# EDGAR Filing Document

**Accession Number:** 0000723620
**File Stem:** 0001410368-25-042429
**Filing Date:** 2025-12
**Character Count:** 404159
**Document Hash:** 3a41d7eaaa724b57a7a4989c5e71dcc4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-042429.hdr.sgml**: 20251223

**ACCESSION NUMBER**: 0001410368-25-042429

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251223

**DATE AS OF CHANGE**: 20251223

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NEUBERGER BERMAN INCOME FUNDS
- **CENTRAL INDEX KEY:** 0000723620

**ORGANIZATION NAME:**
- **EIN:** 133179654
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03802
- **FILM NUMBER:** 251599938

**BUSINESS ADDRESS:**
- **STREET 1:** 1290 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10104
- **BUSINESS PHONE:** (212) 476-8800

**MAIL ADDRESS:**
- **STREET 1:** 1290 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10104

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LEHMAN BROTHERS INCOME FUNDS
- **DATE OF NAME CHANGE:** 20070601

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NEUBERGER BERMAN INCOME FUNDS
- **DATE OF NAME CHANGE:** 19981105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NEUBERGER & BERMAN INCOME FUNDS
- **DATE OF NAME CHANGE:** 19930701

## Series and Classes Contracts Data

### Neuberger Berman Core Bond Fund (Series ID: S000007835)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000021325 | Investor Class      | NCRIX           |
| C000021326 | Institutional Class | NCRLX           |
| C000057304 | Class A             | NCRAX           |
| C000057305 | Class C             | NCRCX           |
| C000153036 | Class R6            | NRCRX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** NEUBERGER BERMAN INCOME FUNDS

- **b. Investment Company Act file number:** 811-03802

- **c. CIK number of Registrant:** 0000723620

- **d. LEI of Registrant:** 54930087F7MMJ21RIJ90

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

  - **Street Address 1:** 1290 AVENUE OF THE AMERICAS

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10104

  - **Telephone number:** 212-476-8800

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

- **a. Name of Series:** Neuberger Berman Core Bond Fund

- **b. EDGAR series identifier (if any):** S000007835

- **c. LEI of Series:** 549300SKV3XVYP16RB69

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-10-31

**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:** $1161966741.89

**Total Liabilities:** $25793029.28

**Net Assets:** $1136173712.61

**Delayed Delivery Securities:** $10314655.10

**Cash Not Reported:** $20823.88

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -331.00000000 | **1-Year:** -9751.00000000 | **5-Year:** -135301.00000000 | **10-Year:** -306633.00000000 | **30-Year:** -516707.00000000

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

- **3-Month:** -3.00000000 | **1-Year:** 0.00000000 | **5-Year:** -10412.00000000 | **10-Year:** -3119.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000021325 | 1.39%                | 1.03%                | 0.46%                |
| Class ID C000021326 | 1.42%                | 1.06%                | 0.49%                |
| Class ID C000057304 | 1.39%                | 1.03%                | 0.46%                |
| Class ID C000057305 | 1.32%                | 0.97%                | 0.40%                |
| Class ID C000153036 | 1.43%                | 1.07%                | 0.50%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $238565.95               | $8688088.86                                |
| Month 2  | $-1337401.12             | $10830318.69                               |
| Month 3  | $3051501.58              | $-1662572.02                               |

