consumable Fuels – 1.2% |  |
| Chevron Corp | 231081 | 41476729 |
| ConocoPhillips | 1990117 | 234833806 |
|  |  | 276310535 |
| Personal Products – 0.2% | Personal Products – 0.2% |  |
| Estee Lauder Cos Inc | 166580 | 41330164 |
| Pharmaceuticals – 3.0% | Pharmaceuticals – 3.0% |  |
| Eli Lilly & Co | 883842 | 323344757 |
| Merck & Co Inc | 2372415 | 263219444 |
| Zoetis Inc | 674528 | 98852078 |
|  |  | 685416279 |
| Real Estate Management & Development – 0.3% | Real Estate Management & Development – 0.3% |  |
| CBRE Group Inc\* | 722557 | 55607987 |
| Road & Rail – 0.2% | Road & Rail – 0.2% |  |
| Union Pacific Corp | 241178 | 49940728 |
| Semiconductor & Semiconductor Equipment – 3.4% | Semiconductor & Semiconductor Equipment – 3.4% |  |
| Advanced Micro Devices Inc\* | 1235137 | 79999823 |
| KLA Corp | 241447 | 91032762 |
| Lam Research Corp | 562283 | 236327545 |
| NVIDIA Corp | 1279366 | 186966547 |
| Texas Instruments Inc | 1009070 | 166718545 |
|  |  | 761045222 |
| Software – 4.5% | Software – 4.5% |  |
| Cadence Design Systems Inc\* | 291847 | 46882302 |
| Microsoft Corp | 4086617 | 980052489 |
|  |  | 1026934791 |
| Specialty Retail – 1.9% | Specialty Retail – 1.9% |  |
| Home Depot Inc | 736121 | 232511179 |
| TJX Cos Inc | 2361306 | 187959958 |
|  |  | 420471137 |
| Technology Hardware, Storage & Peripherals – 2.8% | Technology Hardware, Storage & Peripherals – 2.8% |  |
| Apple Inc | 4807611 | 624652897 |
| Textiles, Apparel & Luxury Goods – 1.2% | Textiles, Apparel & Luxury Goods – 1.2% |  |
| NIKE Inc - Class B | 2237455 | 261804610 |
| Total Common Stocks (cost $7,416,470,271) | Total Common Stocks (cost $7,416,470,271) | 12744593925 |
| Investment Companies– 5.1% | Investment Companies– 5.1% |  |
| Money Markets – 5.1% | Money Markets – 5.1% |  |
| Janus Henderson Cash Liquidity Fund LLC, 4.2633%<sup>ºº,£</sup>((cost $1,157,323,406) | 1157231262 | 1157462708 |
| Total Investments (total cost $18,986,318,785) – 104.7% | Total Investments (total cost $18,986,318,785) – 104.7% | 23711716792 |
| Liabilities, net of Cash, Receivables and Other Assets – (4.7)% | Liabilities, net of Cash, Receivables and Other Assets – (4.7)% | (1058906804) |
| Net Assets – 100% | Net Assets – 100% | $22652809988 |

---

------

---

| | | |
|:---|:---|:---|
| ***Summary of Investments by Country - (Long Positions) (unaudited)*** | ***Summary of Investments by Country - (Long Positions) (unaudited)*** | ***Summary of Investments by Country - (Long Positions) (unaudited)*** |
|  |  | *% of* |
|  |  | *Investment* |
| *Country* | *Value* | *Securities* |
| United States | $23443547616 | 98.9% |
| Australia | 74191014 | 0.3 |
| Japan | 40843605 | 0.2 |
| Canada | 40233794 | 0.2 |
| Finland | 30419691 | 0.1 |
| Ireland | 28098212 | 0.1 |
| France | 19897491 | 0.1 |
| United Kingdom | 19209123 | 0.1 |
| Taiwan | 15276246 | 0.0 |

---

---

| | | | |
|:---|:---|:---|:---|
| Total | $23711716792 | 100.0 | % |

---

#### Schedules of Affiliated Investments – (% of Net Assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Dividend*<br>*Income* | *Realized*<br>*Gain/(Loss)* | *Change in*<br>*Unrealized*<br>*Appreciation/* <br>*Depreciation* | *Value*<br>*at 12/31/22* |
| Investment Companies - 5.1% | Investment Companies - 5.1% | Investment Companies - 5.1% | Investment Companies - 5.1% | Investment Companies - 5.1% |
| Money Markets - 5.1% | Money Markets - 5.1% | Money Markets - 5.1% | Money Markets - 5.1% | Money Markets - 5.1% |
| Janus Henderson Cash Liquidity Fund LLC, 4.2633%<sup>ºº</sup> | $11021284 | $553 | $110525 | $1157462708 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Value*<br> *at 9/30/22* | *Purchases* | *Sales Proceeds* | *Value*<br>*at 12/31/22* |
| Investment Companies - 5.1% | Investment Companies - 5.1% | Investment Companies - 5.1% | Investment Companies - 5.1% | Investment Companies - 5.1% |
| Money Markets - 5.1% | Money Markets - 5.1% | Money Markets - 5.1% | Money Markets - 5.1% | Money Markets - 5.1% |
| Janus Henderson Cash Liquidity Fund LLC, 4.2633%<sup>ºº</sup> | 1202737581 | 1491959707 | (1537345658) | 1157462708 |

---

------

#### Schedule of Futures

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of*<br>*Contracts* | *Expiration*<br>*Date* | *Notional*<br>*Amount* | *Value and*<br>*Unrealized*<br>*Appreciation/(Depreciation)* |
| *Futures Long:* |  |  |  |  |
| 10 Year US Treasury Note | 1715 | 3/31/23 | $192589141 | $(1808790) |
| 2 Year US Treasury Note | 5516 | 4/5/23 | 1131210943 | 646409 |
| 5 Year US Treasury Note | 3725 | 4/5/23 | 402038088 | (1117842) |
| Ultra Long Term US Treasury Bond | 1417 | 3/31/23 | 190320813 | (4869358) |
| Total - Futures Long |  |  |  | (7149581) |
| *Futures Short:* |  |  |  |  |
| Ultra 10-Year Treasury Note | 1519 | 3/31/23 | (179669219) | 2266634 |
| Total |  |  |  | $(4882947) |

---

---

| | |
|:---|:---|
| **Average Ending Monthly Value of Derivative Instruments During the Period Ended December 31, 2022** | **Average Ending Monthly Value of Derivative Instruments During the Period Ended December 31, 2022** |
| Futures contracts: |  |
| Average notional amount of contracts - long | $1152687566  |
| Average notional amount of contracts - short | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(264947379) |

---

------

#### Notes to Schedule of Investments (unaudited)

---

| | |
|:---|:---|
| ICE | Intercontinental Exchange |
| LIBOR | London Interbank Offered Rate |
| LLC | Limited Liability Company |
| LP | Limited Partnership |
| PLC | Public Limited Company |
| SOFR | Secured Overnight Financing Rate |
| TBA | (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when specific mortgage pools are assigned. |

---

---

| | |
|:---|:---|
| 144A | Securities sold under Rule 144A of the Securities Act of 1933, as amended, are subject to legal and/or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Unless otherwise noted, these securities have been determined to be liquid under guidelines established by the Board of Trustees. The total value of 144A securities as of the period ended December 31, 2022 is $2,331,801,227, which represents 10.3% of net assets. |

---

<br> \* Non-income producing security.

‡ Variable
or floating rate security. Rate shown is the current rate as of December 31, 2022. Certain variable rate
securities are not based on a published reference rate and spread; they are determined by the issuer
or agent and current market conditions. Reference rate is as of reset date and may vary by security,
which may not indicate a reference rate and/or spread in their description.

<br> ºº Rate shown is the 7-day yield as of December 31, 2022.

<br> µ Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date indicated, if any, represents the next call date.

<br> Ç Step bond. The coupon rate will increase or decrease periodically based upon a predetermined schedule. The rate shown reflects the current rate.

◊ Zero coupon bond.

£The Fund may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control.<br>

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| The following is a summary of the inputs that were used to value the Fund's investments in securities and other financial instruments as of December 31, 2022. | The following is a summary of the inputs that were used to value the Fund's investments in securities and other financial instruments as of December 31, 2022. | The following is a summary of the inputs that were used to value the Fund's investments in securities and other financial instruments as of December 31, 2022. | The following is a summary of the inputs that were used to value the Fund's investments in securities and other financial instruments as of December 31, 2022. | The following is a summary of the inputs that were used to value the Fund's investments in securities and other financial instruments as of December 31, 2022. |
| **Valuation Inputs Summary** | **Valuation Inputs Summary** | **Valuation Inputs Summary** | **Valuation Inputs Summary** | **Valuation Inputs Summary** |
|  |  |  | ***Level 2 -*** | ***Level 3 -*** |
|  |  | ***Level 1 -*** | ***Other Significant*** | ***Significant*** |
|  |  | ***Quoted Prices*** | ***Observable Inputs*** | ***Unobservable Inputs*** |
| **Assets** | **Assets** |  |  |  |
| **Investments In Securities:** | **Investments In Securities:** |  |  |  |
| *Asset-Backed/Commercial Mortgage-Backed Securities* | *Asset-Backed/Commercial Mortgage-Backed Securities* | $- | $1975036557 | $- |
| *Corporate Bonds* | *Corporate Bonds* | - | 1834367156 | - |
| *Mortgage-Backed Securities* | *Mortgage-Backed Securities* | - | 2854737591 | - |
| *United States Treasury Notes/Bonds* | *United States Treasury Notes/Bonds* | - | 3145518855 | - |
| *Common Stocks* | *Common Stocks* | 12744593925 | - | - |
| *Investment Companies* | *Investment Companies* | - | 1157462708 | - |
| Total Investments in Securities | Total Investments in Securities | $12744593925 | $10967122867 | $- |
| **Other Financial Instruments<sup>(a)</sup>:** | **Other Financial Instruments<sup>(a)</sup>:** |  |  |  |
| *Futures Contracts* | *Futures Contracts* | 2913043 | - | - |
| **Total Assets** | **Total Assets** | $12747506968 | $10967122867 | $- |
| **Liabilities** | **Liabilities** |  |  |  |
| **Other Financial Instruments<sup>(a)</sup>:** | **Other Financial Instruments<sup>(a)</sup>:** |  |  |  |
| *Futures Contracts* | *Futures Contracts* | $7795990 | $- | $- |
| (a) | Other financial instruments may include forward foreign currency exchange contracts, futures, written options, written swaptions, and swap contracts. Forward foreign currency exchange contracts, futures contracts, and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Written options and written swaptions are reported at their market value at measurement date. | Other financial instruments may include forward foreign currency exchange contracts, futures, written options, written swaptions, and swap contracts. Forward foreign currency exchange contracts, futures contracts, and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Written options and written swaptions are reported at their market value at measurement date. | Other financial instruments may include forward foreign currency exchange contracts, futures, written options, written swaptions, and swap contracts. Forward foreign currency exchange contracts, futures contracts, and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Written options and written swaptions are reported at their market value at measurement date. | Other financial instruments may include forward foreign currency exchange contracts, futures, written options, written swaptions, and swap contracts. Forward foreign currency exchange contracts, futures contracts, and swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value from trade date. Written options and written swaptions are reported at their market value at measurement date. |

---

------

#### Investment Valuation
Fund holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the "Valuation Procedures"). Equity securities traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are generally valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange ("NYSE"). The Fund will determine the market value of individual securities held by it by using prices provided by one or more approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the Adviser-approved pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a nonvalued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to "odd-lot" fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The valuation policies provide for the use of systematic fair valuation models provided by independent pricing services to value foreign equity securities in order to adjust for stale pricing, which may occur between the close of certain foreign exchanges and the close of the NYSE. The value of the securities of other mutual funds held by a Fund, if any, will be calculated using the NAV of such mutual funds.

