# EDGAR Filing Document

**Accession Number:** 0000822671
**File Stem:** 0000869392-23-000380
**Filing Date:** 2023-2
**Character Count:** 452647
**Document Hash:** b56aee4bf50c7698f2d7e79a19569b01
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000869392-23-000380.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0000869392-23-000380

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM VARIABLE TRUST
- **CENTRAL INDEX KEY:** 0000822671
- **IRS NUMBER:** 046649095
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05346
- **FILM NUMBER:** 23666515

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6172921000

**MAIL ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM CAPITAL MANAGER TRUST /MA/
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Putnam VT Income Fund (Series ID: S000003876)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000010847 | Class IA Shares |  |
| C000010848 | Class IB Shares |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Variable Trust

- **b. Investment Company Act file number:** 811-05346

- **c. CIK number of Registrant:** 0000822671

- **d. LEI of Registrant:** 549300TBVD21LYBGBD46

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

  - **Street Address 1:** 100 FEDERAL STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 1-800-225-1581

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

- **a. Name of Series:** Putnam VT Income Fund

- **b. EDGAR series identifier (if any):** S000003876

- **c. LEI of Series:** T240UNT2CVVGMZTWE450

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

- **a. Date of fiscal year-end:** 2022-12-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $274952244.06

**Total Liabilities:** $118166179.10

**Net Assets:** $156786064.87

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0 | **1-Year:** 41389.33 | **5-Year:** 46492.38 | **10-Year:** 28705.69 | **30-Year:** 14035.63

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

- **3-Month:** 16.11 | **1-Year:** 40.54 | **5-Year:** 302.54 | **10-Year:** 294.42 | **30-Year:** 0

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000010848 | -0.47%               | 4.33%                | -1.70%               |
| Class ID C000010847 | -0.35%               | 4.28%                | -1.68%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-994266.74              | $-296419.48                                |
| Month 2  | $-882988.39              | $6680413.40                                |
| Month 3  | $-3619806.19             | $1703525.59                                |