**Designated Index Information**

- **Index Name:** Barclays US Aggregate

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                                                | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AT&T INC                                                                            | AT&T Inc                                                                        | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1128253.35   | 0.10%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                                  | A&D Mortgage Trust 2025-NQM3                                                    | CUSIP: 00250FAC7<br>LEI: 984500D4480E0AE81M71 | Long             | ABS-MBS          | CORP              | US        |    559132 | PA      | $560207.43    | 0.05%             | 2070-08-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                          | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    772000 | PA      | $692049.56    | 0.06%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                          | AbbVie Inc                                                                      | CUSIP: 00287YDT3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1695962.95   | 0.15%             | 2031-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Aimco                                                                               | AIMCO CLO Series 2017-A                                                         | CUSIP: 00900CAW4<br>LEI: 549300MMTPNJGGRMPB33 | Long             | ABS-CBDO         | CORP              | KY        |   4550000 | PA      | $4546890.99   | 0.40%             | 2038-01-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                                                           | ALA Trust 2025-OANA                                                             | CUSIP: 009920AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456000 | PA      | $458847.54    | 0.04%             | 2040-06-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ALBERTA                                                                 | Province of Alberta Canada                                                      | CUSIP: 013051EY9<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |   1860000 | PA      | $1859046.92   | 0.16%             | 2035-11-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes                                                  | Ally Bank Auto Credit-Linked Notes Series 2024-B                                | CUSIP: 02007G4D2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    751721 | PA      | $754797.07    | 0.07%             | 2032-09-15      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                        | Alphabet Inc                                                                    | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   2620000 | PA      | $2596269.85   | 0.23%             | 2055-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                        | Alphabet Inc                                                                    | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    755000 | PA      | $741853.35    | 0.07%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                                                       | Amphenol Corp                                                                   | CUSIP: 032095AZ4<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |   3020000 | PA      | $2986316.58   | 0.26%             | 2033-02-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                                                       | Amphenol Corp                                                                   | CUSIP: 032095BA8<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |   3190000 | PA      | $3135137.39   | 0.28%             | 2036-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                                                       | Amphenol Corp                                                                   | CUSIP: 032095BB6<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1226142.63   | 0.11%             | 2055-11-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                            | Angel Oak Mortgage Trust 2022-5                                                 | CUSIP: 03464HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99629 | PA      | $99031.26     | 0.01%             | 2067-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                            | Angel Oak Mortgage Trust 2019-6                                                 | CUSIP: 03464VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39956 | PA      | $39390.75     | 0.00%             | 2059-11-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                            | Angel Oak Mortgage Trust 2021-3                                                 | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    663174 | PA      | $578563.09    | 0.05%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                            | Angel Oak Mortgage Trust 2025-10                                                | CUSIP: 034940AB2<br>LEI: 254900CFOEUA52TRVZ51 | Long             | ABS-MBS          | CORP              | US        |    778000 | PA      | $777536.00    | 0.07%             | 2070-09-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                            | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AG5<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    930000 | PA      | $899811.50    | 0.08%             | 2042-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                                      | Apidos CLO XXXIX Ltd                                                            | CUSIP: 03766HAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1001217.60   | 0.09%             | 2038-10-21      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| APPLIED MATERIALS INC                                                               | Applied Materials Inc                                                           | CUSIP: 038222AT2<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1557581.41   | 0.14%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| APPLIED MATERIALS INC                                                               | Applied Materials Inc                                                           | CUSIP: 038222AU9<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |    920000 | PA      | $909920.90    | 0.08%             | 2036-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                       | AppLovin Corp                                                                   | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   3030000 | PA      | $3092813.63   | 0.27%             | 2029-12-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                       | AppLovin Corp                                                                   | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   1935000 | PA      | $1997151.25   | 0.18%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                                                  | Aqua Finance Trust 2021-A                                                       | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    912898 | PA      | $841363.52    | 0.07%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                            | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RER1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1186000 | PA      | $1153055.77   | 0.10%             | 2028-02-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                            | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RES9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    723000 | PA      | $702205.65    | 0.06%             | 2028-02-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                            | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RKM5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    640000 | PA      | $650627.84    | 0.06%             | 2029-08-20      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                                         | BBCMS Mortgage Trust 2023-C19                                                   | CUSIP: 05553RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1393000 | PA      | $1451137.13   | 0.13%             | 2056-04-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                                         | BBCMS Mortgage Trust 2024-5C27                                                  | CUSIP: 05555FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1501000 | PA      | $1578197.78   | 0.14%             | 2057-07-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                                  | BMW US Capital LLC                                                              | CUSIP: 05565EDD4<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |   3495000 | PA      | $3530026.51   | 0.31%             | 2035-08-11      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                             | BPCE SA                                                                         | CUSIP: 05571AAU9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2645000 | PA      | $2820392.25   | 0.25%             | 2035-01-18      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                             | BPCE SA                                                                         | CUSIP: 05571ABB0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1330000 | PA      | $1428817.39   | 0.13%             | 2046-01-14      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Trust 2025-ROIC                                                              | CUSIP: 05593VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1847793 | PA      | $1841441.54   | 0.16%             | 2030-03-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                                                  | BX Trust 2019-OC11                                                              | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1730000 | PA      | $1650945.75   | 0.15%             | 2041-12-09      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Commercial Mortgage Trust 2021-VOLT                                          | CUSIP: 05609VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    519681 | PA      | $519360.49    | 0.05%             | 2036-09-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Commercial Mortgage Trust 2021-VOLT                                          | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1840773 | PA      | $1839047.71   | 0.16%             | 2036-09-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Trust 2024-VLT4                                                              | CUSIP: 05612TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1918000 | PA      | $1919765.14   | 0.17%             | 2041-06-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Trust 2025-LIFE                                                              | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2119000 | PA      | $2181322.33   | 0.19%             | 2047-06-13      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                                                    | Bain Capital Credit CLO 2024-2 Ltd                                              | CUSIP: 056921AA7<br>LEI: 254900KJZFJF5PZOFD13 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3008846.10   | 0.26%             | 2037-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                                  | Banco Santander SA                                                              | CUSIP: 05964HAV7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   4200000 | PA      | $4658397.24   | 0.41%             | 2033-08-08      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                                | Bank of America Corp                                                            | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   8625000 | PA      | $9029750.64   | 0.79%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Bank5                                                                               | BANK5 2023-5YR2                                                                 | CUSIP: 06211CAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    513000 | PA      | $529248.15    | 0.05%             | 2056-07-15      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| Bank                                                                                | BANK 2022-BNK39                                                                 | CUSIP: 06539VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1273000 | PA      | $1157342.60   | 0.10%             | 2055-02-15      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Bank                                                                                | BANK 2022-BNK41                                                                 | CUSIP: 06540MBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $609919.81    | 0.05%             | 2065-04-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Bank                                                                                | BANK 2023-BNK45                                                                 | CUSIP: 06541BBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $461852.10    | 0.04%             | 2056-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Bank5                                                                               | BANK5 2024-5YR12                                                                | CUSIP: 06644XBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1533000 | PA      | $1576628.87   | 0.14%             | 2057-12-15      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                        | Barclays PLC                                                                    | CUSIP: 06738ECH6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2575000 | PA      | $2882028.91   | 0.25%             | 2034-06-27      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                                                          | Barings Equipment Finance LLC 2025-A                                            | CUSIP: 06764MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2347000 | PA      | $2394093.26   | 0.21%             | 2032-08-13      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| BASIN ELECTRIC PWR COOP                                                             | Basin Electric Power Cooperative                                                | CUSIP: 070101AJ9<br>LEI: 5493002CLOJ5KYT5GB16 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $1036946.32   | 0.09%             | 2055-10-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                                         | BBCMS Mortgage Trust 2024-5C31                                                  | CUSIP: 07336YAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $243085.43    | 0.02%             | 2057-12-15      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                                         | BBCMS Mortgage Trust 2025-5C34                                                  | CUSIP: 07337BAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321000 | PA      | $335948.42    | 0.03%             | 2058-05-15      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII                                                 | Bayview Opportunity Master Fund VII 2025-EDU1 LLC                               | CUSIP: 07337GAA1<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |    244680 | PA      | $243800.57    | 0.02%             | 2048-07-27      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII                                                 | Bayview Opportunity Master Fund VII 2025-EDU1 LLC                               | CUSIP: 07337GAB9<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |   1441652 | PA      | $1431125.42   | 0.13%             | 2048-07-27      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII                                                 | Bayview Opportunity Master Fund VII 2025-EDU1 LLC                               | CUSIP: 07337GAC7<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |   1113782 | PA      | $1099648.78   | 0.10%             | 2048-07-27      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Beacon Container Finance II LLC                                                     | Beacon Container Finance II LLC                                                 | CUSIP: 07359BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    862800 | PA      | $804193.67    | 0.07%             | 2046-10-22      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                                                               | Becton Dickinson & Co                                                           | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   2145000 | PA      | $1899149.67   | 0.17%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                                | Beignet Investor LLC                                                            | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5170000 | PA      | $5514877.26   | 0.49%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                            | Benchmark 2021-B26 Mortgage Trust                                               | CUSIP: 08163EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10783544 | PA      | $355399.72    | 0.03%             | 2054-06-15      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                            | Benchmark 2021-B31 Mortgage Trust                                               | CUSIP: 08163MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    441234 | PA      | $393676.39    | 0.03%             | 2054-12-15      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                            | Benchmark 2023-V2 Mortgage Trust                                                | CUSIP: 08163TAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1079000 | PA      | $1102098.05   | 0.10%             | 2055-05-15      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                            | Benchmark 2023-V3 Mortgage Trust                                                | CUSIP: 08163VAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    796000 | PA      | $808026.13    | 0.07%             | 2056-07-15      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                                            | Benchmark 2023-B39 Mortgage Trust                                               | CUSIP: 081925AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1114000 | PA      | $1166456.59   | 0.10%             | 2056-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Blue Stream Issuer, LLC                                                             | Blue Stream Issuer LLC                                                          | CUSIP: 09606BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502602.85    | 0.04%             | 2053-05-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Blue Stream Issuer, LLC                                                             | Blue Stream Issuer LLC                                                          | CUSIP: 09606BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1098000 | PA      | $1110482.28   | 0.10%             | 2054-11-20      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                           | Boeing Co/The                                                                   | CUSIP: 097023CK9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1504000 | PA      | $1133817.11   | 0.10%             | 2049-05-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                           | Boeing Co/The                                                                   | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4379000 | PA      | $4421703.66   | 0.39%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                           | Boeing Co/The                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3469000 | PA      | $3445434.25   | 0.30%             | 2050-05-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| BOF URSA FUNDING                                                                    | BOF VII AL Funding Trust I                                                      | CUSIP: 097093AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    831430 | PA      | $844337.53    | 0.07%             | 2032-07-26      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| Bourzou Issuer LLC, Jamshid Issuer LLC, Cristobal Issuer LLC & COPT DC-6 Issuer LLC | Cloud Capital Holdco LP                                                         | CUSIP: 102104AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1249000 | PA      | $1264353.08   | 0.11%             | 2049-11-22      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Bourzou Issuer LLC, Jamshid Issuer LLC, Cristobal Issuer LLC & COPT DC-6 Issuer LLC | Cloud Capital Holdco LP                                                         | CUSIP: 102104AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    811000 | PA      | $827484.71    | 0.07%             | 2049-11-22      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                                       | Bridgecrest Lending Auto Securitization Trust 2025-4                            | CUSIP: 10807UAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    749000 | PA      | $748983.67    | 0.07%             | 2031-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                                                            | Province of British Columbia Canada                                             | CUSIP: 110709AQ5<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |   2070000 | PA      | $2125818.30   | 0.19%             | 2035-06-11      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                                                            | Province of British Columbia Canada                                             | CUSIP: 110709GQ9<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |   2510000 | PA      | $2514150.39   | 0.22%             | 2030-08-27      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                        | Broadcom Inc                                                                    | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1895000 | PA      | $1951306.91   | 0.17%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                        | Broadcom Inc                                                                    | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2339143.25   | 0.21%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                        | Broadcom Inc                                                                    | CUSIP: 11135FCK5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1765000 | PA      | $1791056.24   | 0.16%             | 2030-07-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD ASSET MANAGEM                                                            | Brookfield Asset Management Ltd                                                 | CUSIP: 112586AB8<br>LEI: 549300CZ84WPNJZKY093 | Long             | DBT              | CORP              | CA        |    855000 | PA      | $885176.79    | 0.08%             | 2055-09-15      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC                                                        | Business Jet Securities 2024-2 LLC                                              | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254792 | PA      | $256448.35    | 0.02%             | 2039-09-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC                                                        | Business Jet Securities 2024-1 LLC                                              | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1439839 | PA      | $1475677.68   | 0.13%             | 2039-05-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Trust 2025-VLT7                                                              | CUSIP: 123913AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1703000 | PA      | $1709918.44   | 0.15%             | 2044-07-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                            | BX Trust 2025-GW                                                                | CUSIP: 12433GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1667000 | PA      | $1670125.63   | 0.15%             | 2042-07-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                                                 | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    798000 | PA      | $783831.83    | 0.07%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                                     | Cigna Group/The                                                                 | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   3915000 | PA      | $3976603.39   | 0.35%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust                                                    | COOPR Residential Mortgage Trust 2025-CES1                                      | CUSIP: 12596SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1709146 | PA      | $1726913.14   | 0.15%             | 2060-05-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                                     | CSAIL 2016-C5 Commercial Mortgage Trust                                         | CUSIP: 12636LBA7<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |   2431787 | PA      | $24.32        | 0.00%             | 2048-11-15      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                     | CVS Health Corp                                                                 | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2065000 | PA      | $2044843.35   | 0.18%             | 2026-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                     | CVS Health Corp                                                                 | CUSIP: 126650DV9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    417000 | PA      | $395085.73    | 0.03%             | 2053-02-21      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                     | CVS Health Corp                                                                 | CUSIP: 126650EL0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    431000 | PA      | $442687.13    | 0.04%             | 2055-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                                 | COMM 2024-CBM Mortgage Trust                                                    | CUSIP: 12674GAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1469000 | PA      | $1515366.49   | 0.13%             | 2041-12-10      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| CAMPBELLS COMPANY/THE                                                               | Campbell's Company/The                                                          | CUSIP: 134429BQ1<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |    729000 | PA      | $707250.46    | 0.06%             | 2035-03-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                                              | Canyon Capital CLO 2022-2 Ltd                                                   | CUSIP: 13877LAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   4250000 | PA      | $4250393.13   | 0.37%             | 2038-04-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                            | Capital One Financial Corp                                                      | CUSIP: 14040HDH5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1198976.82   | 0.11%             | 2035-07-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                            | Capital One Financial Corp                                                      | CUSIP: 14040HDN2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1810000 | PA      | $1797988.55   | 0.16%             | 2036-09-11      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust                                            | Castlelake Aircraft Structured Trust 2025-1                                     | CUSIP: 14856VAA5<br>LEI: 549300MHTIBONNXM3R82 | Long             | ABS-O            | CORP              | US        |   2212817 | PA      | $2250270.28   | 0.20%             | 2050-02-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                            | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1785000 | PA      | $1287584.83   | 0.11%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                            | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1605648.51   | 0.14%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                            | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5800000 | PA      | $5719387.02   | 0.50%             | 2055-12-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS                                       | Chase Funding Trust Series 2004-1                                               | CUSIP: 161546HZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7148 | PA      | $7162.51      | 0.00%             | 2033-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                                  | Chase Home Lending Mortgage Trust Series 2024-4                                 | CUSIP: 16159NAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1117738 | PA      | $1123181.74   | 0.10%             | 2055-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                                  | Chase Home Lending Mortgage Trust 2025-10                                       | CUSIP: 16160BAE7<br>LEI: 529900PXR6MEGSRAOO62 | Long             | ABS-MBS          | CORP              | US        |   2676509 | PA      | $2696979.07   | 0.24%             | 2056-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                                  | Chase Home Lending Mortgage Trust 2025-1                                        | CUSIP: 16160TAD0<br>LEI: 529900UNQTJFSNGLF721 | Long             | ABS-MBS          | CORP              | US        |   1862392 | PA      | $1887982.40   | 0.17%             | 2055-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                                  | Chase Home Lending Mortgage Trust Series 2024-11                                | CUSIP: 161919AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1821337 | PA      | $1851504.23   | 0.16%             | 2055-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                                  | Chase Home Lending Mortgage Trust Series 2024-2                                 | CUSIP: 161929AJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    557434 | PA      | $560474.52    | 0.05%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds                                                | Chile Government International Bonds                                            | CUSIP: 168863EE4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   3565000 | PA      | $3774265.50   | 0.33%             | 2037-01-13      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                       | Citigroup Inc                                                                   | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1835000 | PA      | $1827917.52   | 0.16%             | 2028-01-10      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                       | Citigroup Inc                                                                   | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3790000 | PA      | $3965063.47   | 0.35%             | 2036-01-24      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| CART                                                                                | CONE Trust 2024-DFW1                                                            | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1106000 | PA      | $1104617.50   | 0.10%             | 2041-08-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2118000 | PA      | $2129945.94   | 0.19%             | 2044-05-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1540000 | PA      | $1591106.90   | 0.14%             | 2042-03-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2161000 | PA      | $2221444.03   | 0.20%             | 2042-03-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754MCB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1312000 | PA      | $1385717.48   | 0.12%             | 2042-06-25      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    814000 | PA      | $815718.92    | 0.07%             | 2045-09-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    475000 | PA      | $494430.11    | 0.04%             | 2042-07-25      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                    | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    426263 | PA      | $426997.62    | 0.04%             | 2045-05-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Consolidated Communications LLC, Fidium Fiber Finance Holdco LLC                    | Consolidated Communications LLC/Fidium Fiber Finance Holdco LLC                 | CUSIP: 209031AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2102000 | PA      | $2147570.52   | 0.19%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CORP ANDINA DE FOMENTO                                                              | Corp Andina de Fomento                                                          | CUSIP: 219868CL8<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | NUSS              | XX        |   2175000 | PA      | $2252232.14   | 0.20%             | 2030-01-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COTY/HFC PRESTIGE/INT US                                                            | Coty Inc/HFC Prestige Products Inc/HFC Prestige International US LLC            | CUSIP: 22207AAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1836159.78   | 0.16%             | 2031-01-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| EquipmentShare                                                                      | Crockett Partners Equipment Co IIA LLC                                          | CUSIP: 22689LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    948909 | PA      | $953825.29    | 0.08%             | 2031-01-20      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                                | Cross 2024-H8 Mortgage Trust                                                    | CUSIP: 22757GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475176 | PA      | $477879.64    | 0.04%             | 2069-12-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE TOWERS LLC                                                             | Crown Castle Towers LLC                                                         | CUSIP: 22822RBH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    634000 | PA      | $628356.83    | 0.06%             | 2028-07-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                                                  | CyrusOne Data Centers Issuer I LLC                                              | CUSIP: 23284BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2594000 | PA      | $2619569.84   | 0.23%             | 2048-11-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                                                  | CyrusOne Data Centers Issuer I LLC                                              | CUSIP: 23284BAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    346000 | PA      | $342333.89    | 0.03%             | 2049-03-22      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                                                    | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2607000 | PA      | $2631492.27   | 0.23%             | 2031-08-04      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                            | Devon Energy Corp                                                               | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   2970000 | PA      | $2733355.12   | 0.24%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                              | Diamondback Energy Inc                                                          | CUSIP: 25278XAX7<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    930000 | PA      | $942728.05    | 0.08%             | 2027-04-18      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                              | Diamondback Energy Inc                                                          | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1727962.95   | 0.15%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                              | Diamondback Energy Inc                                                          | CUSIP: 25278XBA6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   2165000 | PA      | $2086316.82   | 0.18%             | 2054-04-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                              | Diamondback Energy Inc                                                          | CUSIP: 25278XBC2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   3675000 | PA      | $3770528.13   | 0.33%             | 2035-04-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                                 | Dominion Energy Inc                                                             | CUSIP: 25746UDW6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1343817.03   | 0.12%             | 2030-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO/THE                                                                 | Dow Chemical Co/The                                                             | CUSIP: 260543DM2<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |   5630000 | PA      | $5328881.25   | 0.47%             | 2055-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO/THE                                                                 | Dow Chemical Co/The                                                             | CUSIP: 260543DP5<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |    670000 | PA      | $670648.47    | 0.06%             | 2036-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                    | Duke Energy Corp                                                                | CUSIP: 26441CCK9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   2840000 | PA      | $2833345.57   | 0.25%             | 2055-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                                  | EFMT 2024-INV2                                                                  | CUSIP: 26844LAA6<br>LEI: 254900QTMZ2ZHRYMFA85 | Long             | ABS-MBS          | CORP              | US        |   1912996 | PA      | $1905888.30   | 0.17%             | 2069-10-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                                                                 | Eaton Vance CLO 2013-1 Ltd                                                      | CUSIP: 27830BBY9<br>LEI: 5493001O5CL3BBUIEH94 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002358.70   | 0.09%             | 2038-10-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program LLC                                                      | ELFI Graduate Loan Program 2024-A LLC                                           | CUSIP: 28627LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250501 | PA      | $1274983.96   | 0.11%             | 2049-08-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd                                                                 | Elmwood CLO III Ltd                                                             | CUSIP: 29002HAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1904477.73   | 0.17%             | 2037-07-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                                                                    | Empower CLO 2022-1 Ltd                                                          | CUSIP: 29246AAL4<br>LEI: 213800DM8ZNUIQ1JCN40 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002771.10   | 0.09%             | 2037-10-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                        | Enbridge Inc                                                                    | CUSIP: 29250NCB9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    265000 | PA      | $273481.34    | 0.02%             | 2029-04-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                        | Enbridge Inc                                                                    | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1745000 | PA      | $1821234.34   | 0.16%             | 2034-04-05      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                  | Energy Transfer LP                                                              | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    785000 | PA      | $782115.05    | 0.07%             | 2045-12-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                  | Energy Transfer LP                                                              | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    570000 | PA      | $483384.16    | 0.04%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                 | Citigroup Commercial Mortgage Trust 2022-GC48                                   | CUSIP: 29426VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1445049 | PA      | $1443997.29   | 0.13%             | 2054-05-15      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                                 | Exeter Automobile Receivables Trust 2025-1                                      | CUSIP: 30167MAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2041000 | PA      | $2057871.72   | 0.18%             | 2031-05-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BANK KOREA                                                            | Export-Import Bank of Korea                                                     | CUSIP: 302154EM7<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | NUSS              | KR        |   3145000 | PA      | $3116298.42   | 0.27%             | 2030-09-22      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                  | Meta Platforms Inc                                                              | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   3250000 | PA      | $3221892.73   | 0.28%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                  | Meta Platforms Inc                                                              | CUSIP: 30303M8Y1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2130000 | PA      | $2112164.66   | 0.19%             | 2065-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                  | Meta Platforms Inc                                                              | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1615000 | PA      | $1623118.07   | 0.14%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                  | Meta Platforms Inc                                                              | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    930000 | PA      | $934111.84    | 0.08%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                                  | Meta Platforms Inc                                                              | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2615000 | PA      | $2595329.47   | 0.23%             | 2055-11-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128L8KE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       588 | PA      | $604.42       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6VJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4564 | PA      | $4693.17      | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7HT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5690 | PA      | $5851.31      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7M94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50136 | PA      | $50609.71     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7N51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       576 | PA      | $592.24       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16272 | PA      | $16425.35     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7ZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67503 | PA      | $68072.29     | 0.01%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128M95Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9211 | PA      | $9258.23      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9BZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17886 | PA      | $18001.52     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50831 | PA      | $47694.09     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100117 | PA      | $96945.32     | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ4H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11647 | PA      | $10899.17     | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJMW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2461 | PA      | $2484.22      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJY38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50068 | PA      | $49861.43     | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49817 | PA      | $49734.54     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 312930XS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       889 | PA      | $913.78       | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 312934BT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       129 | PA      | $128.51       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 312936NA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11145 | PA      | $11249.86     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DN3S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    785175 | PA      | $801181.52    | 0.07%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DN4C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    819923 | PA      | $831162.47    | 0.07%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DND42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153188 | PA      | $146831.70    | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DNG23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    541264 | PA      | $531266.07    | 0.05%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DNGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267057 | PA      | $254706.22    | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DNJ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58542 | PA      | $52351.05     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DNXD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    843161 | PA      | $842829.75    | 0.07%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DP3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350696 | PA      | $334268.28    | 0.03%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DP5B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477723 | PA      | $486956.70    | 0.04%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DPAC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    671866 | PA      | $686105.98    | 0.06%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DPCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    723668 | PA      | $688594.06    | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DPCV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    532961 | PA      | $533657.70    | 0.05%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DPDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    910091 | PA      | $911281.37    | 0.08%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DPE61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    379464 | PA      | $337785.74    | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DPEH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    481699 | PA      | $446637.43    | 0.04%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DPJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1013926 | PA      | $935551.55    | 0.08%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DPMX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    647521 | PA      | $665424.52    | 0.06%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DPSK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2244185 | PA      | $2197100.21   | 0.19%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DQGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    911546 | PA      | $926213.27    | 0.08%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DQKX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344154 | PA      | $349933.04    | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DQPV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306337 | PA      | $312186.47    | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DQXV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    715044 | PA      | $730155.89    | 0.06%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DS3X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    665668 | PA      | $590491.81    | 0.05%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DSBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1127727 | PA      | $1074382.82   | 0.09%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DSGV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1054505 | PA      | $1032361.10   | 0.09%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2936571 | PA      | $2932692.27   | 0.26%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DSV58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1280824 | PA      | $1325167.08   | 0.12%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DT3S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328656 | PA      | $333783.00    | 0.03%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DTFH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    571002 | PA      | $578079.27    | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DUJZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    994115 | PA      | $1011420.90   | 0.09%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DUKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2348401 | PA      | $2337062.86   | 0.21%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DUNB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    754573 | PA      | $772338.83    | 0.07%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DUNX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1378011 | PA      | $1346792.48   | 0.12%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DUT23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    280340 | PA      | $287599.23    | 0.03%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DUWR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190266 | PA      | $190918.45    | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DV3N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    430891 | PA      | $401873.31    | 0.04%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DV3U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122016 | PA      | $113773.86    | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DV4X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    279513 | PA      | $260544.46    | 0.02%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DV6G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89978 | PA      | $88555.18     | 0.01%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DV6V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619089 | PA      | $554226.09    | 0.05%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DV6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183109 | PA      | $175711.46    | 0.02%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DV7L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274567 | PA      | $234580.77    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DVD44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251570 | PA      | $250502.01    | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    888443 | PA      | $758846.80    | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWB28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    896544 | PA      | $798622.64    | 0.07%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374784 | PA      | $319283.86    | 0.03%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWC43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139179 | PA      | $128783.44    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142146 | PA      | $135520.64    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250918 | PA      | $222467.68    | 0.02%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1478254 | PA      | $1314943.24   | 0.12%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1159759 | PA      | $1135522.58   | 0.10%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    917660 | PA      | $917393.48    | 0.08%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWEE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313909 | PA      | $314174.26    | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1050875 | PA      | $1001893.30   | 0.09%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWEP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1977491 | PA      | $1756018.69   | 0.15%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1121376 | PA      | $1068905.01   | 0.09%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159862 | PA      | $156636.61    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1804221 | PA      | $1803511.95   | 0.16%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    765186 | PA      | $776504.81    | 0.07%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    624841 | PA      | $641626.54    | 0.06%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWFC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    843732 | PA      | $748776.40    | 0.07%             | 2052-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341050 | PA      | $333887.47    | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414072 | PA      | $420704.11    | 0.04%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121359 | PA      | $121311.54    | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183154 | PA      | $186088.43    | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    808937 | PA      | $808535.18    | 0.07%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190846 | PA      | $193314.30    | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWGS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292577 | PA      | $300232.44    | 0.03%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWGX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600391 | PA      | $587347.85    | 0.05%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269833 | PA      | $268767.92    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    857806 | PA      | $867842.94    | 0.08%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    525556 | PA      | $525132.34    | 0.05%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498419 | PA      | $503637.21    | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110779 | PA      | $113699.95    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    448531 | PA      | $454489.87    | 0.04%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWHV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    811030 | PA      | $841420.93    | 0.07%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWJ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157125 | PA      | $159108.30    | 0.01%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498312 | PA      | $504620.80    | 0.04%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWJG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432657 | PA      | $443190.54    | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1427449 | PA      | $1461341.34   | 0.13%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWJR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    841352 | PA      | $852556.32    | 0.08%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1672111 | PA      | $1710782.39   | 0.15%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1170005 | PA      | $1199080.83   | 0.11%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWKN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    764503 | PA      | $773780.63    | 0.07%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWKT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1157140 | PA      | $1098448.38   | 0.10%             | 2054-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1147461 | PA      | $1160172.38   | 0.10%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    838174 | PA      | $858161.98    | 0.08%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3500212 | PA      | $3536777.13   | 0.31%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWMA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    571847 | PA      | $578229.39    | 0.05%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4849220 | PA      | $4901468.90   | 0.43%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWN82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    819013 | PA      | $827569.73    | 0.07%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    983478 | PA      | $978678.91    | 0.09%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1712357 | PA      | $1751302.52   | 0.15%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWNZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    520021 | PA      | $538327.62    | 0.05%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1860044 | PA      | $1879476.85   | 0.17%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132E04M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445687 | PA      | $382341.45    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132E0AL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220760 | PA      | $196718.14    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3132E0JY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210536 | PA      | $211158.06    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3132GEBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15473 | PA      | $15782.63     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3132L8RZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65433 | PA      | $64617.49     | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3132QWWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164107 | PA      | $155456.45    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3132WLS56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29875 | PA      | $29418.87     | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3132WPNL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17745 | PA      | $17644.23     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149099 | PA      | $140267.17    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 31335AB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31530 | PA      | $31581.46     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 31335BAU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15252 | PA      | $15226.86     | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Gold Pool                                                           | CUSIP: 31335BTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103993 | PA      | $100478.13    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133A2D64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214832 | PA      | $193017.91    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133A86T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340808 | PA      | $291577.79    | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133ABJ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    786935 | PA      | $673012.89    | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133ACV62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    627901 | PA      | $536870.17    | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133AGNS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    629007 | PA      | $517152.35    | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133ANKU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    615682 | PA      | $528943.45    | 0.05%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133ANV43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397701 | PA      | $342149.26    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133AQUB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    810981 | PA      | $696325.48    | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133BDPY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1218190 | PA      | $1162009.15   | 0.10%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133BEXY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    378686 | PA      | $360766.98    | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133BFWT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365459 | PA      | $357717.62    | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133BKTX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140449 | PA      | $140373.42    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133BSL59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    749925 | PA      | $771723.65    | 0.07%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133BT5R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204818 | PA      | $204727.22    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133BU2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1330398 | PA      | $1350253.26   | 0.12%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133KJ2R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414242 | PA      | $370201.61    | 0.03%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133KJJP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    285188 | PA      | $243932.69    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133KN7C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380846 | PA      | $352872.74    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133KNK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2591801 | PA      | $2210053.39   | 0.19%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133KNNB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77512 | PA      | $73926.99     | 0.01%             | 2052-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133KNVB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111983 | PA      | $104058.94    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133KPFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96400 | PA      | $89203.66     | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133KPGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    463576 | PA      | $442137.39    | 0.04%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133KPGK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    422764 | PA      | $391914.08    | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133KPJ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    423933 | PA      | $402324.17    | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133KPTB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252618 | PA      | $233317.94    | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133KPUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89676 | PA      | $88214.44     | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3133KPUP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204148 | PA      | $204415.44    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PRIN STRIPS                                                                    | Fannie Mae Principal Strip                                                      | CUSIP: 31358DJP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   1985000 | PA      | $1163332.20   | 0.10%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae REMICS                                                               | CUSIP: 3136ABT94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1157920 | PA      | $132852.43    | 0.01%             | 2043-02-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae REMICS                                                               | CUSIP: 3136ASUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    679064 | PA      | $111820.59    | 0.01%             | 2046-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                      | Fannie Mae-Aces                                                                 | CUSIP: 3136BXNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5415000 | PA      | $5378689.72   | 0.47%             | 2035-08-25      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac REMICS                                                              | CUSIP: 3137AMWE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1100114 | PA      | $168483.81    | 0.01%             | 2042-03-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac REMICS                                                              | CUSIP: 3137AXXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    673991 | PA      | $84852.63     | 0.01%             | 2043-01-15      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FAQF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19466230 | PA      | $174434.94    | 0.02%             | 2027-06-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FKZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2947374 | PA      | $2926253.71   | 0.26%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FL6J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  63186000 | PA      | $857174.96    | 0.08%             | 2029-01-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FLMX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22367748 | PA      | $476381.58    | 0.04%             | 2029-02-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMTS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2208000 | PA      | $2092934.50   | 0.18%             | 2031-05-25      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FPHP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $473073.00    | 0.04%             | 2029-08-25      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FTZQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3342000 | PA      | $3013539.89   | 0.27%             | 2030-04-25      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FX3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2983000 | PA      | $2648801.98   | 0.23%             | 2030-08-25      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYUJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1680000 | PA      | $1521034.70   | 0.13%             | 2031-03-25      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4R36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3342000 | PA      | $2998954.73   | 0.26%             | 2031-10-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7QH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3732000 | PA      | $3392864.58   | 0.30%             | 2032-05-25      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HBCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2699329 | PA      | $2773117.32   | 0.24%             | 2028-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | FREMF 2025-K760 Mortgage Trust                                                  | CUSIP: 3137HKDD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2055188 | PA      | $2093884.93   | 0.18%             | 2032-01-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HLJA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4916000 | PA      | $5003640.97   | 0.44%             | 2030-02-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HMCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2870000 | PA      | $2866627.75   | 0.25%             | 2035-06-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HMCE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1564582.56   | 0.14%             | 2030-07-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HN6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4726000 | PA      | $4796812.49   | 0.42%             | 2030-05-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HNMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5498000 | PA      | $5561735.02   | 0.49%             | 2035-08-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HNN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2351000 | PA      | $2377579.94   | 0.21%             | 2030-09-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                    | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HNN87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5732000 | PA      | $5798595.52   | 0.51%             | 2035-09-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138A94P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23434 | PA      | $23570.42     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28322 | PA      | $28469.39     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138ABMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13109 | PA      | $13163.48     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138AHXV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33680 | PA      | $33858.97     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138EGCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49246 | PA      | $49512.21     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7057 | PA      | $7085.89      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138EL5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11032 | PA      | $11055.33     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138ELBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25913 | PA      | $26618.46     | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138ELPP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14597 | PA      | $14671.26     | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138EM6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22092 | PA      | $22075.46     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138ENRK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33308 | PA      | $33463.92     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138ETQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4585 | PA      | $4585.69      | 0.00%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138ETV52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182685 | PA      | $177003.38    | 0.02%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138LUTG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11872 | PA      | $11896.60     | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138MTKS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2868218 | PA      | $2721981.42   | 0.24%             | 2055-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138WGHJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37744 | PA      | $37637.47     | 0.00%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138X0BT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72652 | PA      | $69239.07     | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138XBWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57905 | PA      | $57979.33     | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138XPMC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35112 | PA      | $34595.36     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3138YTZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78672 | PA      | $78099.10     | 0.01%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31401WUC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11474 | PA      | $11631.55     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31401YB79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       416 | PA      | $415.31       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2788 | PA      | $2823.28      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31402CVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10726 | PA      | $10871.69     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31402RFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108798 | PA      | $111479.24    | 0.01%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31405R6X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13363 | PA      | $13692.72     | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140FPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328958 | PA      | $318315.94    | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140GQ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207057 | PA      | $200347.44    | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140HGL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    674600 | PA      | $577152.83    | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140HMN59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41815 | PA      | $41480.86     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140HMXF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151729 | PA      | $150041.91    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140JRHG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289469 | PA      | $269824.64    | 0.02%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140JWNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77150 | PA      | $71946.28     | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140K0E38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140064 | PA      | $137992.80    | 0.01%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140K45H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119989 | PA      | $108088.22    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140KCHU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72733 | PA      | $71902.51     | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140KEFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227354 | PA      | $203534.12    | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140KEPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570270 | PA      | $487715.50    | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140KKF66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308552 | PA      | $276224.76    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140KKHR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323208 | PA      | $280585.80    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140KMXH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440074 | PA      | $360958.21    | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140KP7H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    722280 | PA      | $590474.65    | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140KYMT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    670975 | PA      | $582348.98    | 0.05%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140L06D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424254 | PA      | $348833.73    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140L2PP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    619584 | PA      | $509197.83    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140L2QD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    503668 | PA      | $414013.24    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140L3AR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    576158 | PA      | $471942.67    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140MF4H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623606 | PA      | $610767.00    | 0.05%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140MFZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1406288 | PA      | $1405613.21   | 0.12%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140MM5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250636 | PA      | $245450.53    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140MMZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    657836 | PA      | $657780.78    | 0.06%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140MRAR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129155 | PA      | $122981.77    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140MRBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321834 | PA      | $317341.37    | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140MSKP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    765987 | PA      | $765725.39    | 0.07%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140MSU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98189 | PA      | $96147.38     | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140MX4S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775062 | PA      | $774797.72    | 0.07%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140Q7TR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121207 | PA      | $120376.90    | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QBUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82575 | PA      | $81369.06     | 0.01%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QC5Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260867 | PA      | $240606.72    | 0.02%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QCYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182886 | PA      | $170377.78    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QD7D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159978 | PA      | $143068.04    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QDE91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408867 | PA      | $380901.24    | 0.03%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QGYP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000952 | PA      | $818284.00    | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QL6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649095 | PA      | $555998.42    | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QLD94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    725324 | PA      | $617411.12    | 0.05%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QLEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    588937 | PA      | $504997.72    | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QLH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186149 | PA      | $165760.09    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QLMZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321727 | PA      | $274541.84    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QLPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1424398 | PA      | $1212532.35   | 0.11%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QNB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306951 | PA      | $272689.81    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QP3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277646 | PA      | $278008.98    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QPAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    