#### Valuation Inputs Summary
FASB ASC 820, Fair Value Measurements and Disclosures ("ASC 820"), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:

Level 1 – Unadjusted quoted prices in active markets the Fund has the ability to access for identical assets or liabilities.

Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Fund's Trustees; certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost; and equity securities of foreign issuers whose fair value is determined by using systematic fair valuation models provided by independent third parties in order to adjust for stale pricing which may occur between the close of certain foreign exchanges and the close of the NYSE. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options, and forward contracts.

Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Fund's own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.

There have been no significant changes in valuation techniques used in valuing any such positions held by the Fund since the beginning of the fiscal year.

The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 2022 to fair value the Fund's investments

------

in securities and other financial instruments is included in the "Valuation Inputs Summary" in the Notes to Schedule of Investments.

------

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

125-25-70212 03-23<br>

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JANUS INVESTMENT FUND

- **b. Investment Company Act file number:** 811-01879

- **c. CIK number of Registrant:** 0000277751

- **d. LEI of Registrant:** W6UYDZFUOFJ4HQQ32382

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

  - **Street Address 1:** 151 DETROIT STREET

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

  - **Telephone number:** 3033333863

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

- **a. Name of Series:** Janus Henderson Balanced Fund

- **b. EDGAR series identifier (if any):** S000010464

- **c. LEI of Series:** XRAF81JTHJNG7YJEPJ53

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

- **a. Date of fiscal year-end:** 2023-09-30

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $23799644452.00

**Total Liabilities:** $1146834464.00

**Net Assets:** $22652809988.00

**Cash Not Reported:** $21951046.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -7151.88312 | **1-Year:** -471532.94958 | **5-Year:** -2349268.20188 | **10-Year:** -1965825.69298 | **30-Year:** -614105.46735

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

- **3-Month:** -4351.08485 | **1-Year:** -46138.78946 | **5-Year:** -77663.18257 | **10-Year:** -18001.68153 | **30-Year:** -24.41319

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000077650 | -3.30%               | 4.96%                | 3.93%                |
| Class ID C000077651 | -3.37%               | 4.91%                | 3.83%                |
| Class ID C000083512 | -3.31%               | 4.99%                | 3.94%                |
| Class ID C000077652 | -3.30%               | 4.99%                | 3.94%                |
| Class ID C000114869 | -3.28%               | 5.00%                | 3.94%                |
| Class ID C000077653 | -3.36%               | 4.94%                | 3.87%                |
| Class ID C000077654 | -3.35%               | 4.96%                | 3.90%                |
| Class ID C000028918 | -3.32%               | 4.97%                | 3.92%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $88342325.00             | $-899511831.00                             |
| Month 2  | $-188600121.00           | $1251492862.00                             |
| Month 3  | $-79101650.00            | $926397291.00                              |

**Designated Index Information**

- **Index Name:** Balanced Index (55% SPX / 45% USAGG)