**Designated Index Information**

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

- **Index Identifier:** IDX00144

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| TOWD POINT MORTGAGE TRUST 2018-5                                                | ASSET BACKED SECURITY                 | CUSIP: 89176VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153000 | PA      | $119991.44    | 0.08%             | 2058-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FIRSTPLUS HOME LOAN OWNER TRUST 1997-3                                          | ASSET BACKED SECURITY                 | CUSIP: 337925CC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77731 | PA      | $7.77         | 0.00%             | 2023-11-10      | Fixed         | 7.79%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXX LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 55821TAA5<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |    239243 | PA      | $236157.10    | 0.15%             | 2029-04-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| RAD CLO 6 LTD                                                                   | ASSET BACKED SECURITY                 | CUSIP: 48661NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    285000 | PA      | $280893.44    | 0.18%             | 2033-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GULF STREAM MERIDIAN 4 LTD                                                      | ASSET BACKED SECURITY                 | CUSIP: 402562AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    536000 | PA      | $523464.57    | 0.33%             | 2034-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO II LTD                                                               | ASSET BACKED SECURITY                 | CUSIP: 14686AAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    285000 | PA      | $279155.79    | 0.18%             | 2032-04-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GALAXY XXII CLO LTD                                                             | ASSET BACKED SECURITY                 | CUSIP: 36320TAV5<br>LEI: 54930022KENWLYJ8SJ86 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243122.75    | 0.16%             | 2034-04-16      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| AGL CLO 6 LTD                                                                   | ASSET BACKED SECURITY                 | CUSIP: 00119VAN9<br>LEI: 5493008ZSC34VKNPZN79 | Long             | ABS-CBDO         | CORP              | KY        |    204000 | PA      | $199114.61    | 0.13%             | 2034-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| AIG CLO 2021-1 LLC                                                              | ASSET BACKED SECURITY                 | CUSIP: 00141YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $243717.25    | 0.16%             | 2034-04-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO XIII LTD                                                           | ASSET BACKED SECURITY                 | CUSIP: 56579AAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    100000 | PA      | $98029.00     | 0.06%             | 2032-04-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXII LTD                                                      | ASSET BACKED SECURITY                 | CUSIP: 09631EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $243278.25    | 0.16%             | 2034-10-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| REGATTA XXIII FUNDING LTD                                                       | ASSET BACKED SECURITY                 | CUSIP: 75889FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    594000 | PA      | $576510.26    | 0.37%             | 2035-01-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2021-1 LTD                                                   | ASSET BACKED SECURITY                 | CUSIP: 77341KAA9<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $243498.50    | 0.16%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-8R LTD                                                             | ASSET BACKED SECURITY                 | CUSIP: 670898AC9<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $245679.00    | 0.16%             | 2032-01-17      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CENT CLO 21 LTD                                                                 | ASSET BACKED SECURITY                 | CUSIP: 15137EBN2<br>LEI: 5493002BI0SI5QMH0P08 | Long             | ABS-MBS          | CORP              | KY        |    281854 | PA      | $277679.23    | 0.18%             | 2030-07-27      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD 2019-1                               | ASSET BACKED SECURITY                 | CUSIP: 70017WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $236793.50    | 0.15%             | 2032-05-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVIII LTD                                                       | ASSET BACKED SECURITY                 | CUSIP: 83609TAA5<br>LEI: 549300G09B8CGBRMLL31 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $245056.25    | 0.16%             | 2031-01-21      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XVIII LTD                                                  | ASSET BACKED SECURITY                 | CUSIP: 55819BAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    284000 | PA      | $279978.56    | 0.18%             | 2030-10-21      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2018-1 LTD                                                        | ASSET BACKED SECURITY                 | CUSIP: 94950JAA9<br>LEI: 25490019KM1XIY7M0487 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $244744.50    | 0.16%             | 2031-07-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| DRYDEN 72 CLO LTD                                                               | ASSET BACKED SECURITY                 | CUSIP: 26252NAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $244759.75    | 0.16%             | 2032-05-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XIV LTD                                                    | ASSET BACKED SECURITY                 | CUSIP: 55818RAY2<br>LEI: 254900Q2IOW6JYPYIV98 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $241309.50    | 0.15%             | 2030-10-22      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XIV LTD                                                         | ASSET BACKED SECURITY                 | CUSIP: 83609NAN0<br>LEI: 549300TT7IR66ASPWY89 | Long             | ABS-MBS          | CORP              | KY        |    129936 | PA      | $128893.46    | 0.08%             | 2029-01-23      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BATTERY PARK CLO II LTD                                                         | ASSET BACKED SECURITY                 | CUSIP: 07134CAA5<br>LEI: 549300H738INUT5W2X22 | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $148971.30    | 0.10%             | 2035-10-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| ZAIS CLO 17 LTD                                                                 | ASSET BACKED SECURITY                 | CUSIP: 98888JAA7<br>LEI: 549300PCGOXUK8XLNY49 | Long             | ABS-MBS          | CORP              | US        |    226000 | PA      | $220935.57    | 0.14%             | 2033-10-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO VI LTD                                                              | ASSET BACKED SECURITY                 | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-MBS          | CORP              | JE        |    200000 | PA      | $195637.00    | 0.12%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XVI LTD                                                        | ASSET BACKED SECURITY                 | CUSIP: 83012DAA1<br>LEI: 549300YD05LZSDNMVF16 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $247836.25    | 0.16%             | 2032-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                                                      | ASSET BACKED SECURITY                 | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $244183.50    | 0.16%             | 2031-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2017-IV LTD                                                        | ASSET BACKED SECURITY                 | CUSIP: 12551JAL0<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-MBS          | CORP              | KY        |    255000 | PA      | $251797.46    | 0.16%             | 2030-10-24      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2019-17 LTD                                                             | ASSET BACKED SECURITY                 | CUSIP: 67113LAL0<br>LEI: 2549003HLFPQ7ATPYA23 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $244459.00    | 0.16%             | 2032-07-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO VIII-R LTD                                                      | ASSET BACKED SECURITY                 | CUSIP: 83607HAL9<br>LEI: 549300RPMX5HA435Q562 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $245798.50    | 0.16%             | 2030-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXIV                                                                 | ASSET BACKED SECURITY                 | CUSIP: 03759CAS9<br>LEI: 549300PPHIOJQEKPJH29 | Long             | ABS-MBS          | CORP              | KY        |    250000 | PA      | $246118.25    | 0.16%             | 2030-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST                                             | ASSET BACKED SECURITY                 | CUSIP: 35563PLU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $327529.85    | 0.21%             | 2058-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| TIAA REAL ESTATE CDO LTD                                                        | COLLATERALIZED DEBT OBLIGATION        | CUSIP: 88631FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    859373 | PA      | $8.59         | 0.00%             | 2038-12-28      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC19                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 17322AAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8598799 | PA      | $69538.49     | 0.04%             | 2047-03-11      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC22                                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 36253BAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13393221 | PA      | $109729.32    | 0.07%             | 2047-06-10      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC23                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 17322VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16075972 | PA      | $175522.28    | 0.11%             | 2047-07-10      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 94988XAX4<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |   6324628 | PA      | $66606.56     | 0.04%             | 2050-08-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46643PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2791707 | PA      | $31794.75     | 0.02%             | 2047-11-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2013-GCJ12                                         | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 36197XAM6<br>LEI: 549300SSCQUZ3RRV2T53 | Long             | ABS-MBS          | CORP              | US        |   2863242 | PA      | $2760.17      | 0.00%             | 2046-06-10      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS6 MORTGAGE TRUST                                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12592PBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7115771 | PA      | $83496.46     | 0.05%             | 2047-12-10      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC18                                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 36252RAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4414895 | PA      | $30462.78     | 0.02%             | 2047-01-10      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| COMM 2014-LC15 MORTGAGE TRUST                                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12591TAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4436163 | PA      | $39481.85     | 0.03%             | 2047-04-10      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6                                  | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 90349GAG0<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |   2637695 | PA      | $205.74       | 0.00%             | 2046-04-10      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC17                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 17321RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3388835 | PA      | $16142.38     | 0.01%             | 2046-11-10      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C13                     | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61763BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  55988000 | PA      | $50389.20     | 0.03%             | 2046-11-15      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C17                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46640UAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2208274 | PA      | $9613.50      | 0.01%             | 2047-01-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SERIES 2006-C29                         | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92978PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349288 | PA      | $137.44       | 0.00%             | 2048-11-15      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2007-1                                | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 059497BW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54659 | PA      | $0.71         | 0.00%             | 2049-01-15      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2007-C2                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 22545YBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3118449 | PA      | $3.74         | 0.00%             | 2049-01-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2                                  | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 90269CAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1520552 | PA      | $26.61        | 0.00%             | 2063-05-10      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C7                      | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61690KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545822 | PA      | $5.46         | 0.00%             | 2046-02-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11                  | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46639YAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2158873 | PA      | $949.47       | 0.00%             | 2046-04-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2011-GC5                                           | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 36191YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    828627 | PA      | $8.29         | 0.00%             | 2044-08-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-C11                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92937EAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575008 | PA      | $15.01        | 0.00%             | 2045-03-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2015-GS1                                           | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 36252AAE6<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |  19390227 | PA      | $383112.10    | 0.24%             | 2048-11-10      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C12                                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 90353DBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4814936 | PA      | $164250.47    | 0.10%             | 2051-08-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C43                                  | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 95001LAV4<br>LEI: 549300RVQJTKIK3XGD11 | Long             | ABS-MBS          | CORP              | US        |  12616119 | PA      | $303117.41    | 0.19%             | 2051-03-15      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2013-GC13                                          | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 36198EAG0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        | 101912853 | PA      | $2904.52      | 0.00%             | 2046-07-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C41                                  | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 95001ABE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3238029 | PA      | $136761.41    | 0.09%             | 2050-11-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST                                                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4285944 | PA      | $300993.71    | 0.19%             | 2052-10-15      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C50                                  | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 95001XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4485949 | PA      | $295413.19    | 0.19%             | 2052-05-15      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25                     | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61765TAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4781150 | PA      | $93261.11     | 0.06%             | 2048-10-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| LCCM 2017-LC26                                                                  | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 50190DAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4631577 | PA      | $235733.36    | 0.15%             | 2050-07-12      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST                                         | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12635FAV6<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |  14177789 | PA      | $180857.55    | 0.12%             | 2048-08-15      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE23 MORTGAGE TRUST                                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12593ABB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4297801 | PA      | $62597.90     | 0.04%             | 2048-05-10      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2016-UBS12                                       | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61691EBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8730022 | PA      | $176468.66    | 0.11%             | 2049-12-15      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C26                     | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61690VBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4020071 | PA      | $66234.69     | 0.04%             | 2048-10-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2017-C7                                           | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4567951 | PA      | $165598.28    | 0.11%             | 2050-12-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-LC20                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 94989EAJ6<br>LEI: 549300W6NRTMFPYUPG47 | Long             | ABS-MBS          | CORP              | US        |  13766000 | PA      | $130364.02    | 0.08%             | 2050-04-15      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2016-NXSR                                                            | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12594PAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5922236 | PA      | $145094.78    | 0.09%             | 2049-12-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-C22                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92890KBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13548554 | PA      | $6882.67      | 0.00%             | 2057-09-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2016-BNK2                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61690YBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3360728 | PA      | $93861.78     | 0.06%             | 2049-11-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE19 MORTGAGE TRUST                                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12592GBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4229115 | PA      | $46192.51     | 0.03%             | 2047-08-10      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE11 MORTGAGE TRUST                                                 | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 12626LAF9<br>LEI: 549300BCCWSDWINK2593 | Long             | ABS-MBS          | CORP              | US        |   7753554 | PA      | $24098.05     | 0.02%             | 2050-08-10      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22                             | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14598904 | PA      | $136515.82    | 0.09%             | 2047-09-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-C24                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92939KAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5941060 | PA      | $69318.50     | 0.04%             | 2047-11-15      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-C14                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92890PAL8<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |  13868700 | PA      | $12917.31     | 0.01%             | 2046-06-15      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C12                     | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61762XAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9264702 | PA      | $18627.61     | 0.01%             | 2046-10-15      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C16                   | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 46641BAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3926806 | PA      | $14727.09     | 0.01%             | 2046-12-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10                                        | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 92890NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308445 | PA      | $238.12       | 0.00%             | 2045-12-15      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17                     | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 61763UBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2570626 | PA      | $23079.08     | 0.01%             | 2047-08-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2011-C3                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61760RAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252000 | PA      | $214805.51    | 0.14%             | 2049-07-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE1 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12624BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $86143.28     | 0.05%             | 2045-05-15      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643PAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    517000 | PA      | $311217.97    | 0.20%             | 2047-11-15      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS4 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12591QAW2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |    283000 | PA      | $261030.46    | 0.17%             | 2047-08-10      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61763UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $208620.78    | 0.13%             | 2047-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287000 | PA      | $258481.10    | 0.16%             | 2047-09-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE19 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12592GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178000 | PA      | $159338.07    | 0.10%             | 2047-08-10      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS6 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12592PBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83000 | PA      | $76006.84     | 0.05%             | 2047-12-10      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 126281AL8<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    502000 | PA      | $336673.88    | 0.21%             | 2050-04-15      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61764PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261000 | PA      | $225423.87    | 0.14%             | 2047-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    262000 | PA      | $225361.55    | 0.14%             | 2050-04-15      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE13 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123000 | PA      | $93236.14     | 0.06%             | 2046-11-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C23                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690QAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339000 | PA      | $310727.40    | 0.20%             | 2050-07-15      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C23                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    531000 | PA      | $448728.88    | 0.29%             | 2050-07-15      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17324DAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585000 | PA      | $530029.77    | 0.34%             | 2048-09-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP9                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46629PAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251726 | PA      | $234627.45    | 0.15%             | 2047-05-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP26                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 07388VAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4799 | PA      | $4631.09      | 0.00%             | 2045-01-12      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2010-C1                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36249KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414000 | PA      | $311337.73    | 0.20%             | 2043-08-10      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46635TAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335621 | PA      | $321104.13    | 0.20%             | 2046-02-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46635TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148000 | PA      | $108521.33    | 0.07%             | 2046-02-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46635TBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635000 | PA      | $113190.15    | 0.07%             | 2046-02-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| DBUBS 2011-LC3 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289988 | PA      | $264961.91    | 0.17%             | 2044-08-10      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936CAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258549 | PA      | $247806.06    | 0.16%             | 2044-06-15      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936CAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55000 | PA      | $42113.06     | 0.03%             | 2044-06-15      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12527DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    597000 | PA      | $500447.85    | 0.32%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| COMM 2012-LC4 MORTGAGE TRUST                                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 126192AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179721 | PA      | $179386.42    | 0.11%             | 2044-12-10      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46634SAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288000 | PA      | $221500.80    | 0.14%             | 2045-05-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269CAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    816000 | PA      | $8158.61      | 0.01%             | 2063-05-10      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231000 | PA      | $129255.29    | 0.08%             | 2045-06-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2012-GCJ9                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36192PAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123497 | PA      | $121705.30    | 0.08%             | 2045-11-10      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92890NAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    768000 | PA      | $563911.45    | 0.36%             | 2045-12-15      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-LC9                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127000 | PA      | $126709.81    | 0.08%             | 2047-12-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE6 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12624XAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205000 | PA      | $184914.74    | 0.12%             | 2046-03-10      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2013-GC10                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36192CAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339000 | PA      | $338095.51    | 0.22%             | 2046-02-10      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90349GAN5<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |    126000 | PA      | $124065.91    | 0.08%             | 2046-04-10      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289000 | PA      | $245303.32    | 0.16%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639NAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256000 | PA      | $244017.25    | 0.16%             | 2045-07-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2013-GCJ12                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36197XAQ7<br>LEI: 549300SSCQUZ3RRV2T53 | Long             | ABS-MBS          | CORP              | US        |    549000 | PA      | $540926.74    | 0.35%             | 2046-06-10      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762TAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    319000 | PA      | $22247.86     | 0.01%             | 2046-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-C15                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92938CAL1<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |    919000 | PA      | $544388.31    | 0.35%             | 2046-08-15      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    715000 | PA      | $389023.49    | 0.25%             | 2046-08-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12527DAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72758 | PA      | $70575.60     | 0.05%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C15                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640NAL2<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |    246000 | PA      | $234607.99    | 0.15%             | 2045-11-15      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE13 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389000 | PA      | $327780.04    | 0.21%             | 2046-11-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY 2021-FL1 LTD                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 00103CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345000 | PA      | $335331.03    | 0.21%             | 2036-06-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    459000 | PA      | $444082.50    | 0.28%             | 2036-12-16      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2021-C10                                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 05551VAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247000 | PA      | $119111.87    | 0.08%             | 2054-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1MEM                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46654BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $429067.28    | 0.27%             | 2042-10-09      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1MEM                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46654BAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $147825.53    | 0.09%             | 2042-10-09      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C27                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    587000 | PA      | $526626.58    | 0.34%             | 2047-12-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| RREF 2012 LT1 LLC                                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 76243NAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345000 | PA      | $333787.50    | 0.21%             | 2037-01-19      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| PFP 2022-9 LTD                                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 69291QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    280000 | PA      | $274400.00    | 0.18%             | 2035-08-19      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C57                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95002XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $187445.72    | 0.12%             | 2053-08-15      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE23 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12593ABE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293000 | PA      | $270413.68    | 0.17%             | 2048-05-10      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2019-01                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    780104 | PA      | $732427.40    | 0.47%             | 2049-10-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B13 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08162DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $129500.00    | 0.08%             | 2057-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C53                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95002BAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203000 | PA      | $123889.74    | 0.08%             | 2052-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK13                                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 06539LBC3<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |   7793483 | PA      | $138248.60    | 0.09%             | 2061-08-15      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90278MBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    526000 | PA      | $410406.24    | 0.26%             | 2052-10-15      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| COMM 2013-LC6 MORTGAGE TRUST                                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 20048EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261000 | PA      | $258682.32    | 0.16%             | 2046-01-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |    403000 | PA      | $372188.11    | 0.24%             | 2050-03-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90268TAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270065 | PA      | $242572.02    | 0.15%             | 2045-01-10      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| COMM 2017-COR2 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12595EAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389000 | PA      | $297452.74    | 0.19%             | 2050-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBG5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    273000 | PA      | $57405.02     | 0.04%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| COMM 2018-COR3 MORTGAGE TRUST                                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12595VAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    594000 | PA      | $479343.51    | 0.31%             | 2051-05-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2018-GS10                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36250SAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283000 | PA      | $266164.33    | 0.17%             | 2051-07-10      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC24                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36253GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $332483.43    | 0.21%             | 2047-09-10      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2015-UBS7                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 06054ABC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285000 | PA      | $260201.15    | 0.17%             | 2048-09-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2015-UBS8                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61691ABP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412000 | PA      | $350476.33    | 0.22%             | 2048-12-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95000LAJ2<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |    244000 | PA      | $191880.87    | 0.12%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2012-C1                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269GAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49252 | PA      | $43598.28     | 0.03%             | 2045-05-10      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94988XAC0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |    247000 | PA      | $39633.79     | 0.03%             | 2050-08-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC18                                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36252RBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    584000 | PA      | $397120.00    | 0.25%             | 2047-01-10      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269CAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629000 | PA      | $6.29         | 0.00%             | 2063-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    498000 | PA      | $307963.20    | 0.20%             | 2046-04-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    441000 | PA      | $370760.61    | 0.24%             | 2046-08-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90349GAU9<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $141439.65    | 0.09%             | 2046-04-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBE0<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    683000 | PA      | $233859.20    | 0.15%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12631DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198000 | PA      | $172137.99    | 0.11%             | 2047-05-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 MORTGAGE TRUST                                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    912000 | PA      | $829815.48    | 0.53%             | 2047-05-10      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4                                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936CBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402000 | PA      | $243652.20    | 0.16%             | 