860644 | PA      | $820533.62    | 0.07%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QPFM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    745438 | PA      | $688604.85    | 0.06%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QPHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494632 | PA      | $442262.40    | 0.04%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QQB95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209478 | PA      | $209979.07    | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QQMA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294534 | PA      | $288348.47    | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QR3K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1412227 | PA      | $1452173.63   | 0.13%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QRR47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432228 | PA      | $439014.32    | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QTW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610118 | PA      | $632524.83    | 0.06%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QUD52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    602284 | PA      | $619308.05    | 0.05%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QUY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    803470 | PA      | $799549.28    | 0.07%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140QVGR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2492874 | PA      | $2483796.01   | 0.22%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140W0P41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1668180 | PA      | $1539426.95   | 0.14%             | 2054-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140W0SD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95485 | PA      | $93173.85     | 0.01%             | 2054-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140W1RC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1981470 | PA      | $1889727.51   | 0.17%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140W1RH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2199510 | PA      | $2090791.69   | 0.18%             | 2053-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140W2UM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2188801 | PA      | $2143060.88   | 0.19%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140W3AV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3173393 | PA      | $3102946.01   | 0.27%             | 2054-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140X4RK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25067 | PA      | $24768.97     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140X6TF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236237 | PA      | $213538.13    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140X7M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69143 | PA      | $66370.79     | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140X7WM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67205 | PA      | $62664.02     | 0.01%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140X7Y86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357141 | PA      | $321827.43    | 0.03%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258542 | PA      | $212789.47    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140X9SM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    546594 | PA      | $512905.54    | 0.05%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XA7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309103 | PA      | $266217.72    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XBNJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    647828 | PA      | $603803.77    | 0.05%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XBS43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342347 | PA      | $293490.76    | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XCCQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469928 | PA      | $401008.01    | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XCJE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680801 | PA      | $584820.04    | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XF5G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505553 | PA      | $449302.17    | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XFD32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452181 | PA      | $370375.06    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XFL82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453479 | PA      | $371445.32    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XG7C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    980546 | PA      | $933149.51    | 0.08%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XGJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84094 | PA      | $74909.11     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XGWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446908 | PA      | $382112.01    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XH3M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    845844 | PA      | $827207.14    | 0.07%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XHJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353861 | PA      | $327336.57    | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XJ6F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    768911 | PA      | $683357.42    | 0.06%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XJDK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2569988 | PA      | $2182695.95   | 0.19%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XKBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354077 | PA      | $353955.76    | 0.03%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XKZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    654211 | PA      | $668063.18    | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XLMY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    955543 | PA      | $975777.31    | 0.09%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XM5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2536435 | PA      | $2346320.68   | 0.21%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XMBW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279009 | PA      | $259119.84    | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XMRL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    551900 | PA      | $570103.17    | 0.05%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XNS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319848 | PA      | $324087.46    | 0.03%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2561765 | PA      | $2558381.22   | 0.23%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XQJE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1270907 | PA      | $1173614.71   | 0.10%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 3140XQTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1279926 | PA      | $1089531.93   | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1149 | PA      | $1164.71      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31410KAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20023 | PA      | $20270.98     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31416WPV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2651 | PA      | $2668.22      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418BD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12676 | PA      | $12639.79     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418BPJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22439 | PA      | $22375.13     | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418BW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257252 | PA      | $243786.76    | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418CFN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32056 | PA      | $31846.63     | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450630 | PA      | $435793.91    | 0.04%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2523345 | PA      | $2152303.51   | 0.19%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418DJS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66307 | PA      | $61800.45     | 0.01%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418DMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41688 | PA      | $41089.17     | 0.00%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418DNJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215866 | PA      | $201101.55    | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418DPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285738 | PA      | $274592.44    | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55072 | PA      | $54257.52     | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418DRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    438286 | PA      | $408308.02    | 0.04%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418DSK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    659417 | PA      | $590124.06    | 0.05%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418DTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639983 | PA      | $572334.03    | 0.05%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553994 | PA      | $453473.74    | 0.04%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418DXL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334792 | PA      | $286286.17    | 0.03%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412620 | PA      | $351888.06    | 0.03%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418E2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453437 | PA      | $458939.40    | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2244947 | PA      | $2271157.31   | 0.20%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2726033 | PA      | $2326210.12   | 0.20%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ECA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331913 | PA      | $294861.72    | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    601358 | PA      | $513277.80    | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149537 | PA      | $138096.71    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2158192 | PA      | $1916496.58   | 0.17%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1296019 | PA      | $1196872.58   | 0.11%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149857 | PA      | $133073.43    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506915 | PA      | $468134.99    | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4547823 | PA      | $4042622.96   | 0.36%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EE48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    774374 | PA      | $715132.79    | 0.06%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480078 | PA      | $457700.99    | 0.04%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175319 | PA      | $170913.06    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2674867 | PA      | $2374823.52   | 0.21%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1102934 | PA      | $1052344.65   | 0.09%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    759456 | PA      | $743663.63    | 0.07%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175343 | PA      | $175300.85    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470650 | PA      | $448729.40    | 0.04%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353595 | PA      | $346461.28    | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1042952 | PA      | $1044316.35   | 0.09%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483698 | PA      | $483582.95    | 0.04%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294972 | PA      | $288747.46    | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329527 | PA      | $335306.19    | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1244968 | PA      | $1244542.40   | 0.11%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1448100 | PA      | $1471304.21   | 0.13%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    766669 | PA      | $730380.15    | 0.06%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2862798 | PA      | $2863001.15   | 0.25%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2367992 | PA      | $2402742.14   | 0.21%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EPC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1694347 | PA      | $1693593.93   | 0.15%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    802988 | PA      | $814771.69    | 0.07%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    818034 | PA      | $754445.37    | 0.07%             | 2053-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265055 | PA      | $264909.71    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1690615 | PA      | $1715078.72   | 0.15%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ER69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1163776 | PA      | $1139024.47   | 0.10%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347074 | PA      | $346794.59    | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3161140 | PA      | $3158594.20   | 0.28%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    736759 | PA      | $746887.73    | 0.07%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    536441 | PA      | $550584.19    | 0.05%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825096 | PA      | $824218.32    | 0.07%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289417 | PA      | $292446.97    | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    940098 | PA      | $963740.85    | 0.08%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586566 | PA      | $585791.15    | 0.05%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723058 | PA      | $730628.67    | 0.06%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EV56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155296 | PA      | $147579.99    | 0.01%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1804440 | PA      | $1828469.80   | 0.16%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    883530 | PA      | $905491.34    | 0.08%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441980 | PA      | $447426.06    | 0.04%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EY79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1113077 | PA      | $1086137.47   | 0.10%             | 2053-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    573892 | PA      | $581269.67    | 0.05%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1066789 | PA      | $1093135.61   | 0.10%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368867 | PA      | $381851.74    | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418EZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327182 | PA      | $310672.46    | 0.03%             | 2053-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418FAW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108349 | PA      | $109518.15    | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418FC88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4031555 | PA      | $3826012.14   | 0.34%             | 2054-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1813792 | PA      | $1856045.55   | 0.16%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418FE37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2254146 | PA      | $2277811.37   | 0.20%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418FEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4178293 | PA      | $4158012.72   | 0.37%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418FEY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1998932 | PA      | $1897017.93   | 0.17%             | 2054-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418FF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1910145 | PA      | $1862131.06   | 0.16%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418FFZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    503646 | PA      | $477968.35    | 0.04%             | 2055-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418FHW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1545405 | PA      | $1506559.45   | 0.13%             | 2055-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418FML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439837 | PA      | $455321.31    | 0.04%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418UEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22964 | PA      | $23126.17     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11120 | PA      | $11186.85     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31418XMZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13198 | PA      | $13164.31     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31419AG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30943 | PA      | $31167.08     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31419AJR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25157 | PA      | $25841.29     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55373 | PA      | $55706.55     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31419GCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43259 | PA      | $43519.11     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                          | Fannie Mae Pool                                                                 | CUSIP: 31419J5X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2777 | PA      | $2772.34      | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 31427M6M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2643960 | PA      | $2703511.76   | 0.24%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 31427MDM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1939881 | PA      | $1900140.62   | 0.17%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 31427MVW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1290429 | PA      | $1321152.48   | 0.12%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 31427MWR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1060429 | PA      | $1091909.27   | 0.10%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 31427NEG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2441336 | PA      | $2316877.23   | 0.20%             | 2054-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 31427NKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1021252 | PA      | $1046165.37   | 0.09%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                         | Freddie Mac Pool                                                                | CUSIP: 3142J6BS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1153185 | PA      | $1147557.20   | 0.10%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                                  | Ellington Financial Mortgage Trust 2022-1                                       | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301091 | PA      | $266724.58    | 0.02%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FIVE 2023-V1                                                                        | FIVE 2023-V1 Mortgage Trust                                                     | CUSIP: 337964AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1607526 | PA      | $1652049.81   | 0.15%             | 2056-02-10      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                                                                 | 522 Funding CLO 2019-5 Ltd                                                      | CUSIP: 33829WAC3<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $800640.24    | 0.07%             | 2035-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                            | Foundation Finance Trust 2024-2                                                 | CUSIP: 35040VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1175161 | PA      | $1177380.21   | 0.10%             | 2050-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                            | Foundation Finance Trust 2025-2                                                 | CUSIP: 35042NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    607650 | PA      | $609730.32    | 0.05%             | 2052-04-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                               | Foundry JV Holdco LLC                                                           | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1798477.87   | 0.16%             | 2035-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                               | Foundry JV Holdco LLC                                                           | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   3365000 | PA      | $3489904.12   | 0.31%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                               | Foundry JV Holdco LLC                                                           | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   4580000 | PA      | $4838129.76   | 0.43%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                               | Foundry JV Holdco LLC                                                           | CUSIP: 350930AJ2<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2339567.23   | 0.21%             | 2037-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2022-DNA6                                         | CUSIP: 35564KH77<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $1137584.39   | 0.10%             | 2042-09-25      | Floating      | 9.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2021-DNA7                                         | CUSIP: 35564KMH9<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1109471.33   | 0.10%             | 2041-11-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KQC6<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | USGSE             | US        |    550000 | PA      | $559467.70    | 0.05%             | 2042-01-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |   1325000 | PA      | $1375894.58   | 0.12%             | 2042-04-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2022-DNA4                                         | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |     31000 | PA      | $32131.63     | 0.00%             | 2042-05-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                                 | Freddie Mac STACR REMIC Trust 2024-DNA2                                         | CUSIP: 35564NDA8<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | USGSE             | US        |   2645000 | PA      | $2659044.95   | 0.23%             | 2044-05-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                                                 | Frontier Issuer LLC                                                             | CUSIP: 35910EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2275000 | PA      | $2303296.91   | 0.20%             | 2053-08-20      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| GCAT                                                                                | GCAT 2019-NQM3 Trust                                                            | CUSIP: 36167VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256238 | PA      | $251360.67    | 0.02%             | 2059-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| GCAT                                                                                | GCAT 2021-NQM5 Trust                                                            | CUSIP: 36168KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    976368 | PA      | $831732.25    | 0.07%             | 2066-07-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179WZD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200396 | PA      | $197528.74    | 0.02%             | 2052-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179X2K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259605 | PA      | $259692.65    | 0.02%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179X5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    601118 | PA      | $589231.25    | 0.05%             | 2053-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179X5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    565654 | PA      | $566654.68    | 0.05%             | 2053-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179XAA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257860 | PA      | $253639.67    | 0.02%             | 2052-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179XBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    915364 | PA      | $900238.79    | 0.08%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1031388 | PA      | $1014346.07   | 0.09%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    636596 | PA      | $638414.43    | 0.06%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482503 | PA      | $483856.41    | 0.04%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    530471 | PA      | $536188.21    | 0.05%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179XNH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    369736 | PA      | $379299.85    | 0.03%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    629769 | PA      | $631015.68    | 0.06%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179XQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    428029 | PA      | $434543.87    | 0.04%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    578501 | PA      | $579880.91    | 0.05%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    608887 | PA      | $609686.16    | 0.05%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179XX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1304430 | PA      | $1323002.69   | 0.12%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179Y2M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    826241 | PA      | $842983.01    | 0.07%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179Y5J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    459766 | PA      | $449037.13    | 0.04%             | 2054-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179YAQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126942 | PA      | $124430.93    | 0.01%             | 