- **Index Identifier:** IX55SPX45USAGG

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Abbott Laboratories            | Abbott Laboratories                                                             | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |    1818191 | NS      | $199619190.00  | 0.88%             |  |  |  | No            |                  1 | On Loan: No      |
| AbbVie Inc                     | AbbVie Inc                                                                      | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |    1864319 | NS      | $301292594.00  | 1.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Advanced Micro Devices Inc     | Advanced Micro Devices Inc                                                      | CUSIP: 007903107<br>LEI: R2I72C950HOYXII45366 | Long             | EC               | CORP              | US        |    1235137 | NS      | $79999823.00   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Alphabet Inc                   | Alphabet Inc - Class C                                                          | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    4928591 | NS      | $437313879.00  | 1.93%             |  |  |  | No            |                  1 | On Loan: No      |
| Amazon.com Inc                 | Amazon.com Inc                                                                  | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |    1992483 | NS      | $167368572.00  | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| American Express Co            | American Express Co                                                             | CUSIP: 025816109<br>LEI: R4PP93JZOLY261QX3811 | Long             | EC               | CORP              | US        |    1541863 | NS      | $227810258.00  | 1.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Apple Inc                      | Apple Inc                                                                       | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |    4807611 | NS      | $624652897.00  | 2.76%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Corp           | Bank of America Corp                                                            | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |    7743967 | NS      | $256480187.00  | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Booking Holdings Inc           | Booking Holdings Inc                                                            | CUSIP: 09857L108<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | EC               | CORP              | US        |      49550 | NS      | $99857124.00   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| CBRE Group Inc                 | CBRE Group Inc                                                                  | CUSIP: 12504L109<br>LEI: 52990016II9MJ2OSWA10 | Long             | EC               | CORP              | US        |     722557 | NS      | $55607987.00   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| CME Group Inc                  | CME Group Inc                                                                   | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |     852888 | NS      | $143421646.00  | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Cadence Design Systems Inc     | Cadence Design Systems Inc                                                      | CUSIP: 127387108<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | EC               | CORP              | US        |     291847 | NS      | $46882302.00   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Chevron Corp                   | Chevron Corp                                                                    | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     231081 | NS      | $41476729.00   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Cognizant Technology Solutions | Cognizant Technology Solutions Corp                                             | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |    1477896 | NS      | $84520872.00   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Comcast Corp                   | Comcast Corp                                                                    | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |    6991751 | NS      | $244501532.00  | 1.08%             |  |  |  | No            |                  1 | On Loan: No      |
| ConocoPhillips                 | ConocoPhillips                                                                  | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |    1990117 | NS      | $234833806.00  | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Constellation Brands Inc       | Constellation Brands Inc                                                        | CUSIP: 21036P108<br>LEI: 5493005GKEG8QCVY7037 | Long             | EC               | CORP              | US        |     405460 | NS      | $93965355.00   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Corning Inc                    | Corning Inc                                                                     | CUSIP: 219350105<br>LEI: 549300X2937PB0CJ7I56 | Long             | EC               | CORP              | US        |    1394668 | NS      | $44545696.00   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Corteva Inc                    | Corteva Inc                                                                     | CUSIP: 22052L104<br>LEI: 549300WZN9I2QKLS0O94 | Long             | EC               | CORP              | US        |    2008433 | NS      | $118055692.00  | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Costco Wholesale Corp          | Costco Wholesale Corp                                                           | CUSIP: 22160K105<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | EC               | CORP              | US        |     295411 | NS      | $134855121.00  | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| Deere & Co                     | Deere & Co                                                                      | CUSIP: 244199105<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | EC               | CORP              | US        |     709049 | NS      | $304011849.00  | 1.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Walt Disney Co/The             | Walt Disney Co                                                                  | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |    1967576 | NS      | $170943003.00  | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| Dollar General Corp            | Dollar General Corp                                                             | CUSIP: 256677105<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | EC               | CORP              | US        |     847312 | NS      | $208650580.00  | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Edwards Lifesciences Corp      | Edwards Lifesciences Corp                                                       | CUSIP: 28176E108<br>LEI: YA13X31F3V31L8TMPR58 | Long             | EC               | CORP              | US        |     724214 | NS      | $54033607.00   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| General Dynamics Corp          | General Dynamics Corp                                                           | CUSIP: 369550108<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | EC               | CORP              | US        |     751538 | NS      | $186464093.00  | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Group Inc/The    | Goldman Sachs Group Inc                                                         | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |     352992 | NS      | $121210393.00  | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Hasbro Inc                     | Hasbro Inc                                                                      | CUSIP: 418056107<br>LEI: 549300NUB6D2R1ITYR45 | Long             | EC               | CORP              | US        |    1093026 | NS      | $66685516.00   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Hershey Co/The                 | Hershey Co                                                                      | CUSIP: 427866108<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | EC               | CORP              | US        |     524462 | NS      | $121449665.00  | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Hilton Worldwide Holdings Inc  | Hilton Worldwide Holdings Inc                                                   | CUSIP: 43300A203<br>LEI: 549300HVGPK36ICB0B89 | Long             | EC               | CORP              | US        |    1545112 | NS      | $195240352.00  | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| Home Depot Inc/The             | HOME DEPOT INC                                                                  | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |     736121 | NS      | $232511179.00  | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Honeywell International Inc    | Honeywell International Inc                                                     | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |     862953 | NS      | $184930828.00  | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Intuitive Surgical Inc         | Intuitive Surgical Inc                                                          | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |     263071 | NS      | $69805890.00   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase & Co            | JPMorgan Chase & Co                                                             | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |    1874957 | NS      | $251431734.00  | 1.11%             |  |  |  | No            |                  1 | On Loan: No      |
| KLA Corp                       | KLA Corp                                                                        | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |     241447 | NS      | $91032762.00   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| L3Harris Technologies Inc      | L3Harris Technologies Inc                                                       | CUSIP: 502431109<br>LEI: 549300UTE50ZMDBG8A20 | Long             | EC               | CORP              | US        |     438904 | NS      | $91384202.00   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Lam Research Corp              | LAM RESEARCH CORP                                                               | CUSIP: 512807108<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |     562283 | NS      | $236327545.00  | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Estee Lauder Cos Inc/The       | Estee Lauder Cos Inc                                                            | CUSIP: 518439104<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | EC               | CORP              | US        |     166580 | NS      | $41330164.00   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Eli Lilly & Co                 | Eli Lilly & Co                                                                  | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |     883842 | NS      | $323344757.00  | 1.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Mastercard Inc                 | Mastercard Inc                                                                  | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |    1332999 | NS      | $463523742.00  | 2.05%             |  |  |  | No            |                  1 | On Loan: No      |
| McDonald's Corp                | McDonald's Corp                                                                 | CUSIP: 580135101<br>LEI: UE2136O97NLB5BYP9H04 | Long             | EC               | CORP              | US        |    1034743 | NS      | $272685823.00  | 1.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Merck & Co Inc                 | Merck & Co Inc                                                                  | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |    2372415 | NS      | $263219444.00  | 1.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Microsoft Corp                 | MICROSOFT CORP                                                                  | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    4086617 | NS      | $980052489.00  | 4.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Monster Beverage Corp          | Monster Beverage Corp                                                           | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |    2054070 | NS      | $208549727.00  | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                 | Morgan Stanley                                                                  | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |    2600379 | NS      | $221084223.00  | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| NIKE Inc                       | NIKE Inc - Class B                                                              | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |    2237455 | NS      | $261804610.00  | 1.16%             |  |  |  | No            |                  1 | On Loan: No      |
| NVIDIA Corp                    | NVIDIA Corp                                                                     | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |    1279366 | NS      | $186966547.00  | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Parker-Hannifin Corp           | Parker-Hannifin Corp                                                            | CUSIP: 701094104<br>LEI: 5493002CONDB4N2HKI23 | Long             | EC               | CORP              | US        |     267226 | NS      | $77762766.00   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Procter & Gamble Co/The        | Procter & Gamble Co                                                             | CUSIP: 742718109<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | EC               | CORP              | US        |    1412598 | NS      | $214093353.00  | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Progressive Corp/The           | Progressive Corp/The                                                            | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |    2441516 | NS      | $316689040.00  | 1.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Reach Financial LLC            | Reach Financial LLC 2022-2A A                                                   | CUSIP: 75526GAA9<br>LEI: 5967007LIEEXZXK7FS45 | Long             | EC               | CORP              | US        |    6416977 | PA      | $6403752.00    | 0.03%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Rockwell Automation Inc        | Rockwell Automation Inc                                                         | CUSIP: 773903109<br>LEI: VH3R4HHBHH12O0EXZJ88 | Long             | EC               | CORP              | US        |     276544 | NS      | $71229438.00   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Charles Schwab Corp/The        | Charles Schwab Corp                                                             | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |    1289360 | NS      | $107352114.00  | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Sherwin-Williams Co/The        | Sherwin-Williams Co                                                             | CUSIP: 824348106<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | EC               | CORP              | US        |     326731 | NS      | $77543068.00   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Starbucks Corp                 | Starbucks Corp                                                                  | CUSIP: 855244109<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | EC               | CORP              | US        |    1930981 | NS      | $191553315.00  | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| Stryker Corp                   | Stryker Corp                                                                    | CUSIP: 863667101<br>LEI: 5493002F0SC4JTBU5137 | Long             | EC               | CORP              | US        |     393844 | NS      | $96290920.00   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Sysco Corp                     | Sysco Corp                                                                      | CUSIP: 871829107<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | EC               | CORP              | US        |    1804725 | NS      | $137971226.00  | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| TJX Cos Inc/The                | TJX Cos Inc                                                                     | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |    2361306 | NS      | $187959958.00  | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| Texas Instruments Inc          | TEXAS INSTRUMENTS INC                                                           | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |    1009070 | NS      | $166718545.00  | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Thermo Fisher Scientific Inc   | THERMO FISHER SCIENTIFIC INC                                                    | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |     426243 | NS      | $234727758.00  | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Janus Capital Group Inc        | Janus Henderson Cash Liquidity Fund                                             | CUSIP: N/A<br>LEI: 8T2ZO87FU1KVPZIG9I59       | Long             | EC               | PF                | US        | 1157231262 | NS      | $1157462708.00 | 5.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Union Pacific Corp             | Union Pacific Corp                                                              | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |     241178 | NS      | $49940728.00   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| United Parcel Service Inc      | United Parcel Service Inc                                                       | CUSIP: 911312106<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | EC               | CORP              | US        |    1765015 | NS      | $306830208.00  | 1.35%             |  |  |  | No            |                  1 | On Loan: No      |
| UnitedHealth Group Inc         | UnitedHealth Group Inc                                                          | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |     952834 | NS      | $505173530.00  | 2.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Zoetis Inc                     | Zoetis Inc                                                                      | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | EC               | CORP              | US        |     674528 | NS      | $98852078.00   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Accenture PLC                  | Accenture PLC                                                                   | CUSIP: G1151C101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     746482 | NS      | $199191257.00  | 0.88%             |  |  |  | No            |                  1 | On Loan: No      |