2044-06-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0SE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $259786.83    | 0.17%             | 2030-04-25      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                    | CORP CMO                              | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1084000 | PA      | $1022009.29   | 0.65%             | 2042-01-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-HQA1                                         | CORP CMO                              | CUSIP: 35564KTJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    911000 | PA      | $883670.00    | 0.56%             | 2042-03-25      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| STATION PLACE SECURITIZATION TRUST SERIES 2022-3                                | CORP CMO                              | CUSIP: 85773LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    479000 | PA      | $479000.00    | 0.31%             | 2023-05-29      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST 2021-3                                     | CORP CMO                              | CUSIP: 58552FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    287000 | PA      | $260251.31    | 0.17%             | 2024-10-22      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| VISIO 2022-1 TRUST                                                              | CORP CMO                              | CUSIP: 92838CAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    149767 | PA      | $141460.68    | 0.09%             | 2057-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| RMF PROPRIETARY ISSUANCE TRUST                                                  | CORP CMO                              | CUSIP: 74970FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    116000 | PA      | $89320.00     | 0.06%             | 2062-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2022-SP1                                                        | CORP CMO                              | CUSIP: 62956BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    162954 | PA      | $154806.36    | 0.10%             | 2062-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| MRA ISSUANCE TRUST 2020-2                                                       | CORP CMO                              | CUSIP: 55346HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $500000.00    | 0.32%             | 2023-06-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST                                                  | CORP CMO                              | CUSIP: 67117DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    297693 | PA      | $293687.53    | 0.19%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2022-HB2                                         | CORP CMO                              | CUSIP: 317380AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    296430 | PA      | $287350.22    | 0.18%             | 2032-08-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-A                                            | CORP CMO                              | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    151439 | PA      | $149173.00    | 0.10%             | 2062-09-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST II SERIES 2022-1                  | CORP CMO                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |    125000 | PA      | $125000.00    | 0.08%             | 2025-03-30      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-2                                      | CORP CMO                              | CUSIP: 85573DAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     83114 | PA      | $82853.14     | 0.05%             | 2060-04-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2020-1                                       | CORP CMO                              | CUSIP: 31574PAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    179000 | PA      | $167869.65    | 0.11%             | 2065-05-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2020-INV1                                            | CORP CMO                              | CUSIP: 92537TAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $92089.69     | 0.06%             | 2060-03-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| COLT 2020-2 MORTGAGE LOAN TRUST                                                 | CORP CMO                              | CUSIP: 19688JAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    224000 | PA      | $209440.00    | 0.13%             | 2065-03-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST 2020-RPL1                                       | CORP CMO                              | CUSIP: 10568YAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    353000 | PA      | $308034.93    | 0.20%             | 2059-05-26      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2020-2                                     | CORP CMO                              | CUSIP: 24380NAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    137644 | PA      | $136045.45    | 0.09%             | 2065-05-25      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM                                    | CORP CMO                              | CUSIP: 64830UAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    212000 | PA      | $183185.41    | 0.12%             | 2060-05-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST 2020-2                                          | CORP CMO                              | CUSIP: 76123MAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    464000 | PA      | $426674.82    | 0.27%             | 2060-05-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| BUNKER HILL LOAN DEPOSITARY TRUST                                               | CORP CMO                              | CUSIP: 12062RAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    332000 | PA      | $288425.33    | 0.18%             | 2055-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GCAT 2020-NQM2 TRUST                                                            | CORP CMO                              | CUSIP: 36166RAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     46115 | PA      | $41389.34     | 0.03%             | 2065-04-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| 1SHARPE MORTGAGE TRUST 2020-1                                                   | CORP CMO                              | CUSIP: 68257LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    165451 | PA      | $163382.39    | 0.10%             | 2024-07-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2020-2 LTD                                                        | CORP CMO                              | CUSIP: 078782AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    151000 | PA      | $155312.56    | 0.10%             | 2030-08-26      | Floating      | 12.89%                | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL3 TRUST                                                            | CORP CMO                              | CUSIP: 12656PAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    170817 | PA      | $162835.62    | 0.10%             | 2060-03-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-FTR2                                               | CORP CMO                              | CUSIP: 35564WAH6<br>LEI: 5493008J93RJW7PJFN93 | Long             | ABS-CBDO         | CORP              | US        |    686000 | PA      | $658238.27    | 0.42%             | 2048-11-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA1                                               | CORP CMO                              | CUSIP: 35563KBD1<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $417659.80    | 0.27%             | 2049-01-25      | Floating      | 9.04%                 | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-DNA3                                                           | CORP CMO                              | CUSIP: 35563WBD5<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-CBDO         | CORP              | US        |     70000 | PA      | $71300.23     | 0.05%             | 2048-09-25      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2                               | CORP CMO                              | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    235000 | PA      | $200447.15    | 0.13%             | 2058-08-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-3                                                    | CORP CMO                              | CUSIP: 04285AAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    330000 | PA      | $258596.12    | 0.16%             | 2048-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    297000 | PA      | $308410.59    | 0.20%             | 2030-12-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     52223 | PA      | $51754.64     | 0.03%             | 2029-07-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| RADNOR RE 2019-1 LTD                                                            | CORP CMO                              | CUSIP: 75049SAC7<br>LEI: 254900JBDDKUTX6TX151 | Long             | ABS-CBDO         | CORP              | BM        |    150000 | PA      | $147013.70    | 0.09%             | 2029-02-25      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    243448 | PA      | $242442.50    | 0.15%             | 2030-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-HRP1                                   | CORP CMO                              | CUSIP: 20754PAC4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-CBDO         | CORP              | US        |    131256 | PA      | $128282.02    | 0.08%             | 2039-11-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-HQA2                                               | CORP CMO                              | CUSIP: 35564MBD6<br>LEI: 549300NKHCH87PYOHD44 | Long             | ABS-CBDO         | CORP              | US        |    463000 | PA      | $470403.65    | 0.30%             | 2049-04-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R01                                    | CORP CMO                              | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150089 | PA      | $149049.27    | 0.10%             | 2040-01-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA1                                         | CORP CMO                              | CUSIP: 35565JAH4<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-CBDO         | CORP              | US        |    202176 | PA      | $199052.66    | 0.13%             | 2050-01-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R02                                    | CORP CMO                              | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    133729 | PA      | $131723.13    | 0.08%             | 2040-01-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE CORP 2018-1 LTD                                                 | CORP CMO                              | CUSIP: 89052WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    261786 | PA      | $249553.73    | 0.16%             | 2023-03-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA2                                         | CORP CMO                              | CUSIP: 35565LAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    170896 | PA      | $172642.69    | 0.11%             | 2050-03-25      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| EAGLE RE 2019-1 LTD                                                             | CORP CMO                              | CUSIP: 269822AC6<br>LEI: 254900L82OLW9QTLJ788 | Long             | ABS-CBDO         | CORP              | BM        |    191000 | PA      | $186873.56    | 0.12%             | 2029-04-25      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2017-1 LTD                                                        | CORP CMO                              | CUSIP: 078767AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    212698 | PA      | $212414.69    | 0.14%             | 2027-10-25      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| RADNOR RE 2018-1 LTD                                                            | CORP CMO                              | CUSIP: 750496AB7<br>LEI: 549300ED4YNDE7SVU538 | Long             | ABS-CBDO         | CORP              | BM        |    191309 | PA      | $190706.37    | 0.12%             | 2028-03-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2004-3              | CORP CMO                              | CUSIP: 16678RBV8<br>LEI: 549300TC8R2SGZ2KM445 | Long             | ABS-CBDO         | CORP              | US        |     60298 | PA      | $54696.06     | 0.03%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $256154.83    | 0.16%             | 2030-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-DNA2                                               | CORP CMO                              | CUSIP: 35563TAV3<br>LEI: 549300L8K4CLYS7FCQ06 | Long             | ABS-CBDO         | CORP              | US        |    310000 | PA      | $310412.64    | 0.20%             | 2030-12-25      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE II LTD                                                               | CORP CMO                              | CUSIP: 67400CAB4<br>LEI: 254900KOPN6EP9T3LD85 | Long             | ABS-CBDO         | CORP              | BM        |    380000 | PA      | $380697.53    | 0.24%             | 2028-07-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| EAGLE RE 2018-1 LTD                                                             | CORP CMO                              | CUSIP: 269826AA1<br>LEI: 549300BLEDGL5R7YKU33 | Long             | ABS-CBDO         | CORP              | BM        |    216801 | PA      | $212970.58    | 0.14%             | 2028-11-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R01                                    | CORP CMO                              | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15445 | PA      | $15406.22     | 0.01%             | 2031-07-25      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R02                                    | CORP CMO                              | CUSIP: 20753KAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     59000 | PA      | $59961.51     | 0.04%             | 2031-08-25      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA2                                               | CORP CMO                              | CUSIP: 35564LBD8<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-CBDO         | CORP              | US        |     90000 | PA      | $92555.06     | 0.06%             | 2049-03-25      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    479511 | PA      | $506788.27    | 0.32%             | 2028-09-25      | Floating      | 10.74%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    198662 | PA      | $208779.48    | 0.13%             | 2028-10-25      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0AY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    137169 | PA      | $138815.02    | 0.09%             | 2024-04-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                            | CORP CMO                              | CUSIP: 3137G0KQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    299920 | PA      | $311094.90    | 0.20%             | 2028-12-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XEQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    208000 | PA      | $228242.23    | 0.15%             | 2029-07-25      | Floating      | 10.14%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $216913.44    | 0.14%             | 2029-09-25      | Floating      | 9.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                        | CORP CMO                              | CUSIP: 30711XJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    150000 | PA      | $158029.61    | 0.10%             | 2029-10-25      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R4                                   | CORP CMO                              | CUSIP: 61690WAY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    119099 | PA      | $115284.19    | 0.07%             | 2047-08-26      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR17 TRUST                  | CORP CMO                              | CUSIP: 92922F7S1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    561363 | PA      | $488329.73    | 0.31%             | 2045-12-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST                  | CORP CMO                              | CUSIP: 92922F4W5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    763263 | PA      | $691231.53    | 0.44%             | 2045-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | CORP MED TERM NOTE                    | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    180000 | PA      | $177215.24    | 0.11%             | 2024-08-26      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                                 | CORP. NOTE                            | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     96000 | PA      | $95366.47     | 0.06%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | CORP. NOTE                            | CUSIP: 03027XAX8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    235000 | PA      | $213030.01    | 0.14%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                     | CORP. NOTE                            | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    193000 | PA      | $167991.31    | 0.11%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| PATTERSON-UTI ENERGY INC                                                        | CORP. NOTE                            | CUSIP: 703481AC5<br>LEI: 254900XGFBKIXD6G0697 | Long             | DBT              | CORP              | US        |     36000 | PA      | $32265.70     | 0.02%             | 2029-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                          | CORP. NOTE                            | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     90000 | PA      | $83708.74     | 0.05%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ISTAR INC                                                                       | CORP. NOTE                            | CUSIP: 45031UCG4<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |     75000 | PA      | $73494.34     | 0.05%             | 2025-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | CORP. NOTE                            | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     37000 | PA      | $34844.56     | 0.02%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                    | CORP. NOTE                            | CUSIP: 01626PAM8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    134000 | PA      | $113559.02    | 0.07%             | 2030-01-25      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                           | CORP. NOTE                            | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     22000 | PA      | $19970.39     | 0.01%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | CORP. NOTE                            | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     62000 | PA      | $51740.19     | 0.03%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | CORP. NOTE                            | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    165000 | PA      | $155045.38    | 0.10%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                          | CORP. NOTE                            | CUSIP: 462613AM2<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29070.55     | 0.02%             | 2024-09-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | CORP. NOTE                            | CUSIP: 031162CQ1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    218000 | PA      | $201836.92    | 0.13%             | 2027-11-02      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FIRST-CITIZENS BANK  AND  TRUST CO                                              | CORP. NOTE                            | CUSIP: 125581GX0<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |    107000 | PA      | $108741.07    | 0.07%             | 2028-03-09      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | CORP. NOTE                            | CUSIP: 05964HAJ4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $187659.88    | 0.12%             | 2028-04-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LTD                                                  | CORP. NOTE                            | CUSIP: 303901BB7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    220000 | PA      | $207919.90    | 0.13%             | 2028-04-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| OSHKOSH CORP                                                                    | CORP. NOTE                            | CUSIP: 688239AF9<br>LEI: 549300FEKNPCFSA2B506 | Long             | DBT              | CORP              | US        |    125000 | PA      | $118795.65    | 0.08%             | 2028-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | CORP. NOTE                            | CUSIP: 91324PDK5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    220000 | PA      | $210682.89    | 0.13%             | 2028-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                     | CORP. NOTE                            | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |    176000 | PA      | $169666.08    | 0.11%             | 2027-11-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                              | CORP. NOTE                            | CUSIP: 05565EBE4<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    140000 | PA      | $132184.40    | 0.08%             | 2028-08-14      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                      | CORP. NOTE                            | CUSIP: 98978VAN3<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    285000 | PA      | $270717.22    | 0.17%             | 2028-08-20      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS  AND  FRAGRANCES INC                                      | CORP. NOTE                            | CUSIP: 459506AK7<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     75000 | PA      | $70587.43     | 0.05%             | 2028-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS AMERICA INC                                                  | CORP. NOTE                            | CUSIP: 10373QAT7<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    370000 | PA      | $350717.08    | 0.22%             | 2026-05-04      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                            | CORP. NOTE                            | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49198.26     | 0.03%             | 2024-03-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | CORP. NOTE                            | CUSIP: 67077MAT5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     95000 | PA      | $89233.85     | 0.06%             | 2029-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CORP. NOTE                            | CUSIP: 14040HBJ3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    225000 | PA      | $217425.51    | 0.14%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | CORP. NOTE                            | CUSIP: 05971KAA7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    800000 | PA      | $786942.30    | 0.50%             | 2025-11-19      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | CORP. NOTE                            | CUSIP: 780082AD5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    140000 | PA      | $138129.81    | 0.09%             | 2026-01-27      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | CORP. NOTE                            | CUSIP: 606822AD6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $191343.93    | 0.12%             | 2026-03-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                           | CORP. NOTE                            | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     88000 | PA      | $86333.91     | 0.06%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                                                | CORP. NOTE                            | CUSIP: 74256LAU3<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    145000 | PA      | $134518.06    | 0.09%             | 2026-04-18      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                                  | CORP. NOTE                            | CUSIP: 822582BT8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    230000 | PA      | $216591.20    | 0.14%             | 2026-05-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                                                   | CORP. NOTE                            | CUSIP: 960413AT9<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |    198000 | PA      | $186042.57    | 0.12%             | 2026-08-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | CORP. NOTE                            | CUSIP: 031162CJ7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92396.67     | 0.06%             | 2026-08-19      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                    | CORP. NOTE                            | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    103000 | PA      | $100993.97    | 0.06%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                                 | CORP. NOTE                            | CUSIP: 37045XBQ8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     95000 | PA      | $89419.43     | 0.06%             | 2026-10-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SPECTRA ENERGY PARTNERS LP                                                      | CORP. NOTE                            | CUSIP: 84756NAH2<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |    145000 | PA      | $134925.61    | 0.09%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORPUS CHRISTI HOLDINGS LLC                                            | CORP. NOTE                            | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60364.44     | 0.04%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JOHNSON CONTROLS INTERNATIONAL PLC                                              | CORP. NOTE                            | CUSIP: 478375AR9<br>LEI: 549300XQ6S1GYKGBL205 | Long             | DBT              | CORP              | US        |    138000 | PA      | $134006.62    | 0.09%             | 2026-02-14      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP /  CAYMN FI                                                        | CORP. NOTE                            | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    122000 | PA      | $115398.60    | 0.07%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | CORP. NOTE                            | CUSIP: 38141GWB6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    405000 | PA      | $385610.42    | 0.25%             | 2027-01-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                            | CORP. NOTE                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    124000 | PA      | $117021.67    | 0.07%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                                                         | CORP. NOTE                            | CUSIP: 075887BW8<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    146000 | PA      | $137944.56    | 0.09%             | 2027-06-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORP                                                                    | CORP. NOTE                            | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     66000 | PA      | $60836.27     | 0.04%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                    | CORP. NOTE                            | CUSIP: 01626PAH9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    260000 | PA      | $239850.00    | 0.15%             | 2027-07-26      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | CORP. NOTE                            | CUSIP: 86562MAA8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    205000 | PA      | $201467.64    | 0.13%             | 2024-04-02      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| FAIRFAX US INC                                                                  | CORP. NOTE                            | CUSIP: 304071AA1<br>LEI: 549300JGURHUEU25AZ92 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24385.48     | 0.02%             | 2024-08-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                | CORP. NOTE                            | CUSIP: 251525AP6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $190035.81    | 0.12%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CORP. NOTE                            | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    454000 | PA      | $444965.84    | 0.28%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                | CORP. NOTE                            | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $193962.00    | 0.12%             | 2025-07-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                                            | CORP. NOTE                            | CUSIP: 26442EAD2<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     72000 | PA      | $71373.27     | 0.05%             | 2023-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FUNDING TRUST                                                      | CORP. NOTE                            | CUSIP: 33829TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | PA      | $232826.96    | 0.15%             | 2023-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | CORP. NOTE                            | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    185000 | PA      | $189112.71    | 0.12%             | 2028-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | CORP. NOTE                            | CUSIP: 38141GZV9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    115000 | PA      | $116368.71    | 0.07%             | 2024-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                            | CORP. NOTE                            | CUSIP: 10112RBG8<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     52000 | PA      | $53617.53     | 0.03%             | 2027-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | CORP. NOTE                            | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    115000 | PA      | $117418.86    | 0.07%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                   | CORP. NOTE                            | CUSIP: 709599BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $35245.63     | 0.02%             | 2027-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC                                                    | CORP. NOTE                            | CUSIP: 883556CT7<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    170000 | PA      | $170551.73    | 0.11%             | 2027-11-21      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | CORP. NOTE                            | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    205000 | PA      | $204989.86    | 0.13%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| EVERGY MISSOURI WEST INC                                                        | CORP. NOTE                            | CUSIP: 30037FAA8<br>LEI: EZIFUDC0VSUS6T6LCG85 | Long             | DBT              | CORP              | US        |    165000 | PA      | $164384.21    | 0.10%             | 2027-12-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                     | CORP. NOTE                            | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56244.39     | 0.04%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | CORP. NOTE                            | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    101000 | PA      | $82481.68     | 0.05%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                | CORP. NOTE                            | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    168000 | PA      | $143685.55    | 0.09%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                        | CORP. NOTE                            | CUSIP: 15089QAK0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     65000 | PA      | $54371.25     | 0.03%             | 2026-08-05      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                                       | CORP. NOTE                            | CUSIP: 85855CAA8<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    200000 | PA      | $171785.20    | 0.11%             | 2027-01-29      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CORP. NOTE                            | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     83000 | PA      | $66804.81     | 0.04%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                             | CORP. NOTE                            | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     60000 | PA      | $52341.08     | 0.03%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                                 | CORP. NOTE                            | CUSIP: 37045XDR4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    158000 | PA      | $137983.73    | 0.09%             | 2027-02-26      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| S AND P GLOBAL INC                                                              | CORP. NOTE                            | CUSIP: 78409VAY0<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     65000 | PA      | $64240.94     | 0.04%             | 2028-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                        | CORP. NOTE                            | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    548000 | PA      | $451423.08    | 0.29%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                                                  | CORP. NOTE                            | CUSIP: 2027A0KK4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    182000 | PA      | $165456.04    | 0.11%             | 2027-03-14      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                     | CORP. NOTE                            | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    130000 | PA      | $119652.65    | 0.08%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | CORP. NOTE                            | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91080.76     | 0.06%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | CORP. NOTE                            | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     58000 | PA      | $55022.73     | 0.04%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | CORP. NOTE                            | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    210000 | PA      | $205724.19    | 0.13%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | CORP. NOTE                            | CUSIP: 45866FAT1<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19522.76     | 0.01%             | 2025-05-23      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | CORP. NOTE                            | CUSIP: 45866FAU8<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    200000 | PA      | $193224.80    | 0.12%             | 2027-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CORP. NOTE                            | CUSIP: 928668BS0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $191706.31    | 0.12%             | 2027-06-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                                             | CORP. NOTE                            | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    130000 | PA      | $121911.79    | 0.08%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                   | CORP. NOTE                            | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $71170.80     | 0.05%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | CORP. NOTE                            | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18746.32     | 0.01%             | 2027-06-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                        | CORP. NOTE                            | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    500000 | PA      | $493163.11    | 0.31%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | CORP. NOTE                            | CUSIP: 30303M8G0<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     58000 | PA      | $54056.01     | 0.03%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/NEW YORK NY                                                    | CORP. NOTE                            | CUSIP: 22550L2J9<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | US        |    250000 | PA      | $238710.50    | 0.15%             | 2024-08-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                        | CORP. NOTE                            | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14927.09     | 0.01%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORP. NOTE                            | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     45000 | PA      | $38367.10     | 0.02%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | CORP. NOTE                            | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6340.70      | 0.00%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                          | CORP. NOTE                            | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    105000 | PA      | $93279.20     | 0.06%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                                                            | CORP. NOTE                            | CUSIP: 09857LAR9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |    120000 | PA      | $115893.41    | 0.07%             | 2030-04-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                   | CORP. NOTE                            | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    202000 | PA      | $200453.29    | 0.13%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                                            | CORP. NOTE                            | CUSIP: 50077LBC9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    182000 | PA      | $173882.22    | 0.11%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                    | CORP. NOTE                            | CUSIP: 25470DBJ7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     18000 | PA      | $14833.60     | 0.01%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | CORP. NOTE                            | CUSIP: 67077MAW8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     25000 | PA      | $21417.95     | 0.01%             | 2030-05-13      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                      | CORP. NOTE                            | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    130000 | PA      | $126699.24    | 0.08%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORP. NOTE                            | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    194000 | PA      | $172541.44    | 