2053-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179YFK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214182 | PA      | $213903.29    | 0.02%             | 2053-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179YHQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    268096 | PA      | $262421.53    | 0.02%             | 2053-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    372963 | PA      | $378053.25    | 0.03%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179YKR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    853444 | PA      | $854258.36    | 0.08%             | 2053-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179YMJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    401868 | PA      | $401014.19    | 0.04%             | 2053-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179YPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130593 | PA      | $130610.27    | 0.01%             | 2054-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179YRF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    451770 | PA      | $441472.79    | 0.04%             | 2054-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179YS54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    421968 | PA      | $421071.46    | 0.04%             | 2054-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179YS62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    604258 | PA      | $611199.19    | 0.05%             | 2054-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179YU69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    969072 | PA      | $980203.82    | 0.09%             | 2054-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36179YYW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122445 | PA      | $123664.76    | 0.01%             | 2054-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36180AAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    282738 | PA      | $282137.37    | 0.02%             | 2054-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36180AAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1138677 | PA      | $1149741.61   | 0.10%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36180AAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    551284 | PA      | $562103.75    | 0.05%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36180AB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    677427 | PA      | $675988.54    | 0.06%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36180ACA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    798458 | PA      | $805824.64    | 0.07%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 36180ACB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141606 | PA      | $144273.19    | 0.01%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2640999 | PA      | $2578958.30   | 0.23%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 3618N5C49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2568844 | PA      | $2508498.71   | 0.22%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100936 | PA      | $100716.91    | 0.01%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 3618N5EV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231833 | PA      | $233893.27    | 0.02%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 3618N5GN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185190 | PA      | $184806.53    | 0.02%             | 2055-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 3618N5GQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265995 | PA      | $270835.68    | 0.02%             | 2055-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 3618N5JD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    444855 | PA      | $448740.56    | 0.04%             | 2055-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 3618N5KU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320787 | PA      | $313249.65    | 0.03%             | 2055-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 3618N5KW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    589263 | PA      | $594616.95    | 0.05%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 3618N5TN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328417 | PA      | $331659.76    | 0.03%             | 2055-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Ginnie Mae II Pool                                                              | CUSIP: 3618N5TP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    596447 | PA      | $607667.20    | 0.05%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                        | GS Mortgage Securities Trust 2019-GC42                                          | CUSIP: 36257UAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950000 | PA      | $891923.18    | 0.08%             | 2052-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                        | GS Mortgage Securities Trust 2019-GSA1                                          | CUSIP: 36261PAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1134212.64   | 0.10%             | 2052-11-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                                              | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAA5<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    495000 | PA      | $505090.35    | 0.04%             | 2029-08-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                                 | GS Mortgage-Backed Securities Trust 2025-PJ8                                    | CUSIP: 36272XAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2477119 | PA      | $2493516.57   | 0.22%             | 2056-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                                                      | Galaxy 36 CLO Ltd                                                               | CUSIP: 362937AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000274.00   | 0.09%             | 2038-10-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                                   | General Motors Co                                                               | CUSIP: 37045VAU4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   3025000 | PA      | $3152956.05   | 0.28%             | 2027-10-01      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                                 | Gilead Sciences Inc                                                             | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2275513.48   | 0.20%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                             | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GD35<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3305000 | PA      | $3290760.31   | 0.29%             | 2031-10-21      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                             | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3520000 | PA      | $3502809.38   | 0.31%             | 2036-10-21      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                        | CUSIP: 38378FPP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1246763 | PA      | $193257.54    | 0.02%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                        | CUSIP: 38379YKG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    569976 | PA      | $53078.19     | 0.00%             | 2044-12-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                        | CUSIP: 38382HKR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1382097 | PA      | $1072925.03   | 0.09%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                        | CUSIP: 38382NCT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3051938 | PA      | $393319.11    | 0.03%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                            | Government National Mortgage Association                                        | CUSIP: 38382TV84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1173893 | PA      | $981572.17    | 0.09%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES                                                   | GreatAmerica Leasing Receivables Funding LLC                                    | CUSIP: 39154GAJ5<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   1726000 | PA      | $1740836.01   | 0.15%             | 2029-04-16      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Greenacre Park CLO LLC                                                              | Greenacre Park CLO LLC                                                          | CUSIP: 39355WAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2506991.00   | 0.22%             | 2037-07-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                             | HCA Inc                                                                         | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $1045998.32   | 0.09%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                   | HSBC Holdings PLC                                                               | CUSIP: 404280BL2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1345000 | PA      | $1354466.11   | 0.12%             | 2027-05-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                                                                | Halseypoint Clo 5 Ltd                                                           | CUSIP: 406371AA2<br>LEI: 549300VBED2CGY7JQG51 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000595.90   | 0.09%             | 2035-01-30      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                                        | Hilton Grand Vacations Trust 2022-2                                             | CUSIP: 43283GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    934587 | PA      | $929600.04    | 0.08%             | 2037-01-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                                        | Hilton Grand Vacations Trust 2024-1B                                            | CUSIP: 43283YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    387742 | PA      | $393960.74    | 0.03%             | 2039-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                                                  | Honda Auto Receivables 2025-1 Owner Trust                                       | CUSIP: 43814VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1698000 | PA      | $1714666.89   | 0.15%             | 2029-09-21      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                                                        | Huntington Bank Auto Credit-Linked Notes Series 2024-1                          | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    484454 | PA      | $491821.35    | 0.04%             | 2032-05-20      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                                                        | Huntington Bank Auto Credit-Linked Notes Series 2024-2                          | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    526117 | PA      | $531439.12    | 0.05%             | 2032-10-20      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                                        | Hudson Yards 2025-SPRL Mortgage Trust                                           | CUSIP: 44855PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1274000 | PA      | $1316912.40   | 0.12%             | 2040-01-13      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| IP 2025-IP Mortgage Trust                                                           | IP 2025-IP Mortgage Trust                                                       | CUSIP: 449843AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    554000 | PA      | $562484.84    | 0.05%             | 2042-06-10      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| IP 2025-IP Mortgage Trust                                                           | IP 2025-IP Mortgage Trust                                                       | CUSIP: 449843AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    826000 | PA      | $838085.21    | 0.07%             | 2042-06-10      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                                                           | IRV Trust 2025-200P                                                             | CUSIP: 45006HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1432000 | PA      | $1447937.30   | 0.13%             | 2047-03-14      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                             | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAG8<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   2640000 | PA      | $2736502.69   | 0.24%             | 2030-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                             | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAK9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   3860000 | PA      | $3939664.57   | 0.35%             | 2035-07-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                             | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAL7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   4365000 | PA      | $4535085.41   | 0.40%             | 2055-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                          | Intel Corp                                                                      | CUSIP: 458140AK6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   2380000 | PA      | $2144560.48   | 0.19%             | 2041-10-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                          | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1210000 | PA      | $1024082.31   | 0.09%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                          | Intel Corp                                                                      | CUSIP: 458140CM0<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   3130000 | PA      | $2993125.48   | 0.26%             | 2054-02-21      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                                                             | Inter-American Development Bank                                                 | CUSIP: 4581X0EW4<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | XX        |   1575000 | PA      | $1601057.78   | 0.14%             | 2035-07-16      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                                                             | International Bank for Reconstruction & Development                             | CUSIP: 459058LY7<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | XX        |   3625000 | PA      | $3581598.78   | 0.32%             | 2030-10-28      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                                                               | INTOWN 2025-STAY Mortgage Trust                                                 | CUSIP: 46117WAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2086000 | PA      | $2089914.38   | 0.18%             | 2042-03-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                                                         | Island Finance Trust 2025-1                                                     | CUSIP: 463920AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1431000 | PA      | $1447107.34   | 0.13%             | 2035-03-19      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                            | JP Morgan Mortgage Trust 2023-HE3                                               | CUSIP: 465985AA7<br>LEI: 5299007DSRZLE19EYU93 | Long             | ABS-O            | CORP              | US        |    275614 | PA      | $276502.43    | 0.02%             | 2054-05-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                 | JPMorgan Chase & Co                                                             | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5930000 | PA      | $6222908.55   | 0.55%             | 2036-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                 | JPMorgan Chase & Co                                                             | CUSIP: 46647PFD3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1116091.86   | 0.10%             | 2031-10-22      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                 | JPMorgan Chase & Co                                                             | CUSIP: 46647PFE1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2810000 | PA      | $2801033.57   | 0.25%             | 2036-10-22      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                       | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-OPO                 | CUSIP: 46655AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $521288.28    | 0.05%             | 2039-01-05      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                       | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-OPO                 | CUSIP: 46655AAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736000 | PA      | $652904.64    | 0.06%             | 2039-01-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                            | JP Morgan Mortgage Trust 2023-HE2                                               | CUSIP: 46657FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    643036 | PA      | $645465.22    | 0.06%             | 2054-03-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                            | JP Morgan Mortgage Trust 2024-HE1                                               | CUSIP: 46658AAA3<br>LEI: 529900PFHUFMSHU0UV97 | Long             | ABS-O            | CORP              | US        |    688630 | PA      | $690733.67    | 0.06%             | 2054-08-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| JAPAN INT'L COOP AGENCY                                                             | Japan International Cooperation Agency                                          | CUSIP: 47109LAJ3<br>LEI: 254900XEIG78M2AJB031 | Long             | DBT              | NUSS              | JP        |   1500000 | PA      | $1520877.36   | 0.13%             | 2030-05-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JBS USA SARL/FOOD/GRP                                                               | JBS USA LUX Sarl / JBS USA Food Co / JBS USA Foods Group                        | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    875000 | PA      | $915748.75    | 0.08%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                                             | Jersey Central Power & Light Co                                                 | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    700000 | PA      | $709914.34    | 0.06%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                                   | Kinder Morgan Inc                                                               | CUSIP: 49456BBB6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    510000 | PA      | $525891.48    | 0.05%             | 2030-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                                   | Kinder Morgan Inc                                                               | CUSIP: 49456BBC4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    615000 | PA      | $648457.57    | 0.06%             | 2035-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| KOREA DEVELOPMENT BANK                                                              | Korea Development Bank/The                                                      | CUSIP: 500630EK0<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | NUSS              | KR        |   3235000 | PA      | $3206788.63   | 0.28%             | 2030-09-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust                                                           | Kubota Credit Owner Trust 2024-1                                                | CUSIP: 50117BAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1137000 | PA      | $1150677.77   | 0.10%             | 2028-07-17      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| LV Trust                                                                            | Fashion Show Mall LLC                                                           | CUSIP: 50245XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2124000 | PA      | $2154069.26   | 0.19%             | 2041-10-10      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| LANDWIRTSCH. RENTENBANK                                                             | Landwirtschaftliche Rentenbank                                                  | CUSIP: 515110CH5<br>LEI: 529900Z3J0N6S0F7CT25 | Long             | DBT              | CORP              | DE        |   3415000 | PA      | $3396199.02   | 0.30%             | 2030-10-08      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                      | Eli Lilly & Co                                                                  | CUSIP: 532457DF2<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   3205000 | PA      | $3282602.67   | 0.29%             | 2055-10-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                      | Eli Lilly & Co                                                                  | CUSIP: 532457DG0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   1880000 | PA      | $1936454.26   | 0.17%             | 2065-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                            | Lloyds Banking Group PLC                                                        | CUSIP: 539439BE8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2710000 | PA      | $2839830.00   | 0.25%             | 2036-06-13      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Lyra MUSIC Assets (Delaware) LP                                                     | Lyra Music Assets Delaware LP                                                   | CUSIP: 552339AD5<br>LEI: 9845007N9EAB0C048A12 | Long             | ABS-O            | CORP              | US        |   2590000 | PA      | $2618416.70   | 0.23%             | 2065-09-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| M&T Bank Auto Receivables Trust                                                     | M&T Bank Auto Receivables Trust 2025-1                                          | CUSIP: 55287XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    836000 | PA      | $846185.16    | 0.07%             | 2030-06-17      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                                     | MVW 2024-2 LLC                                                                  | CUSIP: 55389QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1395591 | PA      | $1396015.35   | 0.12%             | 2042-03-20      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                                     | MVW 2021-2 LLC                                                                  | CUSIP: 55400KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385810 | PA      | $364705.84    | 0.03%             | 2039-05-20      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                                     | MVW 2021-2 LLC                                                                  | CUSIP: 55400KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392232 | PA      | $371986.29    | 0.03%             | 2039-05-20      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                                                                | MAD Commercial Mortgage Trust 2025-11MD                                         | CUSIP: 55616AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2880000 | PA      | $2900478.53   | 0.26%             | 2042-10-15      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                                                   | Magnetite XXIII Ltd                                                             | CUSIP: 55954NAJ8<br>LEI: 549300WG00K34O9YA435 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000706.70   | 0.09%             | 2035-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                                                   | Magnetite XXIV Ltd                                                              | CUSIP: 55954WAL3<br>LEI: 549300P6T1S83Z2MDF55 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $900743.49    | 0.08%             | 2035-04-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                                                      | Manhattan West 2020-1MW Mortgage Trust                                          | CUSIP: 563136AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1529000 | PA      | $1455274.68   | 0.13%             | 2039-09-10      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| MANITOBA (PROVINCE OF)                                                              | Province of Manitoba Canada                                                     | CUSIP: 563469VF9<br>LEI: 5493003QILFOB3JRKE30 | Long             | DBT              | NUSS              | CA        |   1195000 | PA      | $1239168.75   | 0.11%             | 2034-05-31      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC                                                  | MetroNet Infrastructure Issuer LLC                                              | CUSIP: 59170JAX6<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |   2325000 | PA      | $2352530.79   | 0.21%             | 2055-08-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE                                                               | Molson Coors Beverage Co                                                        | CUSIP: 60871RAD2<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |    560000 | PA      | $522564.20    | 0.05%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE                                                               | Molson Coors Beverage Co                                                        | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1226110.74   | 0.11%             | 2046-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                      | Morgan Stanley                                                                  | CUSIP: 61746BEF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2295000 | PA      | $2286350.15   | 0.20%             | 2027-01-20      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                      | Morgan Stanley                                                                  | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1278025.33   | 0.11%             | 2034-07-21      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                      | Morgan Stanley                                                                  | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1630000 | PA      | $1737955.81   | 0.15%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                      | Morgan Stanley                                                                  | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1586228.41   | 0.14%             | 2036-10-22      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                      | Morgan Stanley Residential Mortgage Loan Trust 2024-3                           | CUSIP: 61776QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249744 | PA      | $251025.65    | 0.02%             | 2054-07-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Eaton Vance CLO Ltd                                                  | Morgan Stanley Eaton Vance CLO 2025-21 Ltd                                      | CUSIP: 617921AA9<br>LEI: 254900LVH0JZLB93FN88 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2999484.30   | 0.26%             | 2038-04-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                      | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM6                        | CUSIP: 617948AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660783 | PA      | $661558.58    | 0.06%             | 2070-07-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                                     | MVW 2025-1 LLC                                                                  | CUSIP: 627924AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    658082 | PA      | $667415.55    | 0.06%             | 2042-09-22      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                                     | MVW 2025-1 LLC                                                                  | CUSIP: 627924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    535506 | PA      | $539985.42    | 0.05%             | 2042-09-22      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                                     | MVW 2024-1 LLC                                                                  | CUSIP: 62847RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    937303 | PA      | $948976.42    | 0.08%             | 2043-02-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                                     | MVW 2023-1 LLC                                                                  | CUSIP: 62848PAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1373676 | PA      | $1387034.74   | 0.12%             | 2040-10-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                      | NRG Energy Inc                                                                  | CUSIP: 629377DA7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    950000 | PA      | $947574.46    | 0.08%             | 2030-10-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                      | NRG Energy Inc                                                                  | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    665000 | PA      | $663540.19    | 0.06%             | 2035-10-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                              | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HBH0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   2595000 | PA      | $2618519.21   | 0.23%             | 2035-08-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                    | NTT Finance Corp                                                                | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   4495000 | PA      | $4618800.71   | 0.41%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                    | NTT Finance Corp                                                                | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   2875000 | PA      | $2996896.18   | 0.26%             | 2035-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                                                        | NY Commercial Mortgage Trust 2025-299P                                          | CUSIP: 62957FAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1635000 | PA      | $1683515.03   | 0.15%             | 2047-02-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                                                   | National Grid PLC                                                               | CUSIP: 636274AF9<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |   1870000 | PA      | $1942303.48   | 0.17%             | 2034-01-11      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                   | NatWest Group PLC                                                               | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   4230000 | PA      | $4343241.16   | 0.38%             | 2031-05-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                          | Navient Private Education Refi Loan Trust 2021-E                                | CUSIP: 63942EAA6<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   1129056 | PA      | $1015466.84   | 0.09%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                          | Navient Private Education Refi Loan Trust 2021-C                                | CUSIP: 63942JAA5<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    374959 | PA      | $342782.19    | 0.03%             | 2069-10-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                          | Navient Private Education Refi Loan Trust 2021-G                                | CUSIP: 63942KAA2<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   1230585 | PA      | $1117597.81   | 0.10%             | 2070-04-15      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                          | Navient Private Education Refi Loan Trust 2021-B                                | CUSIP: 63942LAA0<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    297732 | PA      | $272244.85    | 0.02%             | 2069-07-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                          | Navient Private Education Refi Loan Trust 2024-A                                | CUSIP: 63943CAA9<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   1550587 | PA      | $1592745.77   | 0.14%             | 2072-10-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                                 | New Residential Mortgage Loan Trust 2019-NQM5                                   | CUSIP: 64830PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105181 | PA      | $100386.64    | 0.01%             | 2059-11-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                                 | New Residential Mortgage Loan Trust 2025-NQM3                                   | CUSIP: 64832CAE3<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |   2264195 | PA      | $2288955.31   | 0.20%             | 2065-05-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                              | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCM0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1541325.11   | 0.14%             | 2028-02-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                                         | OCP CLO 2020-8R Ltd                                                             | CUSIP: 670898AW5<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001145.40   | 0.09%             | 2038-10-17      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                            | OBX 2024-NQM4 Trust                                                             | CUSIP: 67118TAA2<br>LEI: 254900LSNFNEGAD7J679 | Long             | ABS-MBS          | CORP              | US        |    138327 | PA      | $139848.85    | 0.01%             | 2064-01-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                            | OBX 2024-NQM6 Trust                                                             | CUSIP: 67118XAA3<br>LEI: 254900LMIQVUH9BFZJ05 | Long             | ABS-MBS          | CORP              | US        |   1063667 | PA      | $1080690.51   | 0.10%             | 2064-02-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                            | OBX 2024-NQM14 Trust                                                            | CUSIP: 67119XAC8<br>LEI: 254900C7ZCEHM7Y5MX79 | Long             | ABS-MBS          | CORP              | US        |   1302285 | PA      | $1298929.01   | 0.11%             | 2064-09-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| ORL TRUST                                                                           | ORL Trust 2024-GLKS                                                             | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1344000 | PA      | $1345260.00   | 0.12%             | 2039-12-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                                                             | OHA Credit Partners XVII Ltd                                                    | CUSIP: 67120MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2415000 | PA      | $2420151.20   | 0.21%             | 2038-01-18      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                                       | NYC Commercial Mortgage Trust 2025-3BP                                          | CUSIP: 67120UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    958000 | PA      | $954407.50    | 0.08%             | 2042-02-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                            | OBX 2025-NQM7 Trust                                                             | CUSIP: 67121DAA2<br>LEI: 2549008GB179CC65SK60 | Long             | ABS-MBS          | CORP              | US        |   1029839 | PA      | $1039214.07   | 0.09%             | 2055-05-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                            | OBX 2025-NQM7 Trust                                                             | CUSIP: 67121DAB0<br>LEI: 2549008GB179CC65SK60 | Long             | ABS-MBS          | CORP              | US        |    846600 | PA      | $852907.26    | 0.08%             | 2055-05-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                                       | NYC Commercial Mortgage Trust 2025-300P                                         | CUSIP: 67121TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040000 | PA      | $1044472.31   | 0.09%             | 2042-07-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| NYSEG STORM FUNDING LLC                                                             | NYSEG Storm Funding LLC                                                         | CUSIP: 67122QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2371000 | PA      | $2388389.98   | 0.21%             | 2029-05-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                            | Occidental Petroleum Corp                                                       | CUSIP: 674599EM3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   4725000 | PA      | $4598255.18   | 0.40%             | 2054-10-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| 180 MEDICAL INC                                                                     | 180 Medical Inc                                                                 | CUSIP: 682357AB4<br>LEI: 254900ZB648OPWVFVX59 | Long             | DBT              | CORP              | US        |    705000 | PA      | $697290.05    | 0.06%             | 2035-10-08      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                                                                  | 1301 Trust 2025-AOA                                                             | CUSIP: 682461AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1706000 | PA      | $1729995.23   | 0.15%             | 2042-08-11      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                           | ONEOK Inc                                                                       | CUSIP: 682680DD2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1491845.37   | 0.13%             | 2055-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                                    | OneMain Financial Issuance Trust 2023-2                                         | CUSIP: 68269HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1616000 | PA      | $1648962.04   | 0.15%             | 2036-09-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| ONNI Commercial Mortgage Trust                                                      | ONNI Commerical Mortgage Trust 2024-APT                                         | CUSIP: 682939AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1633000 | PA      | $1687120.07   | 0.15%             | 2039-07-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                                               | Province of Ontario Canada                                                      | CUSIP: 683234C97<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |   1645000 | PA      | $1700946.50   | 0.15%             | 2035-06-11      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                                               | Province of Ontario Canada                                                      | CUSIP: 683234EV6<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |   3625000 | PA      | $3630970.56   | 0.32%             | 2030-09-04      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                         | Oracle Corp                                                                     | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1608732.85   | 0.14%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                         | Oracle Corp                                                                     | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3575000 | PA      | $3419544.52   | 0.30%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                         | Oracle Corp                                                                     | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1605000 | PA      | $1580611.16   | 0.14%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                         | Oracle Corp                                                                     | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  10195000 | PA      | $9665823.22   | 0.85%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| EquipmentShare                                                                      | OWN Equipment Fund I LLC                                                        | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1622718 | PA      | $1615049.19   | 0.14%             | 2032-12-20      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING                                                               | Pk Alift Loan Funding 6 LP                                                      | CUSIP: 69291YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1495547 | PA      | $1506016.04   | 0.13%             | 2042-11-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                                                 | PFS Financing Corp                                                              | CUSIP: 69335PFJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    681000 | PA      | $691694.97    | 0.06%             | 2029-04-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                                                 | PFS Financing Corp                                                              | CUSIP: 69335PFU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2135000 | PA      | $2164339.81   | 0.19%             | 2030-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                                                 | PFS Financing Corp                                                              | CUSIP: 69335PFY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2525000 | PA      | $2543635.26   | 0.22%             | 2030-05-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                              | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2040000 | PA      | $2131873.73   | 0.19%             | 2036-01-29      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                              | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1109435.58   | 0.10%             | 2036-07-21      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| PPM CLO 3 Ltd.                                                                      | PPM CLO 3 Ltd                                                                   | CUSIP: 69355EAL9<br>LEI: 549300UEAJV6RALDS969 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000425.60   | 0.09%             | 2034-04-17      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                         | PRKCM 2025-AFC1 Trust                                                           | CUSIP: 69392YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1093518 | PA      | $1092800.57   | 0.10%             | 2060-10-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                              | Pacific Gas and Electric Co                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2815000 | PA      | $2422989.57   | 0.21%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                              | Pacific Gas and Electric Co                                                     | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1490301.26   | 0.13%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                              | Pacific Gas and Electric Co                                                     | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1207595.42   | 0.11%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                              | Pacific Gas and Electric Co                                                     | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2220000 | PA      | $2223898.43   | 0.20%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                              | Pacific Gas and Electric Co                                                     | CUSIP: 694308KZ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1335000 | PA      | $1334007.09   | 0.12%             | 2055-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| PenFed Auto Receivables Owner Trust                                                 | PenFed Auto Receivables Owner Trust 2025-A                                      | CUSIP: 706916AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1946000 | PA      | $1942660.86   | 0.17%             | 2030-07-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                         | PepsiCo Inc                                                                     | CUSIP: 713448GJ1<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |   2135000 | PA      | $2180282.07   | 0.19%             | 2032-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                         | PepsiCo Inc                                                                     | CUSIP: 713448GK8<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |   3470000 | PA      | $3551508.77   | 0.31%             | 2035-07-23      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                         | Phillips 66                                                                     | CUSIP: 718546AZ7<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |   3150000 | PA      | $3124127.32   | 0.27%             | 2026-02-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                                                               | Pinnacle West Capital Corp                                                      | CUSIP: 723484AM3<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |   1602000 | PA      | $1626623.73   | 0.14%             | 2028-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                                                               | Pinnacle West Capital Corp                                                      | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    930000 | PA      | $958355.93    | 0.08%             | 2030-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| PRM Trust                                                                           | PRM Trust 2025-PRM6                                                             | CUSIP: 74277DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488000 | PA      | $486724.51    | 0.04%             | 2033-07-05      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US                                                                | Prologis Targeted US Logistics Fund LP                                          | CUSIP: 74350LAE4<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              |  | US        |   3280000 | PA      | $3210979.45   | 0.28%             | 2036-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                                                    | Provident Funding Mortgage Trust 2025-4                                         | CUSIP: 74387AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2768473 | PA      | $2782171.77   | 0.24%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                                                            | Public Service Enterprise Group Inc                                             | CUSIP: 744573BA3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    830000 | PA      | $847166.12    | 0.07%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                                  | Province of Quebec Canada                                                       | CUSIP: 748148SG9<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   2635000 | PA      | $2676543.44   | 0.24%             | 2035-08-28      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                                                         | RCKT Mortgage Trust 2025-CES10                                                  | CUSIP: 74939LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2871000 | PA      | $2860939.76   | 0.25%             | 2055-11-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                                                          | ROCK Trust 2024-CNTR                                                            | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2416000 | PA      | $2479580.66   | 0.22%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| RFR Trust                                                                           | RFR Trust 2025-SGRM                                                             | CUSIP: 74984NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2330000 | PA      | $2381143.97   | 0.21%             | 2041-03-11      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                                         | Rad CLO 18 Ltd                                                                  | CUSIP: 75009AAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1603246.88   | 0.14%             | 2037-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                                         | Rad CLO 6 Ltd                                                                   | CUSIP: 75010KAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002860.20   | 0.09%             | 2037-10-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                                  | Royalty Pharma PLC                                                              | CUSIP: 78081BAU7<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   4150000 | PA      | $4157610.48   | 0.37%             | 2035-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                                                        | State Street Institutional US Government Money Market Fund                      | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |  35237409 | NS      | $35237409.11  | 3.10%             |  |  |  | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                                     | SBA Tower Trust                                                                 | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              |  | US        |    201000 | PA      | $191381.39    | 0.02%             | 2028-01-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                                              | Santander Holdings USA Inc                                                      | CUSIP: 80282KBK1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    695000 | PA      | $700917.83    | 0.06%             | 2027-05-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                              | Santander Drive Auto Receivables Trust 2025-1                                   | CUSIP: 80288DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2788000 | PA      | $2804959.96   | 0.25%             | 2031-03-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF SASKATCHEWAN                                                            | Province of Saskatchewan Canada                                                 | CUSIP: 803854KW7<br>LEI: 549300FKDIB7OJMBSP83 | Long             | DBT              | NUSS              | CA        |   4145000 | PA      | $4273883.47   | 0.38%             | 2030-01-28      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Space Coast Credit Union                                                            | SCCU Auto Receivables Trust 2025-1                                              | CUSIP: 80620BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2795000 | PA      | $2813797.49   | 0.25%             | 2031-01-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                                                  | Siemens Funding BV                                                              | CUSIP: 82622RAD8<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |   1940000 | PA      | $1995495.29   | 0.18%             | 2032-05-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                                                  | Siemens Funding BV                                                              | CUSIP: 82622RAE6<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |   1935000 | PA      | $2004251.54   | 0.18%             | 2035-05-28      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                                                  | Siemens Funding BV                                                              | CUSIP: 82622RAF3<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    510000 | PA      | $544171.39    | 0.05%             | 2055-05-28      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                                                  | Siemens Funding BV                                                              | CUSIP: 82622RAG1<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    350000 | PA      | $377372.96    | 0.03%             | 2065-05-28      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                                   | Sierra Timeshare 2023-2 Receivables Funding LLC                                 | CUSIP: 82650BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    478636 | PA      | $491031.44    | 0.04%             | 2040-04-20      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                                   | Sierra Timeshare 2024-2 Receivables Funding LLC                                 | CUSIP: 82650DAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720724 | PA      | $726319.69    | 0.06%             | 2041-06-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                                   | Sierra Timeshare 2025-3 Receivables Funding LLC                                 | CUSIP: 82650FAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $894018.96    | 0.08%             | 2044-08-22      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                                   | Sierra Timeshare 2025-3 Receivables Funding LLC                                 | CUSIP: 82650FAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $347661.34    | 0.03%             | 2044-08-22      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                                   | Sierra Timeshare 2024-1 Receivables Funding LLC                                 | CUSIP: 826935AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1823283 | PA      | $1848617.01   | 0.16%             | 2043-01-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                                   | Sierra Timeshare 2023-3 Receivables Funding LLC                                 | CUSIP: 826944AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    352821 | PA      | $364925.20    | 0.03%             | 2040-09-20      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                                               | Sixth Street CLO XVII Ltd                                                       | CUSIP: 83012FAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4497593.85   | 0.40%             | 2038-04-17      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                    | Societe Generale SA                                                             | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3945000 | PA      | $3930880.85   | 0.35%             | 2026-12-14      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| SODEXO INC                                                                          | Sodexo Inc                                                                      | CUSIP: 833794AC4<br>LEI: 549300WSZGQGJQXRFU84 | Long             | DBT              | CORP              | US        |   1094000 | PA      | $1120619.94   | 0.10%             | 2030-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Sotheby's Artfi Master Trust 2024-A                                                 | Sotheby's Artfi Master Trust                                                    | CUSIP: 83589CAA6<br>LEI: 9845002FA850DM72BA31 | Long             | ABS-O            | CORP              | US        |   1435000 | PA      | $1442600.05   | 0.13%             | 2031-12-22      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                                 | Southern California Edison Co                                                   | CUSIP: 842400HD8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    725000 | PA      | $645225.03    | 0.06%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                             | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAD0<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   1915000 | PA      | $1681316.05   | 0.15%             | 2031-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                                                     | Stack Infrastructure Issuer LLC                                                 | CUSIP: 85236KAK8<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |   2254000 | PA      | $2276099.57   | 0.20%             | 2048-10-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                                 | Starwood Mortgage Residential Trust 2021-3                                      | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    563937 | PA      | $499944.68    | 0.04%             | 2056-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                                 | Starwood Mortgage Residential Trust 2021-6                                      | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1456909 | PA      | $1288132.12   | 0.11%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL SER                                                            | Stellantis Financial Services US Corp                                           | CUSIP: 85855FAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2525000 | PA      | $2535656.54   | 0.22%             | 2028-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL SER                                                            | Stellantis Financial Services US Corp                                           | CUSIP: 85855FAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3410000 | PA      | $3432979.48   | 0.30%             | 2030-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SWEDISH EXPORT CREDIT                                                               | Svensk Exportkredit AB                                                          | CUSIP: 87031CAN3<br>LEI: 1FOLRR5RWTWWI397R131 | Long             | DBT              | NUSS              | SE        |   3415000 | PA      | $3570313.89   | 0.31%             | 2030-10-04      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                        | Synopsys Inc                                                                    | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   8275000 | PA      | $8405831.97   | 0.74%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                        | Synopsys Inc                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1040567.21   | 0.09%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust                                           | TCO Commercial Mortgage Trust 2024-DPM                                          | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1113000 | PA      | $1113000.00   | 0.10%             | 2039-12-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                    | T-Mobile USA Inc                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2805000 | PA      | $2726481.09   | 0.24%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                                              | Taco Bell Funding LLC                                                           | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    643538 | PA      | $621610.12    | 0.05%             | 2051-08-25      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                                               | Tennessee Valley Authority                                                      | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   2160000 | PA      | $2179901.31   | 0.19%             | 2055-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                                               | Tennessee Valley Authority                                                      | CUSIP: 880591FD9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   2005000 | PA      | $2081931.19   | 0.18%             | 2035-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                                               | Tennessee Valley Authority                                                      | CUSIP: 880591FE7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   3520000 | PA      | $3531816.15   | 0.31%             | 2030-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trust                                                     | TEXAS Commercial Mortgage Trust 2025-TWR                                        | CUSIP: 88231WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1197000 | PA      | $1194755.63   | 0.11%             | 2042-04-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Thayer Park CLO, Ltd.                                                               | Thayer Park CLO Ltd                                                             | CUSIP: 883310AL8<br>LEI: 5493000PRLDBEVKBE571 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500177.45    | 0.04%             | 2034-04-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                                                            | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556DD1<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   1805000 | PA      | $1804157.91   | 0.16%             | 2032-10-07      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                                                            | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556DE9<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   3490000 | PA      | $3498303.48   | 0.31%             | 2035-10-07      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                           | Towd Point Mortgage Trust 2022-4                                                | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1977808 | PA      | $1903262.10   | 0.17%             | 2062-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Trafigura Securitisation Finance Plc                                                | Trafigura Securitisation Finance PLC                                            | CUSIP: 892725AX0<br>LEI: 549300CH6S10UEZXWN56 | Long             | ABS-O            | CORP              | IE        |   1653000 | PA      | $1674856.13   | 0.15%             | 2027-11-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                                                    | Trestles CLO VI Ltd                                                             | CUSIP: 894940AQ8<br>LEI: 254900837GHK5VH7YU15 | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $4100401.39   | 0.36%             | 2038-04-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                                                    | TRESTLES CLO V LTD                                                              | CUSIP: 89532UAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000430.30   | 0.09%             | 2034-10-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                                                    | Trestles CLO VII Ltd                                                            | CUSIP: 89532XAC1<br>LEI: 254900F81BZ53L0B6092 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2005612.60   | 0.18%             | 2037-10-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                                                       | UBS AG/London                                                                   | CUSIP: 902674ZW3<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |   1265000 | PA      | $1321020.26   | 0.12%             | 2028-09-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                               | Uber Technologies Inc                                                           | CUSIP: 90353TAQ3<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    635000 | PA      | $614318.94    | 0.05%             | 2054-09-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                               | Uber Technologies Inc                                                           | CUSIP: 90353TAT7<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    970000 | PA      | $960472.27    | 0.08%             | 2031-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                               | Uber Technologies Inc                                                           | CUSIP: 90353TAU4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   1530000 | PA      | $1518426.32   | 0.13%             | 2035-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| U.S. Bank National Association                                                      | US Bank NA                                                                      | CUSIP: 90357PAV6<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | ABS-O            | CORP              | US        |    538948 | PA      | $544767.80    | 0.05%             | 2032-08-25      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 A PTT                                                             | United Airlines 2020-1 Class A Pass Through Trust                               | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1591473 | PA      | $1628171.73   | 0.14%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                               | Mexico Government International Bonds                                           | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2011000 | PA      | $2057856.30   | 0.18%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                               | Mexico Government International Bonds                                           | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    830000 | PA      | $873409.00    | 0.08%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                               | Mexico Government International Bonds                                           | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    620000 | PA      | $671615.00    | 0.06%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                               | Mexico Government International Bonds                                           | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    790000 | PA      | $886255.68    | 0.08%             | 2055-05-13      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                               | Mexico Government International Bond                                            | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1545000 | PA      | $1596757.50   | 0.14%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                               | Mexico Government International Bond                                            | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1575000 | PA      | $1663200.00   | 0.15%             | 2038-01-29      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                             | CUSIP: 912810QU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4360000 | PA      | $3641281.25   | 0.32%             | 2042-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                             | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2175000 | PA      | $1575090.83   | 0.14%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                             | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3660000 | PA      | $2469785.17   | 0.22%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14195000 | PA      | $11515139.29  | 1.01%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4485000 | PA      | $2438368.38   | 0.21%             | 2050-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                             | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8285000 | PA      | $4911451.56   | 0.43%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                             | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3255000 | PA      | $2306726.97   | 0.20%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                             | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5230000 | PA      | $5233473.03   | 0.46%             | 2044-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                             | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4420000 | PA      | $4121304.71   | 0.36%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                             | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7810000 | PA      | $7800542.56   | 0.69%             | 2044-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                             | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7795000 | PA      | $7737755.47   | 0.68%             | 2055-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                             | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4575000 | PA      | $4635046.88   | 0.41%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Bonds                                                             | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10640000 | PA      | $10784637.50  | 0.95%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Notes                                                             | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6265000 | PA      | $6327650.00   | 0.56%             | 2027-10-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Notes                                                             | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2240000 | PA      | $2181987.49   | 0.19%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Notes                                                             | CUSIP: 91282CGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10970000 | PA      | $10978141.82  | 0.97%             | 2028-03-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Notes                                                             | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4150000 | PA      | $4206251.96   | 0.37%             | 2028-07-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Notes                                                             | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1515000 | PA      | $1554946.29   | 0.14%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Notes                                                             | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13895000 | PA      | $14494221.88  | 1.28%             | 2035-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Notes                                                             | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1840000 | PA      | $1864725.00   | 0.16%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                              | U.S. Treasury Notes                                                             | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    525000 | PA      | $531562.50    | 0.05%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                              | UnitedHealth Group Inc                                                          | CUSIP: 91324PFN7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1755000 | PA      | $1772278.17   | 0.16%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                              | UnitedHealth Group Inc                                                          | CUSIP: 91324PFP2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   3040000 | PA      | $3087863.46   | 0.27%             | 2031-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                              | UnitedHealth Group Inc                                                          | CUSIP: 91324PFR8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1630000 | PA      | $1695948.30   | 0.15%             | 2055-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Uniti Fiber ABS Issuer LLC                                                          | Uniti Fiber Abs Issuer LLC                                                      | CUSIP: 91326EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2427000 | PA      | $2484267.98   | 0.22%             | 2055-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                                                            | Vantage Data Centers LLC                                                        | CUSIP: 92212KAH9<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |   3316000 | PA      | $3336554.23   | 0.29%             | 2055-08-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                              | Verizon Communications Inc                                                      | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1420000 | PA      | $1282003.60   | 0.11%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust 2025-3                                               | CUSIP: 924928AA2<br>LEI: 213800DYYV3EM7TSTN14 | Long             | ABS-MBS          | CORP              | US        |   2227153 | PA      | $2248693.68   | 0.20%             | 2070-05-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust 2025-7                                               | CUSIP: 924931AC2<br>LEI: 213800OVCAXDOBS94P47 | Long             | ABS-MBS          | CORP              | US        |    514564 | PA      | $515533.73    | 0.05%             | 2070-08-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust 2021-6                                               | CUSIP: 92538MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1162393 | PA      | $1022507.71   | 0.09%             | 2066-10-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust 2021-3                                               | CUSIP: 92539LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    796155 | PA      | $701114.24    | 0.06%             | 2066-06-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust 2024-4                                               | CUSIP: 92540GAA6<br>LEI: 213800WNY873LW1L3M73 | Long             | ABS-MBS          | CORP              | US        |   1329045 | PA      | $1347048.21   | 0.12%             | 2069-06-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                          | Verus Securitization Trust 2025-6                                               | CUSIP: 92540YAA7<br>LEI: 213800KZO2G8SSFFDH61 | Long             | ABS-MBS          | CORP              | US        |   1240618 | PA      | $1248644.94   | 0.11%             | 2070-07-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Volofin Finance Designated Activity Company                                         | Volofin Finance Designated Activity Co                                          | CUSIP: 92873RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1252965 | PA      | $1276294.55   | 0.11%             | 2037-06-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                                                    | WFRBS Commercial Mortgage Trust 2014-C22                                        | CUSIP: 92890KBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388393 | PA      | $368977.20    | 0.03%             | 2057-09-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                                                    | WFRBS Commercial Mortgage Trust 2014-C22                                        | CUSIP: 92890KBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241427 | PA      | $128.36       | 0.00%             | 2057-09-15      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                               | Wells Fargo & Co                                                                | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2730000 | PA      | $2849856.75   | 0.25%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                               | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                 | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1359988.25   | 0.12%             | 2035-07-15      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                               | Westlake Automobile Receivables Trust 2025-2                                    | CUSIP: 96041KAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1682000 | PA      | $1688510.85   | 0.15%             | 2031-01-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                               | Westlake Automobile Receivables Trust 2025-1                                    | CUSIP: 96043VAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2206000 | PA      | $2226236.30   | 0.20%             | 2030-10-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Willis Engine Securitization Trust                                                  | Willis Engine Structured Trust VIII                                             | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    914191 | PA      | $926403.69    | 0.08%             | 2050-06-15      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Wireless PropCo Funding LLC                                                         | Wireless PropCo Funding LLC                                                     | CUSIP: 97655EAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1173000 | PA      | $1137003.91   | 0.10%             | 2055-06-25      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                 | US 10YR NOTE (CBT)DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       329 | NC      | $218912.66    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                                 | US 10YR ULTRA FUT DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -415 | NC      | $-571670.80   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                                 | US ULTRA BOND CBT DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -47 | NC      | $-190253.88   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                                 | US LONG BOND(CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       132 | NC      | $396613.54    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                                 | US 2YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       128 | NC      | $-43257.59    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                                 | US 5YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       445 | NC      | $65052.33     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-28

**Name of Applicant:** NEUBERGER BERMAN INCOME FUNDS

**Signature:** John McGovern

**Name of Signer:** John McGovern

**Title:** Treasurer