| Medtronic PLC                  | Medtronic PLC                                                                   | CUSIP: G5960L103<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | US        |     700000 | NS      | $54404000.00   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Trane Technologies PLC         | TRANE TECHNOLOGIES PLC                                                          | CUSIP: G8994E103<br>LEI: 549300BURLR9SLYY2705 | Long             | EC               | CORP              | US        |     562589 | NS      | $94565585.00   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| TE Connectivity Ltd            | TE CONNECTIVITY LTD                                                             | CUSIP: H84989104<br>LEI: 894500ZRIX9K13RHXR17 | Long             | EC               | CORP              | US        |     958267 | NS      | $110009052.00  | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T INC                       | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    2171000 | PA      | $1453117.00    | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                       | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   13125000 | PA      | $9055375.00    | 0.04%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AGREE LP                       | Agree LP                                                                        | CUSIP: 008513AA1<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |    7437000 | PA      | $6037258.00    | 0.03%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AGREE LP                       | Agree LP                                                                        | CUSIP: 008513AB9<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |   11528000 | PA      | $9439485.00    | 0.04%             | 2028-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AGREE LP                       | Agree LP                                                                        | CUSIP: 008513AC7<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |    8647000 | PA      | $6508362.00    | 0.03%             | 2033-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                 | Air Lease Corp                                                                  | CUSIP: 00914AAG7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    8657000 | PA      | $7219705.00    | 0.03%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                 | Air Lease Corp                                                                  | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   17148000 | PA      | $14893681.00   | 0.07%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO            | American Express Co                                                             | CUSIP: 025816CX5<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   19419000 | PA      | $18665734.00   | 0.08%             | 2033-05-26      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC             | Analog Devices Inc                                                              | CUSIP: 032654AS4<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |   10074000 | PA      | $9689116.00    | 0.04%             | 2025-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP              | Ares Capital Corp                                                               | CUSIP: 04010LBD4<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   17055000 | PA      | $14454493.00   | 0.06%             | 2027-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING          | Athene Global Funding                                                           | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   32528000 | PA      | $24849912.00   | 0.11%             | 2031-10-04      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING          | Athene Global Funding                                                           | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   21681000 | PA      | $17903112.00   | 0.08%             | 2029-01-07      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 060505ED2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    7250000 | PA      | $7025261.00    | 0.03%             | 2099-12-31      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | BANK OF AMERICA CORP                                                            | CUSIP: 060505EH3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   21700000 | PA      | $20839831.00   | 0.09%             | 2099-12-31      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   12653000 | PA      | $11709003.00   | 0.05%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   11944000 | PA      | $11021025.00   | 0.05%             | 2029-03-05      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   25685000 | PA      | $20918787.00   | 0.09%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   25438000 | PA      | $21405926.00   | 0.09%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   31762000 | PA      | $30374730.00   | 0.13%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   29671000 | PA      | $30634468.00   | 0.14%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC              | Brown & Brown Inc                                                               | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    6426000 | PA      | $5571097.00    | 0.03%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC              | Brown & Brown Inc                                                               | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   18886000 | PA      | $15330218.00   | 0.07%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                   | Centene Corp                                                                    | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   53971000 | PA      | $50617415.00   | 0.22%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                   | Centene Corp                                                                    | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   18048000 | PA      | $14794834.00   | 0.07%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                   | Centene Corp                                                                    | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   16998000 | PA      | $14347162.00   | 0.06%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP       | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BA1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    3584000 | PA      | $3231958.00    | 0.01%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                   | CUSIP: 172967GR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    8824000 | PA      | $8598142.00    | 0.04%             | 2099-12-31      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                   | CUSIP: 172967HQ7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2012000 | PA      | $1897819.00    | 0.01%             | 2099-12-31      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                   | CUSIP: 172967JM4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    8361000 | PA      | $7530753.00    | 0.03%             | 2099-12-31      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                   | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   36115000 | PA      | $33748307.00   | 0.15%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                   | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   24901000 | PA      | $22866504.00   | 0.10%             | 2031-03-31      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                   | Comcast Corp                                                                    | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    6795000 | PA      | $5604005.00    | 0.03%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC               | CoStar Group Inc                                                                | CUSIP: 22160NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12054000 | PA      | $9844377.00    | 0.04%             | 2030-07-15      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| DUKE ENERGY CORP               | Duke Energy Corp                                                                | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   15581000 | PA      | $14992407.00   | 0.07%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS        | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |   16995000 | PA      | $13292979.00   | 0.06%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| EQT CORP                       | EQT Corp                                                                        | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   17974000 | PA      | $17886637.00   | 0.08%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| EQT CORP                       | EQT CORP                                                                        | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    7749000 | PA      | $7707362.00    | 0.03%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP             | Energy Transfer LP                                                              | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   14575000 | PA      | $14457380.00   | 0.06%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP             | Energy Transfer LP                                                              | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   14579000 | PA      | $14263510.00   | 0.06%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP             | Energy Transfer Operating LP                                                    | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     626000 | PA      | $605333.00     | 0.00%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                    | Equinix Inc                                                                     | CUSIP: 29444UBH8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    9552000 | PA      | $7598991.00    | 0.03%             | 2030-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FIRST REPUBLIC BANK            | First Republic Bank/CA                                                          | CUSIP: 33616CAC4<br>LEI: YWC0TIKBQM2JV8L4IV08 | Long             | DBT              | CORP              | US        |    5767000 | PA      | $4475190.00    | 0.02%             | 2047-02-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FOX CORP                       | Fox Corp                                                                        | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    8690000 | PA      | $8589224.00    | 0.04%             | 2024-01-25      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II        | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AH2<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |    9419000 | PA      | $9240671.00    | 0.04%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II        | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |    1226000 | PA      | $1160213.00    | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC              | GXO Logistics Inc                                                               | CUSIP: 36262GAB7<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |   14940000 | PA      | $12791286.00   | 0.06%             | 2026-07-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC              | GXO Logistics Inc                                                               | CUSIP: 36262GAD3<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |    2271000 | PA      | $1676794.00    | 0.01%             | 2031-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE        | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   10875000 | PA      | $10124144.00   | 0.04%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE        | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    5546000 | PA      | $4987164.00    | 0.02%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC         | GEHC 5.65 11/15/27 144A                                                         | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   22545000 | PA      | $22808788.00   | 0.10%             | 2027-11-15      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC         | GEHC 5.857 03/15/30 144A                                                        | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   26924000 | PA      | $27552991.00   | 0.12%             | 2030-03-15      | Fixed         | 5.86%                 | Yes           |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC         | GEHC 5.905 11/22/32 144A                                                        | CUSIP: 36267VAJ2<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   38592000 | PA      | $39988963.00   | 0.18%             | 2032-11-22      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP          | GENERAL DYNAMICS CORP                                                           | CUSIP: 369550BL1<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    7372000 | PA      | $7043160.00    | 0.03%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC            | Global Payments Inc                                                             | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   11282000 | PA      | $9841867.00    | 0.04%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC            | Global Payments Inc                                                             | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   16923000 | PA      | $13344942.00   | 0.06%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC            | Global Payments Inc                                                             | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   20156000 | PA      | $19486226.00   | 0.09%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC            | Global Payments Inc                                                             | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    9144000 | PA      | $8708293.00    | 0.04%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc                                                         | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   39166000 | PA      | $37663686.00   | 0.17%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                        | HCA Inc                                                                         | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    4146000 | PA      | $4172162.00    | 0.02%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HCA INC                        | HCA Inc                                                                         | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    6941000 | PA      | $6919313.00    | 0.03%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HCA INC                        | HCA Inc                                                                         | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3180000 | PA      | $3144629.00    | 0.01%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HCA INC                        | HCA Inc                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    9208000 | PA      | $9155812.00    | 0.04%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                     | Hasbro Inc                                                                      | CUSIP: 418056AS6<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    7010000 | PA      | $6786630.00    | 0.03%             | 2040-03-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                     | Hasbro Inc                                                                      | CUSIP: 418056AU1<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |   10090000 | PA      | $8589596.00    | 0.04%             | 2044-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                     | Hasbro Inc                                                                      | CUSIP: 418056AZ0<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |   35072000 | PA      | $31167936.00   | 0.14%             | 2029-11-19      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION       | Hess Midstream Operations LP                                                    | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11121000 | PA      | $10283551.00   | 0.04%             | 2028-06-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| ILLUMINA INC                   | Illumina Inc                                                                    | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   11709000 | PA      | $11788564.00   | 0.05%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE           | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                          | CUSIP: 46590XAD8<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | CORP              | N/A       |   13810000 | PA      | $10590208.00   | 0.05%             | 2032-05-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   22144000 | PA      | $18245676.00   | 0.08%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   36264000 | PA      | $29515350.00   | 0.13%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   17992000 | PA      | $16928030.00   | 0.07%             | 2030-06-14      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   39262000 | PA      | $38321811.00   | 0.17%             | 2033-09-14      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 48128BAF8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7243000 | PA      | $6626843.00    | 0.03%             | 2099-12-31      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 48128BAG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7646000 | PA      | $6738038.00    | 0.03%             | 2099-12-31      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| MSCI INC                       | MSCI Inc                                                                        | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    1532000 | PA      | $1334425.00    | 0.01%             | 2029-11-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| MSCI INC                       | MSCI Inc                                                                        | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   25762000 | PA      | $21414662.00   | 0.10%             | 2030-09-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| MSCI INC                       | MSCI Inc                                                                        | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   21571000 | PA      | $17934669.00   | 0.08%             | 2031-02-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC         | Marvell Technology Inc                                                          | CUSIP: 573874AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13225000 | PA      | $11680483.00   | 0.05%             | 2026-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC         | Marvell Technology Inc                                                          | CUSIP: 573874AN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14717000 | PA      | $14027020.00   | 0.06%             | 2028-06-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC       | Microchip Technology Inc                                                        | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   23076000 | PA      | $22645754.00   | 0.10%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL         | Mondelez International Inc                                                      | CUSIP: 609207AT2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    1182000 | PA      | $1018829.00    | 0.00%             | 2030-04-13      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   14618000 | PA      | $14183006.00   | 0.06%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   24836000 | PA      | $23079233.00   | 0.10%             | 2026-04-28      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   20010000 | PA      | $15038722.00   | 0.07%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   31595000 | PA      | $24239494.00   | 0.11%             | 2032-07-21      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   33616000 | PA      | $24376012.00   | 0.11%             | 2036-09-16      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   39331000 | PA      | $31817926.00   | 0.14%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   11537000 | PA      | $10120654.00   | 0.04%             | 2027-05-04      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                 | NRG Energy Inc                                                                  | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   17426000 | PA      | $14056160.00   | 0.06%             | 2029-02-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR       | ORCINC 4.7 02/08/27 *                                                           | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    2729000 | PA      | $2460763.00    | 0.01%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR       | ORCINC 7.75 09/16/27                                                            | CUSIP: 69120VAN1<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |   16398000 | PA      | $16344943.00   | 0.07%             | 2027-09-16      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC       | Prudential Financial Inc                                                        | CUSIP: 744320BH4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   27945000 | PA      | $23582506.00   | 0.10%             | 2050-10-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC       | Quicken Loans LLC                                                               | CUSIP: 74841CAA9<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |   11261000 | PA      | $8923645.00    | 0.04%             | 2029-03-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC       | Quicken Loans LLC                                                               | CUSIP: 74841CAB7<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |   12708000 | PA      | $9699704.00    | 0.04%             | 2031-03-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| RELIANCE STEEL & ALUM          | Reliance Steel & Aluminum Co                                                    | CUSIP: 759509AE2<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |    7932000 | PA      | $7930615.00    | 0.04%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC       | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                             | CUSIP: 77313LAA1<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |   12331000 | PA      | $10569669.00   | 0.05%             | 2026-10-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC       | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                             | CUSIP: 77313LAB9<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |   14597000 | PA      | $10901915.00   | 0.05%             | 2033-10-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP            | SVB Financial Group                                                             | CUSIP: 78486QAG6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   23100000 | PA      | $13220622.00   | 0.06%             | 2099-12-31      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP            | SVB Financial Group                                                             | CUSIP: 78486QAJ0<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    4710000 | PA      | $3108694.00    | 0.01%             | 2099-12-31      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP            | SVB Financial Group                                                             | CUSIP: 78486QAP6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   36492000 | PA      | $23940530.00   | 0.11%             | 2099-12-31      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP            | Charles Schwab Corp                                                             | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   10811000 | PA      | $8621232.00    | 0.04%             | 2099-12-31      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO         | Southwestern Energy Co                                                          | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |   12491000 | PA      | $10674684.00   | 0.05%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP        | Sun Communities Operating LP                                                    | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   21657000 | PA      | $17094308.00   | 0.07%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP              | TSMC Arizona Corp                                                               | CUSIP: 872898AF8<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |   15891000 | PA      | $15276246.00   | 0.07%             | 2027-04-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC            | Total System Services Inc                                                       | CUSIP: 891906AC3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   11686000 | PA      | $11370302.00   | 0.05%             | 