0.11%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS  AND  ELECTRIC CO                                                   | CORP. NOTE                            | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $85403.14     | 0.05%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | CORP. NOTE                            | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    110000 | PA      | $93989.50     | 0.06%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CORP. NOTE                            | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    165000 | PA      | $163916.20    | 0.10%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | CORP. NOTE                            | CUSIP: 674599DZ5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    109000 | PA      | $117371.84    | 0.07%             | 2027-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | CORP. NOTE                            | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    223000 | PA      | $204368.55    | 0.13%             | 2026-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CORP. NOTE                            | CUSIP: 126650DM9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    446000 | PA      | $377599.13    | 0.24%             | 2027-08-21      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                        | CORP. NOTE                            | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    210000 | PA      | $197139.22    | 0.13%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                                                    | CORP. NOTE                            | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    140000 | PA      | $124318.41    | 0.08%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                                | CORP. NOTE                            | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    109000 | PA      | $97098.92     | 0.06%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                                 | CORP. NOTE                            | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     37000 | PA      | $32581.41     | 0.02%             | 2026-01-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                   | CORP. NOTE                            | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    155000 | PA      | $148537.61    | 0.09%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | CORP. NOTE                            | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    250000 | PA      | $216969.55    | 0.14%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORP. NOTE                            | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    130000 | PA      | $116378.78    | 0.07%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | CORP. NOTE                            | CUSIP: 29278NAM5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     84000 | PA      | $84211.26     | 0.05%             | 2024-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | CORP. NOTE                            | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    182000 | PA      | $180707.63    | 0.12%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                        | CORP. NOTE                            | CUSIP: 15089QAJ3<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     13000 | PA      | $12558.38     | 0.01%             | 2024-05-08      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                  | CORP. NOTE                            | CUSIP: 629377CK6<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    120000 | PA      | $115576.32    | 0.07%             | 2024-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                        | CORP. NOTE                            | CUSIP: 92840VAD4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     98000 | PA      | $93987.94     | 0.06%             | 2024-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO VI LLC                                                     | CORP. NOTE                            | CUSIP: 48252AAA9<br>LEI: 549300TUJWGHJM3FSJ07 | Long             | DBT              | CORP              | US        |    110000 | PA      | $98921.14     | 0.06%             | 2029-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                                       | CORP. NOTE                            | CUSIP: 502431AM1<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     73000 | PA      | $69876.76     | 0.04%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                                       | CORP. NOTE                            | CUSIP: 502431AL3<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    132000 | PA      | $125885.55    | 0.08%             | 2026-12-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN GROUP LLC / NEUBERGER BERMAN FINANCE CORP                      | CORPORATE BONDS                       | CUSIP: 64128XAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $60510.83     | 0.04%             | 2045-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORPORATE BONDS                       | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    335000 | PA      | $283213.73    | 0.18%             | 2046-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                       | CORPORATE BONDS                       | CUSIP: 037833BH2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    468000 | PA      | $432500.12    | 0.28%             | 2045-05-13      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CNO FINANCIAL GROUP INC                                                         | CORPORATE BONDS                       | CUSIP: 12621EAK9<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69444.75     | 0.04%             | 2025-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | CORPORATE BONDS                       | CUSIP: 91324PCR1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46821.48     | 0.03%             | 2045-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                                     | CORPORATE BONDS                       | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     85000 | PA      | $82203.50     | 0.05%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                          | CORPORATE BONDS                       | CUSIP: 126650BP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     16290 | PA      | $16196.71     | 0.01%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | CORPORATE BONDS                       | CUSIP: 59022CAJ2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    300000 | PA      | $303408.19    | 0.19%             | 2037-01-29      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY CO                                                    | CORPORATE BONDS                       | CUSIP: 59562VAR8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |      3000 | PA      | $3170.66      | 0.00%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | CORPORATE BONDS                       | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    314000 | PA      | $335045.29    | 0.21%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                            | CORPORATE BONDS                       | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     83000 | PA      | $90172.23     | 0.06%             | 2037-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                                             | CORPORATE BONDS                       | CUSIP: 92976GAJ0<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    610000 | PA      | $659036.31    | 0.42%             | 2038-01-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| METLIFE CAPITAL TRUST IV                                                        | CORPORATE BONDS                       | CUSIP: 591560AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    340000 | PA      | $367236.67    | 0.23%             | 2037-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | CORPORATE BONDS                       | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    145000 | PA      | $149690.21    | 0.10%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSURANCE  AND  ANNUITY ASSOCIATION OF AMERICA                         | CORPORATE BONDS                       | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    173000 | PA      | $190413.96    | 0.12%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                                                        | CORPORATE BONDS                       | CUSIP: 74432QBN4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |      1000 | PA      | $1080.21      | 0.00%             | 2040-06-21      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                             | CORPORATE BONDS                       | CUSIP: 25746UBM0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    135000 | PA      | $119230.25    | 0.08%             | 2041-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER  AND  LIGHT CO                                                    | CORPORATE BONDS                       | CUSIP: 341081FF9<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    203000 | PA      | $175842.70    | 0.11%             | 2042-02-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | CORPORATE BONDS                       | CUSIP: 29273RAR0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19767.56     | 0.01%             | 2042-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                          | CORPORATE BONDS                       | CUSIP: 209111FB4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     85000 | PA      | $71137.50     | 0.05%             | 2042-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                            | CORPORATE BONDS                       | CUSIP: 26884TAE2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85086.80     | 0.05%             | 2042-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AON GLOBAL LTD                                                                  | CORPORATE BONDS                       | CUSIP: 00185AAB0<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |    171000 | PA      | $134309.90    | 0.09%             | 2042-12-12      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                                          | CORPORATE BONDS                       | CUSIP: 224044CC9<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     90000 | PA      | $72826.12     | 0.05%             | 2043-06-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FINANCE CORP                                                 | CORPORATE BONDS                       | CUSIP: 084664BV2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    210000 | PA      | $188254.04    | 0.12%             | 2043-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CF INDUSTRIES INC                                                               | CORPORATE BONDS                       | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    227000 | PA      | $194204.36    | 0.12%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DR HORTON INC                                                                   | CORPORATE BONDS                       | CUSIP: 23331ABH1<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |    120000 | PA      | $120384.44    | 0.08%             | 2023-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST SERIES 2013                                              | CORPORATE BONDS                       | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     96206 | PA      | $86461.59     | 0.06%             | 2036-01-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                  | CORPORATE BONDS                       | CUSIP: 025537AP6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    100000 | PA      | $67154.30     | 0.04%             | 2050-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO/THE                                                         | CORPORATE BONDS                       | CUSIP: 824348BM7<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |     50000 | PA      | $34175.05     | 0.02%             | 2050-05-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                           | CORPORATE BONDS                       | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44311.05     | 0.03%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                | CORPORATE BONDS                       | CUSIP: 26441CAX3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    180000 | PA      | $166088.15    | 0.11%             | 2027-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                                           | CORPORATE BONDS                       | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    240000 | PA      | $221339.92    | 0.14%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | CORPORATE BONDS                       | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    168000 | PA      | $132568.49    | 0.08%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORPORATE BONDS                       | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     85000 | PA      | $62126.14     | 0.04%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                                   | CORPORATE BONDS                       | CUSIP: 817565CD4<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23351.25     | 0.01%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | CORPORATE BONDS                       | CUSIP: 29379VBQ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    315000 | PA      | $252760.21    | 0.16%             | 2048-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SA                                                         | CORPORATE BONDS                       | CUSIP: 87938WAW3<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |     13000 | PA      | $9990.96      | 0.01%             | 2048-03-06      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WORLDWIDE INC                                              | CORPORATE BONDS                       | CUSIP: 035240AL4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    340000 | PA      | $323600.37    | 0.21%             | 2028-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WORLDWIDE INC                                              | CORPORATE BONDS                       | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     73000 | PA      | $63433.47     | 0.04%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | CORPORATE BONDS                       | CUSIP: 67077MAS7<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     44000 | PA      | $40198.76     | 0.03%             | 2045-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | CORPORATE BONDS                       | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     49000 | PA      | $49662.97     | 0.03%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS  AND  ELECTRIC CO                                                   | CORPORATE BONDS                       | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    190000 | PA      | $167680.99    | 0.11%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC/OK                                                    | CORPORATE BONDS                       | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    130000 | PA      | $119113.80    | 0.08%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                                         | CORPORATE BONDS                       | CUSIP: 25389JAT3<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |    265000 | PA      | $250887.14    | 0.16%             | 2028-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | CORPORATE BONDS                       | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    117000 | PA      | $112493.60    | 0.07%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECHNOLOGIES CORP                                                      | CORPORATE BONDS                       | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    370000 | PA      | $354129.85    | 0.23%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | CORPORATE BONDS                       | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37413.62     | 0.02%             | 2028-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| INTERPUBLIC GROUP OF COS INC/THE                                                | CORPORATE BONDS                       | CUSIP: 460690BP4<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |    226000 | PA      | $216235.16    | 0.14%             | 2028-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                  | CORPORATE BONDS                       | CUSIP: 025537AM3<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    210000 | PA      | $200552.83    | 0.13%             | 2028-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                         | CORPORATE BONDS                       | CUSIP: 68233JBK9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    161000 | PA      | $166977.48    | 0.11%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                                            | CORPORATE BONDS                       | CUSIP: 26442EAF7<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    195000 | PA      | $180562.69    | 0.12%             | 2029-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MARSH  AND  MCLENNAN COS INC                                                    | CORPORATE BONDS                       | CUSIP: 571748BG6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    194000 | PA      | $187382.32    | 0.12%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                | CORPORATE BONDS                       | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44517.48     | 0.03%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| HUNTSMAN INTERNATIONAL LLC                                                      | CORPORATE BONDS                       | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |    150000 | PA      | $134712.00    | 0.09%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                                                  | CORPORATE BONDS                       | CUSIP: 05329WAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $29176.02     | 0.02%             | 2025-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CORPORATE BONDS                       | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $958175.40    | 0.61%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                           | CORPORATE BONDS                       | CUSIP: 66989HAK4<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    265000 | PA      | $232485.12    | 0.15%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | CORPORATE BONDS                       | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34577.53     | 0.02%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | CORPORATE BONDS                       | CUSIP: 24703TAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     11000 | PA      | $12531.88     | 0.01%             | 2046-07-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                            | CORPORATE BONDS                       | CUSIP: 26884TAR3<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37103.33     | 0.02%             | 2026-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                | CORPORATE BONDS                       | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     58000 | PA      | $52050.20     | 0.03%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | CORPORATE BONDS                       | CUSIP: 20030NBW0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    286000 | PA      | $259858.80    | 0.17%             | 2027-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                    | CORPORATE BONDS                       | CUSIP: 02079KAC1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    120000 | PA      | $110326.07    | 0.07%             | 2026-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | CORPORATE BONDS                       | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     66000 | PA      | $63609.29     | 0.04%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                                          | CORPORATE BONDS                       | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     44000 | PA      | $41138.24     | 0.03%             | 2026-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                     | CORPORATE BONDS                       | CUSIP: 64110LAN6<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192500.00    | 0.12%             | 2026-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                   | CORPORATE BONDS                       | CUSIP: 709599AW4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    133000 | PA      | $122000.38    | 0.08%             | 2026-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | CORPORATE BONDS                       | CUSIP: 717081EA7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    125000 | PA      | $118269.50    | 0.08%             | 2026-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | CORPORATE BONDS                       | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     95000 | PA      | $91334.00     | 0.06%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                            | CORPORATE BONDS                       | CUSIP: 26138EAX7<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     66000 | PA      | $61417.60     | 0.04%             | 2027-06-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | CORPORATE BONDS                       | CUSIP: 61746BEG7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    760000 | PA      | $643161.74    | 0.41%             | 2047-01-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORPORATE BONDS                       | CUSIP: 00206RDQ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    231000 | PA      | $224769.03    | 0.14%             | 2027-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | CORPORATE BONDS                       | CUSIP: 961214DK6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     38000 | PA      | $35754.86     | 0.02%             | 2027-03-08      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CORPORATE BONDS                       | CUSIP: 22822VAF8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21203.55     | 0.01%             | 2047-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO/THE                                                         | CORPORATE BONDS                       | CUSIP: 824348AW6<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    135000 | PA      | $126621.49    | 0.08%             | 2027-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORPUS CHRISTI HOLDINGS LLC                                            | CORPORATE BONDS                       | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    152000 | PA      | $150165.07    | 0.10%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | CORPORATE BONDS                       | CUSIP: 03027XAP5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    118000 | PA      | $109267.95    | 0.07%             | 2027-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                                          | CORPORATE BONDS                       | CUSIP: 224044CJ4<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     56000 | PA      | $51982.66     | 0.03%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CORPORATE BONDS                       | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    130000 | PA      | $120748.85    | 0.08%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                             | CORPORATE BONDS                       | CUSIP: 045054AF0<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    335000 | PA      | $313073.85    | 0.20%             | 2027-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                            | CORPORATE BONDS                       | CUSIP: 26884TAL6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4831.02      | 0.00%             | 2024-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | CORPORATE BONDS                       | CUSIP: 29250NAJ4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     90000 | PA      | $74829.14     | 0.05%             | 2044-06-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORP                                                                    | CORPORATE BONDS                       | CUSIP: 615369AE5<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    108000 | PA      | $103954.72    | 0.07%             | 2044-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                | CORPORATE BONDS                       | CUSIP: 494550BW5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     86000 | PA      | $77271.25     | 0.05%             | 2044-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                         | CORPORATE BONDS                       | CUSIP: 05578QAD5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    317000 | PA      | $304483.76    | 0.19%             | 2025-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | CORPORATE BONDS                       | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     85000 | PA      | $78051.67     | 0.05%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | CORPORATE BONDS                       | CUSIP: 37045VAJ9<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    115000 | PA      | $93468.60     | 0.06%             | 2045-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | CORPORATE BONDS                       | CUSIP: 46625HJZ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     46000 | PA      | $44446.88     | 0.03%             | 2026-12-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | CORPORATE BONDS                       | CUSIP: 404119BR9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     95000 | PA      | $94884.98     | 0.06%             | 2025-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MERCK  AND  CO INC                                                              | CORPORATE BONDS                       | CUSIP: 58933YAT2<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    160000 | PA      | $131593.38    | 0.08%             | 2045-02-10      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| LYONDELLBASELL INDUSTRIES NV                                                    | CORPORATE BONDS                       | CUSIP: 552081AM3<br>LEI: BN6WCCZ8OVP3ITUUVN49 | Long             | DBT              | CORP              | US        |    225000 | PA      | $175155.80    | 0.11%             | 2055-02-26      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | CORPORATE BONDS                       | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    223000 | PA      | $177207.12    | 0.11%             | 2052-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                                                 | CORPORATE BONDS                       | CUSIP: 962166BR4<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |     32000 | PA      | $35372.28     | 0.02%             | 2032-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| WESTROCK MWV LLC                                                                | CORPORATE BONDS                       | CUSIP: 961548AV6<br>LEI: 4DL8C98Z5G5IXZLH3578 | Long             | DBT              | CORP              | US        |    105000 | PA      | $118397.37    | 0.08%             | 2030-01-15      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| WESTROCK MWV LLC                                                                | CORPORATE BONDS                       | CUSIP: 961548AY0<br>LEI: 4DL8C98Z5G5IXZLH3578 | Long             | DBT              | CORP              | US        |     39000 | PA      | $43820.89     | 0.03%             | 2031-02-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                          | CORPORATE BONDS                       | CUSIP: 202795HG8<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |      2000 | PA      | $2059.99      | 0.00%             | 2033-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                                       | CORPORATE BONDS                       | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |     90000 | PA      | $71813.25     | 0.05%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                                  | CORPORATE BONDS                       | CUSIP: 79466LAL8<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    128000 | PA      | $83893.41     | 0.05%             | 2051-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                                  | CORPORATE BONDS                       | CUSIP: 79466LAM6<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    127000 | PA      | $80641.85     | 0.05%             | 2061-07-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                                                  | CORPORATE BONDS                       | CUSIP: 05329WAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     39000 | PA      | $28041.44     | 0.02%             | 2031-08-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                                             | CORPORATE BONDS                       | CUSIP: 82967NBM9<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    130000 | PA      | $101422.00    | 0.06%             | 2031-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AT AND T INC                                                                    | CORPORATE BONDS                       | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    162000 | PA      | $124498.58    | 0.08%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                                     | CORPORATE BONDS                       | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     89000 | PA      | $70728.90     | 0.05%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL FINANCIAL INC                                                 | CORPORATE BONDS                       | CUSIP: 31620RAL9<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |     89000 | PA      | $51692.75     | 0.03%             | 2051-09-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                       | CORPORATE BONDS                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    245000 | PA      | $191531.39    | 0.12%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SYSTEMS INC                                               | CORPORATE BONDS                       | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $53343.01     | 0.03%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL CO INC                                                 | CORPORATE BONDS                       | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     62000 | PA      | $48579.59     | 0.03%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                                                          | CORPORATE BONDS                       | CUSIP: 096630AJ7<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20687.41     | 0.01%             | 2032-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                           | CORPORATE BONDS                       | CUSIP: 94106BAE1<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | US        |     22000 | PA      | $18872.47     | 0.01%             | 2032-06-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                                                | CORPORATE BONDS                       | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $35141.80     | 0.02%             | 2032-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | CORPORATE BONDS                       | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    215000 | PA      | $187558.53    | 0.12%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                        | CORPORATE BONDS                       | CUSIP: 53079EBN3<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    200000 | PA      | $179866.60    | 0.11%             | 2052-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS  AND  ELECTRIC CO                                                   | CORPORATE BONDS                       | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     64000 | PA      | $62450.56     | 0.04%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CABOT CORP                                                                      | CORPORATE BONDS                       | CUSIP: 127055AM3<br>LEI: K05C0SER542GQ6VLRO68 | Long             | DBT              | CORP              | US        |     75000 | PA      | $69344.94     | 0.04%             | 2032-06-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                                        | CORPORATE BONDS                       | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85585.31     | 0.05%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                           | CORPORATE BONDS                       | CUSIP: 94106BAF8<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23218.60     | 0.01%             | 2033-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                | CORPORATE BONDS                       | CUSIP: 22822VAR2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    195000 | PA      | $170584.68    | 0.11%             | 2030-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                      | CORPORATE BONDS                       | CUSIP: 695114CW6<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    133000 | PA      | $114339.98    | 0.07%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | CORPORATE BONDS                       | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    261000 | PA      | $214577.90    | 0.14%             | 2050-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                            | CORPORATE BONDS                       | CUSIP: 49271VAJ9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     38000 | PA      | $33114.92     | 0.02%             | 2030-05-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | CORPORATE BONDS                       | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    158000 | PA      | $141592.04    | 0.09%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | CORPORATE BONDS                       | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    160000 | PA      | $108243.92    | 0.07%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                  | CORPORATE BONDS                       | CUSIP: 023135BU9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    453000 | PA      | $272857.20    | 0.17%             | 2060-06-03      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | CORPORATE BONDS                       | CUSIP: 594918CD4<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    500000 | PA      | $317206.06    | 0.20%             | 2060-06-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS  AND  ELECTRIC CO                                                   | CORPORATE BONDS                       | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    145000 | PA      | $112351.89    | 0.07%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                    | CORPORATE BONDS                       | CUSIP: 02079KAG2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    115000 | PA      | $64783.84     | 0.04%             | 2060-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTERNATIONAL/US                                                   | CORPORATE BONDS                       | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12193.60     | 0.01%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                                                        | CORPORATE BONDS                       | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |    294000 | PA      | $241856.16    | 0.15%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SERVICENOW INC                                                                  | CORPORATE BONDS                       | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |    145000 | PA      | $110927.40    | 0.07%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| S AND P GLOBAL INC                                                              | CORPORATE BONDS                       | CUSIP: 78409VAS3<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     41000 | PA      | $31532.69     | 0.02%             | 2030-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                   | CORPORATE BONDS                       | CUSIP: 45866FAN4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    118000 | PA      | $88762.67     | 0.06%             | 2032-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS  AND  FRAGRANCES INC                                      | CORPORATE BONDS                       | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     35000 | PA      | $27768.03     | 0.02%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS  AND  FRAGRANCES INC                                      | CORPORATE BONDS                       | CUSIP: 459506AS0<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     20000 | PA      | $13537.78     | 0.01%             | 2050-12-01      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| INTERPUBLIC GROUP OF COS INC/THE                                                | CORPORATE BONDS                       | CUSIP: 460690BT6<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |     78000 | PA      | $61566.31     | 0.04%             | 2031-03-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY CO                                                    | CORPORATE BONDS                       | CUSIP: 084659AX9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    100000 | PA      | $82918.20     | 0.05%             | 2050-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                  | CORPORATE BONDS                       | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    251000 | PA      | $177582.68    | 0.11%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORPORATE BONDS                       | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    475000 | PA      | $350641.84    | 0.22%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | CORPORATE BONDS                       | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     55000 | PA      | $39184.16     | 0.02%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                              | CORPORATE BONDS                       | CUSIP: 254687EZ5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     55000 | PA      | $68727.35     | 0.04%             | 2045-12-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                           | CORPORATE BONDS                       | CUSIP: 941053AJ9<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | US        |    110000 | PA      | $100639.08    | 0.06%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                        | CORPORATE BONDS                       | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     82000 | PA      | $73869.27     | 0.05%             | 2029-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | CORPORATE BONDS                       | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27386.73     | 0.02%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                | CORPORATE