2026-04-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| TRIMBLE INC                    | Trimble Inc                                                                     | CUSIP: 896239AA8<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |   18923000 | PA      | $18705846.00   | 0.08%             | 2024-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TRIMBLE INC                    | Trimble Inc                                                                     | CUSIP: 896239AC4<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |   11312000 | PA      | $10846187.00   | 0.05%             | 2028-06-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| US BANCORP                     | US Bancorp                                                                      | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   20457000 | PA      | $15567198.00   | 0.07%             | 2036-11-03      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| US BANCORP                     | US Bancorp                                                                      | CUSIP: 91159HJG6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    5612000 | PA      | $5324546.00    | 0.02%             | 2033-07-22      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   70057000 | PA      | $53489614.00   | 0.24%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  356406000 | PA      | $293645131.00  | 1.30%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  627683000 | PA      | $614627811.00  | 2.71%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  117038600 | PA      | $104132351.00  | 0.46%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  164071000 | PA      | $146670501.00  | 0.65%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  235686000 | PA      | $210754840.00  | 0.93%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  119582000 | PA      | $102102474.00  | 0.45%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  220895400 | PA      | $221723758.00  | 0.98%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  381202100 | PA      | $380115079.00  | 1.68%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  126335800 | PA      | $126799690.00  | 0.56%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  514057800 | PA      | $524579921.00  | 2.32%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33630000 | PA      | $33832305.00   | 0.15%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  109129000 | PA      | $108395790.00  | 0.48%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  225972300 | PA      | $224736514.00  | 0.99%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC         | UnitedHealth Group Inc                                                          | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   10004000 | PA      | $10226397.00   | 0.04%             | 2028-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                    | Workday Inc                                                                     | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    8410000 | PA      | $7859726.00    | 0.04%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAR6<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |   18600000 | PA      | $17274993.00   | 0.08%             | 2027-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |   12919000 | PA      | $10823219.00   | 0.05%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL               | BMO V3.088 01/10/37                                                             | CUSIP: 06368DH72<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   53212000 | PA      | $40233794.00   | 0.18%             | 2037-01-10      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                    | BNP Paribas SA                                                                  | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   12805000 | PA      | $11262029.00   | 0.05%             | 2028-01-20      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS                    | BNP Paribas SA                                                                  | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   10937000 | PA      | $8635462.00    | 0.04%             | 2033-01-20      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| CSL FINANCE PLC                | CSLAU 3.85 04/27/27 144A                                                        | CUSIP: 12661PAA7<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    6306000 | PA      | $6032497.00    | 0.03%             | 2027-04-27      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| CSL FINANCE PLC                | CSLAU 4.05 04/27/29 144A                                                        | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |   12756000 | PA      | $12023000.00   | 0.05%             | 2029-04-27      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST         | Commonwealth Bank of Australia                                                  | CUSIP: 202712BS3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   22906000 | PA      | $18881033.00   | 0.08%             | 2032-03-14      | Fixed         | 3.78%                 | Yes           |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC             | Diageo Capital PLC                                                              | CUSIP: 25243YBC2<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |   11362000 | PA      | $10417854.00   | 0.05%             | 2025-09-29      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC             | Diageo Capital PLC                                                              | CUSIP: 25243YBD0<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |   10703000 | PA      | $8791269.00    | 0.04%             | 2030-04-29      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE           | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                          | CUSIP: 46590XAB2<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | CORP              | N/A       |   19216000 | PA      | $18284408.00   | 0.08%             | 2030-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE           | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                          | CUSIP: 46590XAT3<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | CORP              | N/A       |    9318000 | PA      | $7547580.00    | 0.03%             | 2032-01-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP         | MUFG V4.788 07/18/25                                                            | CUSIP: 606822CH5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   15834000 | PA      | $15676176.00   | 0.07%             | 2025-07-18      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP         | MUFG V5.017 07/20/28                                                            | CUSIP: 606822CL6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   25783000 | PA      | $25167429.00   | 0.11%             | 2028-07-20      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK        | National Australia Bank Ltd                                                     | CUSIP: 632525AY7<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   28726000 | PA      | $22485979.00   | 0.10%             | 2031-05-21      | Fixed         | 2.99%                 | Yes           |                  2 | On Loan: No      |
| NORDEA BANK ABP                | Nordea Bank Abp                                                                 | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   30280000 | PA      | $30419691.00   | 0.13%             | 2027-09-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC             | Royalty Pharma PLC                                                              | CUSIP: 78081BAM5<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   14211000 | PA      | $9081589.00    | 0.04%             | 2050-09-02      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP           | Westpac Banking Corp                                                            | CUSIP: 961214EP4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   19870000 | PA      | $14768505.00   | 0.07%             | 2035-11-15      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47739539 | PA      | $42472101.00   | 0.19%             | 2037-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F022410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28461400 | PA      | $26056269.00   | 0.12%             | 2037-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5395808 | PA      | $4563796.00    | 0.02%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F030413<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4361241 | PA      | $4084494.00    | 0.02%             | 2037-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  104533452 | PA      | $91659739.00   | 0.41%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  272873070 | PA      | $247700802.00  | 1.09%             | 2052-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33833000 | PA      | $31714242.00   | 0.14%             | 2052-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46089952 | PA      | $44364068.00   | 0.20%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  146246723 | PA      | $144065161.00  | 0.64%             | 2052-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  128939260 | PA      | $129283528.00  | 0.57%             | 2052-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | Barclays Commercial Mortgage Securities LLC 2015-SRCH                           | CUSIP: 05547HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8386000 | PA      | $7805545.00    | 0.03%             | 2035-08-10      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2 | BX Commercial Mortgage Trust 2019-XL                                            | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20264599 | PA      | $20014464.00   | 0.09%             | 2036-10-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2 | BX Commercial Mortgage Trust 2019-XL                                            | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6531400 | PA      | $6411256.00    | 0.03%             | 2036-10-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| BX Trust 2019-OC11             | BX Commercial Mortgage Trust 2019-OC11                                          | CUSIP: 05606FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4134000 | PA      | $3399026.00    | 0.01%             | 2041-12-09      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| BX Trust 2019-OC11             | BX Commercial Mortgage Trust 2019-OC11                                          | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8218000 | PA      | $6789772.00    | 0.03%             | 2041-12-09      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                      | BXP Trust 2017-GM                                                               | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4190000 | PA      | $3685645.00    | 0.02%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R09 2M1                                | CUSIP: 20753DAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21667734 | PA      | $21517608.00   | 0.10%             | 2042-09-25      | Floating      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2019-R03                                    | CUSIP: 20753MAF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     760467 | PA      | $758323.00     | 0.00%             | 2031-09-25      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2019-R07                                    | CUSIP: 20753WAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1011601 | PA      | $1008863.00    | 0.00%             | 2039-10-25      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  148691910 | PA      | $128432340.00  | 0.57%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   60543177 | PA      | $55519365.00   | 0.24%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   83118031 | PA      | $78567485.00   | 0.35%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   81037738 | PA      | $78528891.00   | 0.35%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2635001 | PA      | $2495100.00    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131XDAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1284987 | PA      | $1216763.00    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131XDCW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     858897 | PA      | $805153.00     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1750474 | PA      | $1657535.00    | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131XUSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2015716 | PA      | $1882501.00    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131XXYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3782800 | PA      | $3497627.00    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y04D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2292210 | PA      | $2185010.00    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y06M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2317247 | PA      | $2230601.00    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y0KU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2226578 | PA      | $2074594.00    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y0QS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104311 | PA      | $102129.00     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y0TA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2476370 | PA      | $2394515.00    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y16T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     611451 | PA      | $598660.00     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y1D80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4077444 | PA      | $3886755.00    | 0.02%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y2YX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111405 | PA      | $111316.00     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y4LZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     224976 | PA      | $201029.00     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y6P45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     644847 | PA      | $603317.00     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y6V71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1433958 | PA      | $1340928.00    | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y8MN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2156766 | PA      | $2130673.00    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 31329L6U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     577895 | PA      | $540677.00     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 31329L6W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     591171 | PA      | $553098.00     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     429406 | PA      | $420011.00     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132A4C89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3298555 | PA      | $3457357.00    | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132A5AL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7001620 | PA      | $6340591.00    | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132A5DB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2744608 | PA      | $2480325.00    | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11577851 | PA      | $10968989.00   | 0.05%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ACLS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10621367 | PA      | $9932288.00    | 0.04%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ACSU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     460995 | PA      | $431159.00     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ACSX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6333246 | PA      | $5920729.00    | 0.03%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ADHW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     931366 | PA      | $921186.00     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ADJC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1783698 | PA      | $1667977.00    | 0.01%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ADJL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23257 | PA      | $22381.00      | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ADME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     501244 | PA      | $457778.00     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     558453 | PA      | $532336.00     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1065066 | PA      | $1026731.00    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132CWBH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11990865 | PA      | $11171829.00   | 0.05%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac                                                                     | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3791492 | PA      | $3489727.00    | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DN2L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13320582 | PA      | $13020957.00   | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNFY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17779655 | PA      | $16344756.00   | 0.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11012255 | PA      | $10584802.00   | 0.05%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNHN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17334183 | PA      | $14888333.00   | 0.07%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20082903 | PA      | $19662783.00   | 0.09%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNP49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6869886 | PA      | $6448220.00    | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   64745877 | PA      | $59480361.00   | 0.26%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNQJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15339092 | PA      | $15415040.00   | 0.07%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2002406 | PA      | $1904654.00    | 0.01%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6779047 | PA      | $6462012.00    | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DPCD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43141768 | PA      | $43928836.00   | 0.19%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     642390 | PA      | $628335.00     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15602657 | PA      | $13392534.00   | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7F41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     810768 | PA      | $759291.00     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 31334WZG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1221743 | PA      | $1096538.00    | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 31334YMG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1153122 | PA      | $1023860.00    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133A0G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1142586 | PA      | $1014506.00    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133A3FP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     602569 | PA      | $548995.00     | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133A73R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1177317 | PA      | $1015618.00    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133A9JV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     419458 | PA      | $361717.00     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133A9WN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2218792 | PA      | $1912676.00    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B2LX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2769048 | PA      | $2370833.00    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B3XQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4503342 | PA      | $3860349.00    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B42A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6503839 | PA      | $5559599.00    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B4H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3668253 | PA      | $3248192.00    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B4H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2771446 | PA      | $2462095.00    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B6F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     970916 | PA      | $829230.00     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1353056 | PA      | $1236559.00    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B7FX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3859890 | PA      | $3427696.00    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     303758 | PA      | $292645.00     | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B9MB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4165674 | PA      | $3809417.00    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BAFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4001188 | PA      | $3658999.00    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1185389 | PA      | $1083182.00    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BGBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6028147 | PA      | $5655601.00    | 0.03%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BGQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14861289 | PA      | $14326046.00   | 0.06%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9903685 | PA      | $10041322.00   | 0.04%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BPL22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     373976 | PA      | $373226.00     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BPUK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   12354974 | PA      | $12330182.00   | 0.05%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BPV54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   19039483 | PA      | $19001277.00   | 0.08%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133G62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1375782 | PA      | $1296845.00    | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133G62T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2987039 | PA      | $2815652.00    | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133G7BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     940903 | PA      | $866017.00     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    3807556 | PA      | $3724253.00    | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     653536 | PA      | $639238.00     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    3336437 | PA      | $3263441.00    | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    2268534 | PA      | $2218902.00    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133KPUC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   68386596 | PA      | $65923590.00   | 0.29%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133KPUD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29098416 | PA      | $28102896.00   | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133SKBZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7849126 | PA      | $7548014.00    | 0.03%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6973402 | PA      | $6647277.00    | 0.03%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 31346YPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1375095 | PA      | $1220951.00    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                               | CUSIP: 3136B1N26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7974600 | PA      | $7194477.00    | 0.03%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                               | CUSIP: 3136B6B77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10501743 | PA      | $9323099.00    | 0.04%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31374TCT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33809 | PA      | $35050.00      | 0.00%             | 2028-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3138ENRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2885079 | PA      | $2878252.00    | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3138ENS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125770 | PA      | $127250.00     | 0.00%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3138EPHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4415823 | PA      | $4405375.00    | 0.02%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1179097 | PA      | $1167073.00    | 0.01%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3138EQFX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2284977 | PA      | $2260023.00    | 0.01%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3138WHND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2974270 | PA      | $2781669.00    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3138WQJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1546060 | PA      | $1400105.00    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140E9H66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253399 | PA      | $227565.00     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140FXEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10715055 | PA      | $9971308.00    | 0.04%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200144 | PA      | $178259.00     | 0.00%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10863416 | PA      | $9676191.00    | 0.04%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140GQDG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429860 | PA      | $404741.00     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140GSKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     968538 | PA      | $895537.00     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140H6B57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2843531 | PA      | $2654512.00    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140H6CC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9525204 | PA      | $9231448.00    | 0.04%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140H6CD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3523097 | PA      | $3398028.00    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140H6W88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     421503 | PA      | $396076.00     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140HAMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3396320 | PA      | $3015625.00    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140HBFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2681434 | PA      | $2679300.00    | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140HFFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2742752 | PA      | $2652087.00    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140HGGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2405356 | PA      | $2074243.00    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140HGR90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118510 | PA      | $116031.00     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140HPR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2092471 | PA      | $2007961.00    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140J73V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5177917 | PA      | $5125114.00    | 0.02%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140J7UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271979 | PA      | $256086.00     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140J8K28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5214592 | PA      | $4724690.00    | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43644487 | PA      | $39524239.00   | 0.17%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                | Fannie Mae Pool                                                                 | CUSIP: 3140JB2B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17265737 | PA      | $16619826.00   | 0.07%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140JGAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67080 | PA      | $65677.00      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     987343 | PA      | $941165.00     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140JMBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1436989 | PA      | $1369782.00    | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     689120 | PA      | $622158.00     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140JXSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1272798 | PA      | $1199813.00    | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140JYSB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1854900 | PA      | $1646983.00    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140K0HB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     926577 | PA      | $852844.00     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     569180 | PA      | $536542.00     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     541044 | PA      | $510019.00     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140LQQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2507816 | PA      | $2140596.00    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MAYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8935382 | PA      | $8211441.00    | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MGJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     813519 | PA      | $696255.00     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MGJK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2356382 | PA      | $2012618.00    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MHTA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13857619 | PA      | $12266460.00   | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2054391 | PA      | $1877501.00    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MJ6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11725147 | PA      | $10408138.00   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MJ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10298614 | PA      | $9112956.00    | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5656682 | PA      | $5168926.00    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MJ7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10001202 | PA      | $9145833.00    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MJWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1990653 | PA      | $1701643.00    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360991 | PA      | $347471.00     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     706254 | PA      | $680406.00     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1231388 | PA      | $1186321.00    | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1600004 | PA      | $1541446.00    | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1644474 | PA      | $1502676.00    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MNNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3428189 | PA      | $3134988.00    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MNP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5730095 | PA      | $5239132.00    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     560637 | PA      | $540118.00     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     640949 | PA      | $617491.00     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1953496 | PA      | $1882000.00    | 0.01%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MRZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6274444 | PA      | $5886569.00    | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MSCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7970714 | PA      | $7683525.00    | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MSF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1681093 | PA      | $1577171.00    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MSNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2769668 | PA      | $2764110.00    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MUUU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2681975 | PA      | $2516180.00    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140N0FK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6195832 | PA      | $6183399.00    | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140N7ZL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15380874 | PA      | $15350011.00   | 0.07%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140Q7DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     933162 | PA      | $878633.00     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140Q9ED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4566787 | PA      | $4471257.00    | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429934 | PA      | $420522.00     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     589467 | PA      | $576562.00     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QC4M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2747410 | PA      | $2351163.00    | 0.01%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QCEU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3265879 | PA      | $2969534.00    | 0.01%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QELR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56566571 | PA      | $48690220.00   | 0.21%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QNLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10426776 | PA      | $8916220.00    | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QNLZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28287240 | PA      | $24180406.00   | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QNPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19188416 | PA      | $17645702.00   | 0.08%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QPHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30896940 | PA      | $28454046.00   | 0.13%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QPQ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4473171 | PA      | $4119496.00    | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QPX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30784971 | PA      | $29675772.00   | 0.13%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1630298 | PA      | $1503696.00    | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QPYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2945904 | PA      | $2712068.00    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QPYX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7955537 | PA      | $7306039.00    | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38909855 | PA      | $39170732.00   | 0.17%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QQL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6565826 | PA      | $6685581.00    | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QQVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20956487 | PA      | $20484925.00   | 0.09%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QQZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9490044 | PA      | $9181145.00    | 0.04%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140X3A73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15382072 | PA      | $13929931.00   | 0.06%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140X6FJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1029578 | PA      | $953548.00     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140X6NZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1161872 | PA      | $1076073.00    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140X6ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1203367 | PA      | $1152819.00    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140X7JB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26404633 | PA      | $24418087.00   | 0.11%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22527038 | PA      | $21427275.00   | 0.10%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10686061 | PA      | $10186278.00   | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55360155 | PA      | $52657490.00   | 0.23%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10706239 | PA      | $10482281.00   | 0.05%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XDEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4077669 | PA      | $3886958.00    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XFC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19698521 | PA      | $18902947.00   | 0.08%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XFMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14266767 | PA      | $12209866.00   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XFWY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   70438072 | PA      | $60211644.00   | 0.27%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XGFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28926707 | PA      | $24706695.00   | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21677600 | PA      | $20767032.00   | 0.09%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XGZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8264721 | PA      | $7844645.00    | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7387110 | PA      | $6809927.00    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17862468 | PA      | $16480891.00   | 0.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34380040 | PA      | $31788710.00   | 0.14%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13520811 | PA      | $12888448.00   | 0.06%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39821923 | PA      | $36583194.00   | 0.16%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     524411 | PA      | $499885.00     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1075980 | PA      | $1023451.00    | 0.01%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13362574 | PA      | $13083051.00   | 0.06%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XJKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7702717 | PA      | $7326673.00    | 0.03%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XJLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  147983893 | PA      | $131386532.00  | 0.58%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XJTC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13983161 | PA      | $14238203.00   | 0.06%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31416CE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213870 | PA      | $223850.00     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     667436 | PA      | $604540.00     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31418AQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159913 | PA      | $144844.00     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31418BW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1323141 | PA      | $1225433.00    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6188091 | PA      | $5898677.00    | 0.03%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4322670 | PA      | $4124083.00    | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5325123 | PA      | $5076070.00    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     837819 | PA      | $796917.00     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     825606 | PA      | $807531.00     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA6 M1A              | CUSIP: 35564KH36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3779924 | PA      | $3766717.00    | 0.02%             | 2042-09-25      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA7 M1               | CUSIP: 35564KMA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12767291 | PA      | $12498066.00   | 0.06%             | 2041-11-25      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA2 M1A              | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4944795 | PA      | $4871108.00    | 0.02%             | 2042-02-25      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA3 M1A              | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4618582 | PA      | $4601305.00    | 0.02%             | 2042-04-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4 M2               | CUSIP: 35565AAH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     349473 | PA      | $349246.00     | 0.00%             | 2049-10-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3691877 | PA      | $3698550.00    | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1249220 | PA      | $1225994.00    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9535417 | PA      | $9133717.00    | 0.04%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24526796 | PA      | $21910799.00   | 0.10%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   55313469 | PA      | $49398403.00   | 0.22%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 3617AUZW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1981066 | PA      | $1904195.00    | 0.01%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 3617B13X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     240832 | PA      | $231370.00     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 3617B14A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1194950 | PA      | $1147999.00    | 0.01%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 3617B14U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     186144 | PA      | $178830.00     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 3617BA5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     242724 | PA      | $233305.00     | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 3617BN3S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     317409 | PA      | $305092.00     | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 3617BN4U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     858738 | PA      | $825417.00     | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 3617H1CH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     411744 | PA      | $404112.00     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 3617H1CJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2037741 | PA      | $1999968.00    | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 3622A2QL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9885124 | PA      | $9585182.00    | 0.04%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 3622A2UF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11917590 | PA      | $11694985.00   | 0.05%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 36291EBY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57922 | PA      | $60518.00      | 0.00%             | 2034-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust               | Great Wolf Trust                                                                | CUSIP: 39152TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19125000 | PA      | $18559531.00   | 0.08%             | 2036-12-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust               | Great Wolf Trust                                                                | CUSIP: 39152TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4405000 | PA      | $4234630.00    | 0.02%             | 2036-12-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust               | Great Wolf Trust                                                                | CUSIP: 39152TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4700831.00    | 0.02%             | 2036-12-15      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE B                        | CUSIP: 46591PAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14000000 | PA      | $12836210.00   | 0.06%             | 2037-01-10      | Fixed         | 3.64%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2018-2                                      | CUSIP: 64828CAA7<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |    1442798 | PA      | $1362955.00    | 0.01%             | 2058-02-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA2 M1A              | CUSIP: 35564KB24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    7416924 | PA      | $7428650.00    | 0.03%             | 2042-07-25      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Corp 2021-CL1 M1                                         | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15647762 | PA      | $14172181.00   | 0.06%             | 2050-02-25      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | Preston Ridge Partners Mortgage Trust 2022-2 A1                                 | CUSIP: 69377AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   24988376 | PA      | $23349965.00   | 0.10%             | 2027-03-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| VMC Finance LLC                | VMC Finance LLC 2021-HT1 A                                                      | CUSIP: 91835TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10311722 | PA      | $9953519.00    | 0.04%             | 2037-01-18      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Aimco                          | Aimco 2020-11A AR                                                               | CUSIP: 00140NAN0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |    5821000 | PA      | $5666214.00    | 0.03%             | 2034-10-17      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                   | ARES CLO Ltd 2021-60A A                                                         | CUSIP: 04018FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5454000 | PA      | $5305100.00    | 0.02%             | 2034-07-18      | Floating      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                 | Babson CLO Ltd 2018-3A A1                                                       | CUSIP: 06760PAC5<br>LEI: 5493000D71NBEM2WZE67 | Long             | ABS-CBDO         | CORP              | KY        |    9817983 | PA      | $9740559.00    | 0.04%             | 2029-07-20      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                 | Babson CLO Ltd 2019-3A A1R                                                      | CUSIP: 06761KAL5<br>LEI: 549300T40QLO0VJIOB35 | Long             | ABS-CBDO         | CORP              | KY        |   22450000 | PA      | $22130536.00   | 0.10%             | 2031-04-20      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                 | Babson CLO Ltd 2020-4A A                                                        | CUSIP: 06762BAC4<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |    7293853 | PA      | $7177815.00    | 0.03%             | 2032-01-20      | Floating      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| CBAM CLO Management            | CBAM CLO Management 2019-11RA A1                                                | CUSIP: 12510TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16984000 | PA      | $16534603.00   | 0.07%             | 2035-01-20      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| CBAM CLO Management            | CBAM CLO Management 2019-11RA B                                                 | CUSIP: 12510TAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6819244 | PA      | $6483076.00    | 0.03%             | 2035-01-20      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd               | CIFC Funding Ltd 2021-4A A                                                      | CUSIP: 12547DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   19742995 | PA      | $19433287.00   | 0.09%             | 2033-07-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd               | CIFC Funding Ltd 2018-3A A                                                      | CUSIP: 12551YAA1<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |   10918000 | PA      | $10742133.00   | 0.05%             | 2031-07-18      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd               | CIFC Funding Ltd 2021-7A B                                                      | CUSIP: 12567HAE2<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |    5524216 | PA      | $5274781.00    | 0.02%             | 2035-01-23      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding Ltd              | Cedar Funding Ltd 2019-11A A1R                                                  | CUSIP: 15033LAQ5<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |   21276000 | PA      | $20864012.00   | 0.09%             | 2032-05-29      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund        | Dryden Senior Loan Fund 2020-83A A                                              | CUSIP: 26246EAC2<br>LEI: 2549001LFFVBUD1OX384 | Long             | ABS-CBDO         | CORP              | KY        |    7111119 | PA      | $6995286.00    | 0.03%             | 2032-01-18      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.            | Elmwood CLO VIII Ltd 2019-2A AR                                                 | CUSIP: 29001LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8217000 | PA      | $8022619.00    | 0.04%             | 2034-04-20      | Floating      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd | Highbridge Loan Management Ltd 2021-16A B                                       | CUSIP: 40440XAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5360143 | PA      | $5094891.00    | 0.02%             | 2035-01-23      | Floating      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM LP 24A AR                                                                   | CUSIP: 50188YAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7095432 | PA      | $6980223.00    | 0.03%             | 2030-03-20      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd       | Madison Park Funding Ltd 2019-35A A1R                                           | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28249000 | PA      | $27763004.00   | 0.12%             | 2032-04-20      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Regatta XXIII Funding Ltd      | Regatta XXIII Funding Ltd 2021-4A B                                             | CUSIP: 75889FAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5891224 | PA      | $5613588.00    | 0.03%             | 2035-01-20      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO LTD            | Sound Point CLO Ltd 2019-1A AR                                                  | CUSIP: 83611KAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   26345000 | PA      | $25783483.00   | 0.11%             | 2032-01-20      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| THL Credit Wind River 2019-1 C | THL Credit Wind River CLO Ltd 2019-1A AR                                        | CUSIP: 97316JAC7<br>LEI: 549300TGVPUHSOMYKZ89 | Long             | ABS-CBDO         | CORP              | KY        |    7594000 | PA      | $7364555.00    | 0.03%             | 2034-07-20      | Floating      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| ACC Auto Trust                 | ACC Auto Trust 2022-A A                                                         | CUSIP: 00085YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7294096 | PA      | $7158261.00    | 0.03%             | 2026-07-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                 | ACM Auto Trust 2022-1A A                                                        | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2580245 | PA      | $2567583.00    | 0.01%             | 2029-04-20      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Affirm Inc                     | Affirm Asset Securitization Trust 2021-B A                                      | CUSIP: 00834DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12148000 | PA      | $11516673.00   | 0.05%             | 2026-08-17      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust I LLC 2019-5                                           | CUSIP: 03464KAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1562381 | PA      | $1498497.00    | 0.01%             | 2049-10-25      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust I LLC 2019-6                                           | CUSIP: 03464VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1349799 | PA      | $1279077.00    | 0.01%             | 2059-11-25      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust I LLC 2020-3                                           | CUSIP: 03465LAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3272587 | PA      | $2958138.00    | 0.01%             | 2065-04-25      | Variable      | 2.41%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust             | Aqua Finance Trust 2021-A A                                                     | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5485031 | PA      | $4925708.00    | 0.02%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec | Arivo Acceptance Auto Loan Receivables 2022-1A A                                | CUSIP: 04047EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6788962 | PA      | $6589238.00    | 0.03%             | 2028-05-15      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | Barclays Commercial Mortgage Securities LLC 2017-DELC                           | CUSIP: 05552EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7553000 | PA      | $7415581.00    | 0.03%             | 2036-08-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                      | BPR Trust 2022-OANA A                                                           | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33039000 | PA      | $32533867.00   | 0.14%             | 2037-04-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-VINO A                                        | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18990000 | PA      | $18290303.00   | 0.08%             | 2038-05-15      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-LBA AV                                        | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18857000 | PA      | $17962652.00   | 0.08%             | 2036-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-LBA AJV                                       | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18764000 | PA      | $17841864.00   | 0.08%             | 2036-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-VOLT B                                        | CUSIP: 05609VAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15945000 | PA      | $15081438.00   | 0.07%             | 2036-09-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-VOLT D                                        | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16692000 | PA      | $15621452.00   | 0.07%             | 2036-09-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2022-FOX2 A2                                       | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19343000 | PA      | $17811702.00   | 0.08%             | 2039-04-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun | Oceanview Mortgage Trust 2021-5 AF                                              | CUSIP: 07336JAX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15739799 | PA      | $14136041.00   | 0.06%             | 2051-11-25      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun | Oceanview Mortgage Trust 2022-2 A1                                              | CUSIP: 07336NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   32273121 | PA      | $26934273.00   | 0.12%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2020-VKNG A                                        | CUSIP: 12433YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3140315 | PA      | $3066011.00    | 0.01%             | 2037-10-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC        | CF Hippolyta Issuer LLC 2021-1A A1                                              | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16024118 | PA      | $13822438.00   | 0.06%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC        | CF Hippolyta Issuer LLC 2021-1A B1                                              | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6051039 | PA      | $4966817.00    | 0.02%             | 2061-03-15      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC        | CF Hippolyta Issuer LLC 2022-1A A1                                              | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21536688 | PA      | $20875941.00   | 0.09%             | 2062-08-15      | Fixed         | 5.97%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC        | CF Hippolyta Issuer LLC 2022-1A A2                                              | CUSIP: 12530MAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   50336804 | PA      | $47686033.00   | 0.21%             | 2062-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2021-NR1 A1                                                           | CUSIP: 12565YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8660674 | PA      | $8154771.00    | 0.04%             | 2055-07-25      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT Funding LLC 2020-3                                                         | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1167266 | PA      | $1080944.00    | 0.01%             | 2065-04-27      | Variable      | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | Credit Suisse Commercial Mortgage Trust 2019-ICE4                               | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26562000 | PA      | $26256896.00   | 0.12%             | 2036-05-15      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | Credit Suisse Commercial Mortgage Trust 2019-ICE4 C                             | CUSIP: 12653VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5508000 | PA      | $5388094.00    | 0.02%             | 2036-05-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | Credit Suisse Commercial Mortgage Trust 2021-WEHO A                             | CUSIP: 12657CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12440454 | PA      | $12080182.00   | 0.05%             | 2023-04-15      | Floating      | 8.29%                 | Yes           |                  2 | On Loan: No      |
| CP EF ASSET SECURITIZATION I,  | CP EF Asset Securitization I LLC 2002-1A A                                      | CUSIP: 12662AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8793973 | PA      | $8650446.00    | 0.04%             | 2030-04-15      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2021-P4 A2                                       | CUSIP: 14687KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5325373 | PA      | $5256918.00    | 0.02%             | 2025-04-10      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust             | Cold Storage Trust 2020-ICE5 A                                                  | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24568865 | PA      | $23925735.00   | 0.11%             | 2037-11-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Cold Storage Trust             | Cold Storage Trust 2020-ICE5 B                                                  | CUSIP: 193051AJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10924957 | PA      | $10576954.00   | 0.05%             | 2037-11-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Cold Storage Trust             | Cold Storage Trust 2020-ICE5 C                                                  | CUSIP: 193051AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10966242 | PA      | $10606920.00   | 0.05%             | 2037-11-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT Funding LLC 2020-2                                                         | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     319133 | PA      | $310452.00     | 0.00%             | 2065-03-25      | Variable      | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2019-R02                                    | CUSIP: 20753KAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     449169 | PA      | $448304.00     | 0.00%             | 2031-08-25      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2018-R07                                    | CUSIP: 20753QAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    1412108 | PA      | $1407925.00    | 0.01%             | 2031-04-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R03 1M1                                | CUSIP: 20753XAA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   22764418 | PA      | $22636811.00   | 0.10%             | 2042-03-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R04 1M1                                | CUSIP: 20753YCH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    9768597 | PA      | $9745069.00    | 0.04%             | 2042-03-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2021-R03 1M2                                | CUSIP: 20754AAB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   10646000 | PA      | $9885845.00    | 0.04%             | 2041-12-25      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R02 2M2                                | CUSIP: 20754BAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   12368000 | PA      | $11655741.00   | 0.05%             | 2042-01-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R05 2M1                                | CUSIP: 20754DAA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   10759009 | PA      | $10655975.00   | 0.05%             | 2042-04-25      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R05 2M2                                | CUSIP: 20754DAB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    9001000 | PA      | $8764026.00    | 0.04%             | 2042-04-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2021-R02 2M2                                | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   32659000 | PA      | $30394078.00   | 0.13%             | 2041-11-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R06 1M1                                | CUSIP: 20754NAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    7212428 | PA      | $7278243.00    | 0.03%             | 2042-05-25      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R08 1M1                                | CUSIP: 20755DAA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    5814766 | PA      | $5831331.00    | 0.03%             | 2042-07-25      | Floating      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Conn Funding II, L.P           | Conn Funding II LP 2021-A A                                                     | CUSIP: 20825GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      11983 | PA      | $11963.00      | 0.00%             | 2026-05-15      | Fixed         | 1.05%                 | Yes           |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond  | Consumer Loan Underlying Bond Credit Trust 2018-P3 C                            | CUSIP: 21053NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     288138 | PA      | $287992.00     | 0.00%             | 2026-01-15      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond  | Consumer Loan Underlying Bond Credit Trust 2019-P2 C                            | CUSIP: 21054PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2120147 | PA      | $2107152.00    | 0.01%             | 2026-10-15      | Fixed         | 4.41%                 | Yes           |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond  | Consumer Loan Underlying Bond Credit Trust 2020-P1 C                            | CUSIP: 21055JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     992186 | PA      | $982608.00     | 0.00%             | 2028-03-15      | Fixed         | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Diamond Infrastructure Funding | Diamond Infrastructure Funding LLC 2021-1A A                                    | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17354000 | PA      | $14214432.00   | 0.06%             | 2049-04-15      | Fixed         | 1.76%                 | Yes           |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11599680 | PA      | $10941742.00   | 0.05%             | 2048-07-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables  | Exeter Automobile Receivables Trust 2021-1A D                                   | CUSIP: 30166RAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11355000 | PA      | $10581413.00   | 0.05%             | 2026-11-16      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables  | Exeter Automobile Receivables Trust 2019-1                                      | CUSIP: 30167DAE7<br>LEI: 549300KR7NUJOX0UJ040 | Long             | ABS-O            | CORP              | US        |    8200000 | PA      | $8123171.00    | 0.04%             | 2026-01-15      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust    | Extended Stay America Trust 2021-ESH A                                          | CUSIP: 30227FAA8<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |    8882373 | PA      | $8624142.00    | 0.04%             | 2038-07-15      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust    | Extended Stay America Trust 2021-ESH B                                          | CUSIP: 30227FAE0<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |    5714629 | PA      | $5474586.00    | 0.02%             | 2038-07-15      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS Trust                | FREED ABS Trust 2019-2 C                                                        | CUSIP: 30312JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1420287 | PA      | $1418782.00    | 0.01%             | 2026-11-18      | Fixed         | 4.86%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2014-C04                                    | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     693943 | PA      | $713560.00     | 0.00%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2015-C01 1M2                                | CUSIP: 30711XAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    4289154 | PA      | $4372371.00    | 0.02%             | 2025-02-25      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    3235760 | PA      | $3355924.00    | 0.01%             | 2025-07-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-13IN A2                                            | CUSIP: 33853HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33556302 | PA      | $28005153.00   | 0.12%             | 2051-12-30      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Foursight Capital Automobile R | Foursight Capital Auto Receivables Trust 2021-1 B                               | CUSIP: 35105WAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7165000 | PA      | $6983422.00    | 0.03%             | 2026-01-15      | Fixed         | 0.87%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA1 M2               | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   23429000 | PA      | $21582039.00   | 0.10%             | 2033-08-25      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2               | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   10269549 | PA      | $10155604.00   | 0.04%             | 2033-08-25      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA3 M1A              | CUSIP: 35564KE39<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    6614921 | PA      | $6587780.00    | 0.03%             | 2042-08-25      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA4 M1               | CUSIP: 35564KNK1<br>LEI: 5493005LAQ76UDHPEE03 | Long             | ABS-O            | USGSE             | US        |   22530466 | PA      | $21376408.00   | 0.09%             | 2041-12-25      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA1 M1A              | CUSIP: 35564KTA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   10043979 | PA      | $9951770.00    | 0.04%             | 2042-03-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA5 M1A              | CUSIP: 35564KYN3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   14550405 | PA      | $14682786.00   | 0.07%             | 2042-06-25      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA2 M2               | CUSIP: 35565LAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    4653282 | PA      | $4689510.00    | 0.02%             | 2050-03-25      | Floating      | 7.49%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA4 M2               | CUSIP: 35565RAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      73487 | PA      | $73488.00      | 0.00%             | 2050-09-25      | Floating      | 7.54%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 M2               | CUSIP: 35565TAH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   16487585 | PA      | $16287097.00   | 0.07%             | 2050-11-25      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA6 M2               | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   14876627 | PA      | $14759070.00   | 0.07%             | 2050-12-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Freedom Financial              | FREED ABS Trust 2022-3FP A                                                      | CUSIP: 35634EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6815977 | PA      | $6790066.00    | 0.03%             | 2029-08-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| GCAT                           | GCAT 2022-INV1 A1                                                               | CUSIP: 36168YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   42862605 | PA      | $35303488.00   | 0.16%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz | NRZ Excess Spread Collateralized Notes 2020-PLS1 A                              | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3992575 | PA      | $3638725.00    | 0.02%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL | Chase Auto Credit Linked Notes 2021-1 B                                         | CUSIP: 46591HBR0<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    3148941 | PA      | $3022558.00    | 0.01%             | 2028-09-25      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE A                        | CUSIP: 46591PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20581000 | PA      | $18923073.00   | 0.08%             | 2037-01-10      | Fixed         | 3.29%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL | Chase Auto Credit Linked Notes 2021-2 B                                         | CUSIP: 48128U2M0<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    7089508 | PA      | $6774383.00    | 0.03%             | 2028-12-26      | Fixed         | 0.89%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust     | LAD Auto Receivables Trust 2021-1A A                                            | CUSIP: 501683AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6294475 | PA      | $6108676.00    | 0.03%             | 2026-08-17      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust     | LAD Auto Receivables Trust 2022-1A A                                            | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20863650 | PA      | $20520280.00   | 0.09%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust  | Lendbuzz Securitization Trust 2021-1A A                                         | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17337211 | PA      | $16655101.00   | 0.07%             | 2027-05-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Oasis Securitisation           | Oasis Securitization 2022-2A A                                                  | CUSIP: 53161MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6417180 | PA      | $6381365.00    | 0.03%             | 2034-10-15      | Fixed         | 6.85%                 | Yes           |                  2 | On Loan: No      |
| Oasis Securitisation           | Oasis Securitization 2022-1A A                                                  | CUSIP: 53161NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6211164 | PA      | $6093209.00    | 0.03%             | 2034-05-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust  | Life Financial Services Trust 2021-BMR A                                        | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26199103 | PA      | $25368749.00   | 0.11%             | 2038-03-15      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust  | Life Financial Services Trust 2021-BMR C                                        | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15119064 | PA      | $14370129.00   | 0.06%             | 2038-03-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust  | Life Financial Services Trust 2022-BMR2 A1                                      | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   36759000 | PA      | $35848519.00   | 0.16%             | 2039-05-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust  | Life Financial Services Trust 2022-BMR2 B                                       | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6155000 | PA      | $5941898.00    | 0.03%             | 2039-05-15      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust  | MHC Commercial Mortgage Trust 2021-MHC A                                        | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27729249 | PA      | $26899372.00   | 0.12%             | 2038-04-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust  | MHC Commercial Mortgage Trust 2021-MHC C                                        | CUSIP: 55316VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15653295 | PA      | $14919252.00   | 0.07%             | 2038-04-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                      | MED Trust 2021-MDLN C                                                           | CUSIP: 58403YAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4649000 | PA      | $4408647.00    | 0.02%             | 2038-11-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                      | MED Trust 2021-MDLN D                                                           | CUSIP: 58403YAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4904000 | PA      | $4642361.00    | 0.02%             | 2038-11-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                      | MED Trust 2021-MDLN E                                                           | CUSIP: 58403YAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21424000 | PA      | $19885950.00   | 0.09%             | 2038-11-15      | Floating      | 7.47%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                      | MED Trust 2021-MDLN F                                                           | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14528000 | PA      | $13379115.00   | 0.06%             | 2038-11-15      | Floating      | 8.32%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance Trust 2022-INV1 A2                            | CUSIP: 585490AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   29019108 | PA      | $23796970.00   | 0.10%             | 2052-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance Trust 2021-INV3 A11                           | CUSIP: 585491BC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13958171 | PA      | $12602026.00   | 0.06%             | 2051-10-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance Trust 2021-INV2 A11                           | CUSIP: 58549XBC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11164410 | PA      | $10067256.00   | 0.04%             | 2051-08-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance Trust 2021-INV4 A3                            | CUSIP: 58550NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8460008 | PA      | $6756478.00    | 0.03%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card  | Mercury Financial Credit Card Master Trust 2021-1A A                            | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14022000 | PA      | $13423423.00   | 0.06%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz | NRZ Excess Spread Collateralized Notes 2021-FHT1 A                              | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10193241 | PA      | $8849715.00    | 0.04%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Iss | New Economy Assets Phase 1 Issuer LLC 2021-1 B1                                 | CUSIP: 643821AB7<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | ABS-O            | CORP              | US        |    8554000 | PA      | $7027238.00    | 0.03%             | 2061-10-20      | Fixed         | 2.41%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | Onslow Bay Financial LLC 2022-INV1 A1                                           | CUSIP: 67115NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   32510935 | PA      | $27138454.00   | 0.12%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | Onslow Bay Financial LLC 2022-INV1 A18                                          | CUSIP: 67115NAU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13785795 | PA      | $10910690.00   | 0.05%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | Onslow Bay Financial LLC 2021-INV3 A3                                           | CUSIP: 67117JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9787910 | PA      | $7825164.00    | 0.04%             | 2051-10-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne | Oak Street Investment Grade Net Lease Fund 2020-1A A1                           | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13086621 | PA      | $11634567.00   | 0.05%             | 2050-11-20      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun | Oceanview Mortgage Trust 2022-1 A1                                              | CUSIP: 67648BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17347529 | PA      | $14477749.00   | 0.06%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | Preston Ridge Partners Mortgage Trust 2020-4 A1                                 | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9524322 | PA      | $8935751.00    | 0.04%             | 2025-10-25      | Variable      | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | Preston Ridge Partners Mortgage Trust 2021-10 A1                                | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24448749 | PA      | $21984029.00   | 0.10%             | 2026-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | Preston Ridge Partners Mortgage Trust 2021-9 A1                                 | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18097404 | PA      | $16392350.00   | 0.07%             | 2026-10-25      | Variable      | 2.36%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Selection Trust 2022-1 A                                         | CUSIP: 69546MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8989056 | PA      | $8571623.00    | 0.04%             | 2029-10-15      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Woodward Capital Management    | Woodward Capital Management 2021-3 A21                                          | CUSIP: 74938DAW3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9975292 | PA      | $8939010.00    | 0.04%             | 2051-07-25      | Floating      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| SMRT                           | SMRT 2022-MINI A                                                                | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10990000 | PA      | $10609208.00   | 0.05%             | 2039-01-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                    | SREIT Trust 2021-MFP A                                                          | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2350000 | PA      | $2259848.00    | 0.01%             | 2038-11-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl | Santander Drive Auto Receivables Trust 2020-3 D                                 | CUSIP: 80285WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27434000 | PA      | $26303920.00   | 0.12%             | 2026-11-16      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin | Santander Bank Auto Credit-Linked Notes 2021-1A B                               | CUSIP: 80290CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3623786 | PA      | $3499677.00    | 0.01%             | 2031-12-15      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin | Santander Bank Auto Credit-Linked Notes 2022-A B                                | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14051070 | PA      | $13605101.00   | 0.06%             | 2032-05-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin | Santander Bank Auto Credit-Linked Notes 2022-B A2                               | CUSIP: 80290CBD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5407676 | PA      | $5377769.00    | 0.02%             | 2032-08-16      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-5                                                   | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-O            | CORP              | US        |    2291663 | PA      | $1977956.00    | 0.01%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2020-2                                                   | CUSIP: 81748KBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     953796 | PA      | $831663.00     | 0.00%             | 2050-03-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS | Spruce Hill Mortgage Loan Trust 2020-SH1 A1                                     | CUSIP: 85209FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     140427 | PA      | $138135.00     | 0.00%             | 2050-01-28      | Variable      | 2.52%                 | Yes           |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS | Spruce Hill Mortgage Loan Trust 2020-SH1 A2                                     | CUSIP: 85209FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     740898 | PA      | $726999.00     | 0.00%             | 2050-01-28      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust             | TPI Re-Remic Trust 2022-FRR1 AK33                                               | CUSIP: 872659AA5<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |    8395000 | PA      | $8071033.00    | 0.04%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust             | TPI Re-Remic Trust 2022-FRR1 AK34                                               | CUSIP: 872659AC1<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |    6915000 | PA      | $6648147.00    | 0.03%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust             | TPI Re-Remic Trust 2022-FRR1 AK35                                               | CUSIP: 872659AE7<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |    9375000 | PA      | $8958275.00    | 0.04%             | 2046-08-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust         | Tesla Auto Lease Trust 2021-B A3                                                | CUSIP: 88161KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8570000 | PA      | $8069983.00    | 0.04%             | 2025-09-22      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust         | Tesla Auto Lease Trust 2021-B B                                                 | CUSIP: 88161KAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4395000 | PA      | $4060740.00    | 0.02%             | 2025-09-22      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust          | Theorem Funding Trust 2021-1A A                                                 | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8607042 | PA      | $8448515.00    | 0.04%             | 2027-12-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization T | Tricolor Auto Securitization Trust 2022-1A A                                    | CUSIP: 89616BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2087996 | PA      | $2069503.00    | 0.01%             | 2025-02-18      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust | 208 Park Avenue Mortgage Trust 2017-280P                                        | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11417538 | PA      | $11138387.00   | 0.05%             | 2034-09-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC  | United Wholesale Mortgage LLC 2021-INV1 A9                                      | CUSIP: 90354XAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13337306 | PA      | $12009444.00   | 0.05%             | 2051-08-25      | Floating      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2021-5 A                                           | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3853349 | PA      | $3709386.00    | 0.02%             | 2031-11-20      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2022-2 A                                           | CUSIP: 91679TAA3<br>LEI: 549300WNB47JRNENIC75 | Long             | ABS-O            | CORP              | US        |   24587888 | PA      | $23934070.00   | 0.11%             | 2032-05-20      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2022-1 A                                           | CUSIP: 91679WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16911690 | PA      | $16234595.00   | 0.07%             | 2032-03-20      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2021-4 A                                           | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5565657 | PA      | $5386208.00    | 0.02%             | 2031-09-20      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC | VCAT Asset Securitization LLC 2021-NPL1 A1                                      | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2925626 | PA      | $2758052.00    | 0.01%             | 2050-12-26      | Variable      | 2.29%                 | Yes           |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC  | United Wholesale Mortgage LLC 2021-INV4 A3                                      | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6518744 | PA      | $5258754.00    | 0.02%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers LLC       | Vantage Data Centers LLC 2020-1A A2                                             | CUSIP: 92212KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17832000 | PA      | $15697214.00   | 0.07%             | 2045-09-15      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers LLC       | Vantage Data Centers LLC 2020-2A A2                                             | CUSIP: 92212KAC0<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |   11511000 | PA      | $9421979.00    | 0.04%             | 2045-09-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| VASA Trust                     | VASA Trust 2021-VASA A                                                          | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8418000 | PA      | $7789905.00    | 0.03%             | 2039-07-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2021-SAVE A                               | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8375727 | PA      | $7825527.00    | 0.04%             | 2040-02-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts               | Westgate Resorts 2022-1A A                                                      | CUSIP: 96034JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5242688 | PA      | $4998256.00    | 0.02%             | 2036-08-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivable | Westlake Automobile Receivable Trust 2020-1A D                                  | CUSIP: 96042KAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12457000 | PA      | $12169176.00   | 0.05%             | 2025-06-16      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       3725 | NC      | $-1117842.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       5516 | NC      | $646409.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1715 | NC      | $-1808790.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10yr Ultra Fut Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1519 | NC      | $2266634.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US ULTRA BOND CBT Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1417 | NC      | $-4869358.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-14

**Name of Applicant:** JANUS INVESTMENT FUND

**Signature:** JESPER NERGAARD

**Name of Signer:** JESPER NERGAARD

**Title:** VP, CFO, TREASURER, AND PRINCIPAL ACCOUNTING OFFICER