BONDS                       | CUSIP: 26441CBF1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     65000 | PA      | $51296.31     | 0.03%             | 2049-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL INTERNATIONAL SA                                          | CORPORATE BONDS                       | CUSIP: 89153VAT6<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    335000 | PA      | $295689.45    | 0.19%             | 2030-01-10      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | CORPORATE BONDS                       | CUSIP: 961214EG4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    185000 | PA      | $152703.87    | 0.10%             | 2039-07-24      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | CORPORATE BONDS                       | CUSIP: 00914AAE2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    260000 | PA      | $221383.68    | 0.14%             | 2029-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS MUTUAL LIFE INSURANCE CO                                          | CORPORATE BONDS                       | CUSIP: 575767AN8<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |     36000 | PA      | $23592.76     | 0.02%             | 2070-10-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | CORPORATE BONDS                       | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    135000 | PA      | $97907.97     | 0.06%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II SARL                                                       | CORPORATE BONDS                       | CUSIP: 23291KAH8<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    230000 | PA      | $201192.96    | 0.13%             | 2029-11-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| S AND P GLOBAL INC                                                              | CORPORATE BONDS                       | CUSIP: 78409VAP9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     70000 | PA      | $59842.77     | 0.04%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                               | CORPORATE BONDS                       | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     84000 | PA      | $71360.06     | 0.05%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                             | CORPORATE BONDS                       | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     48000 | PA      | $40649.56     | 0.03%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                     | CORPORATE BONDS                       | CUSIP: 74340XBM2<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     54000 | PA      | $44988.16     | 0.03%             | 2030-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| OSHKOSH CORP                                                                    | CORPORATE BONDS                       | CUSIP: 688225AH4<br>LEI: 549300FEKNPCFSA2B506 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12650.27     | 0.01%             | 2030-03-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| EL PASO CORP NATURAL GAS                                                        | CORPORATE STEP UP                     | CUSIP: 283695BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    207000 | PA      | $234085.19    | 0.15%             | 2032-06-15      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FNQB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    545490 | PA      | $52869.46     | 0.03%             | 2049-09-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FJGY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3346601 | PA      | $151790.27    | 0.10%             | 2042-06-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137BMNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    470848 | PA      | $85838.64     | 0.05%             | 2045-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FUF90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1873698 | PA      | $120253.93    | 0.08%             | 2049-02-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137F7Q24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4467157 | PA      | $816158.56    | 0.52%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137AMVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81368 | PA      | $5591.01      | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137AV3L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150994 | PA      | $29824.99     | 0.02%             | 2042-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137AW3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214244 | PA      | $24032.73     | 0.02%             | 2042-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137AXVR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    878888 | PA      | $65846.32     | 0.04%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137B0NQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    954649 | PA      | $66750.56     | 0.04%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137AX2K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    481600 | PA      | $58903.87     | 0.04%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137B0DZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328442 | PA      | $22695.35     | 0.01%             | 2042-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137AYQL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    426844 | PA      | $64973.06     | 0.04%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FQNN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4348506 | PA      | $402927.77    | 0.26%             | 2050-01-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO IO                          | CUSIP: 3137FC5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    800875 | PA      | $90247.48     | 0.06%             | 2047-12-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO PO                          | CUSIP: 31397BDU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1705 | PA      | $1647.99      | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO PO                          | CUSIP: 31397P6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14169 | PA      | $11583.29     | 0.01%             | 2037-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO PO                          | CUSIP: 31397KMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2044 | PA      | $1617.99      | 0.00%             | 2037-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | FHLMC CMO PO                          | CUSIP: 31396T2M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2790 | PA      | $2306.58      | 0.00%             | 2036-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140E9ZA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15107 | PA      | $14103.92     | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138YND46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192703 | PA      | $190225.31    | 0.12%             | 2045-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140F7F79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75884 | PA      | $70701.75     | 0.05%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138Y9DA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250329 | PA      | $247970.80    | 0.16%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138ET7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425579 | PA      | $413480.11    | 0.26%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138MAJN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26222 | PA      | $23720.19     | 0.02%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138M7KQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19133 | PA      | $17338.21     | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138W1L39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146947 | PA      | $133701.59    | 0.09%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138ETDK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33132 | PA      | $30145.63     | 0.02%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31417GHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54895 | PA      | $49947.28     | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138WNBL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99647 | PA      | $90664.69     | 0.06%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138M7G33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45975 | PA      | $41672.86     | 0.03%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140EVB63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153289 | PA      | $147446.04    | 0.09%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140EVUP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394287 | PA      | $355790.05    | 0.23%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140EVTB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381187 | PA      | $343968.84    | 0.22%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140J5JS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483516 | PA      | $436911.65    | 0.28%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140FC3F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182854 | PA      | $169909.80    | 0.11%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138XW2X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127656 | PA      | $126489.09    | 0.08%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138WHFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    771232 | PA      | $695930.61    | 0.44%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138X0YX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233385 | PA      | $218613.86    | 0.14%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3138W1SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36813 | PA      | $33494.79     | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 31413R3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4061 | PA      | $4098.94      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN30                                  | CUSIP: 3140F8B55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75424 | PA      | $70320.15     | 0.04%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN40                                  | CUSIP: 3140FXDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1373713 | PA      | $1265736.59   | 0.81%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FN40                                  | CUSIP: 3140FXG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    885311 | PA      | $811020.54    | 0.52%             | 2057-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 31398PJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288602 | PA      | $30795.00     | 0.02%             | 2040-04-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136APCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    923550 | PA      | $153358.03    | 0.10%             | 2045-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136ADBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67878 | PA      | $488.59       | 0.00%             | 2041-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136ADLY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24862 | PA      | $79.24        | 0.00%             | 2041-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AEPV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209028 | PA      | $8617.63      | 0.01%             | 2042-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AEQA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291714 | PA      | $37656.22     | 0.02%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136ABJP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    799446 | PA      | $61284.71     | 0.04%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AFEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174390 | PA      | $3961.63      | 0.00%             | 2042-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136A4BG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122572 | PA      | $5260.63      | 0.00%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136A6LM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78410 | PA      | $1625.02      | 0.00%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136ACYN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234039 | PA      | $36840.30     | 0.02%             | 2043-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136AMMX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13327 | PA      | $82.44        | 0.00%             | 2044-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B3WG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    595180 | PA      | $44849.16     | 0.03%             | 2049-01-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B3G53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2529497 | PA      | $194467.72    | 0.12%             | 2049-02-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136A9X60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1061195 | PA      | $191083.06    | 0.12%             | 2042-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136BFHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1608641 | PA      | $247264.26    | 0.16%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136BBX23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5539519 | PA      | $609790.29    | 0.39%             | 2050-10-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B8H51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1066178 | PA      | $109283.24    | 0.07%             | 2050-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136B0RS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1135400 | PA      | $126690.84    | 0.08%             | 2048-01-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | FNMA CMO IO                           | CUSIP: 3136ARSF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2097052 | PA      | $209206.35    | 0.13%             | 2046-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP                                                       | FNMA CMO PO                           | CUSIP: 3136FCT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8593 | PA      | $6897.52      | 0.00%             | 2036-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $938749.50    | 0.60%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2891718.60   | 1.84%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9639062.00   | 6.15%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4081094.00   | 2.60%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3514062.40   | 2.24%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5456715.60   | 3.48%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13000000 | PA      | $13038599.60  | 8.32%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3391250.00   | 2.16%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5077346.00   | 3.24%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3944376.80   | 2.52%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                                 | FNMA TBA                              | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  45000000 | PA      | $44374239.00  | 28.30%            | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 31329MU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195065 | PA      | $177055.77    | 0.11%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 31329MXU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244698 | PA      | $229210.84    | 0.15%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3132AATC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384299 | PA      | $372016.28    | 0.24%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XQEG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51908 | PA      | $51579.45     | 0.03%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XQKR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203117 | PA      | $201775.10    | 0.13%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XUBX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34881 | PA      | $32520.63     | 0.02%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XRJN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35347 | PA      | $34989.81     | 0.02%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XWED1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    379042 | PA      | $352920.70    | 0.23%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XVET8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    656670 | PA      | $616135.69    | 0.39%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XUTN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53008 | PA      | $49355.10     | 0.03%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XULN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455663 | PA      | $411173.41    | 0.26%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD POOL                                                           | FR30                                  | CUSIP: 3131XQTV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29706 | PA      | $29509.90     | 0.02%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BG3X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72439 | PA      | $67160.90     | 0.04%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617MUEF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17949 | PA      | $17864.65     | 0.01%             | 2050-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BG3Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138499 | PA      | $128406.42    | 0.08%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617AQDL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65006 | PA      | $63599.62     | 0.04%             | 2067-08-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617ALRA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50329 | PA      | $49431.21     | 0.03%             | 2067-06-20      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36196UJY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65890 | PA      | $64531.31     | 0.04%             | 2067-03-20      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36196RRT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91115 | PA      | $89602.62     | 0.06%             | 2067-05-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BUS67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167928 | PA      | $155691.54    | 0.10%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BUS59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103624 | PA      | $96073.00     | 0.06%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BUS26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113370 | PA      | $105109.27    | 0.07%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BG3Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190051 | PA      | $176202.32    | 0.11%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LES54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9075 | PA      | $8376.58      | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617ATK28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101872 | PA      | $94449.23     | 0.06%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617ATK85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106079 | PA      | $98349.01     | 0.06%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BJUW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23638 | PA      | $21915.58     | 0.01%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BG4N7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192076 | PA      | $177959.87    | 0.11%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BG4Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305407 | PA      | $282961.76    | 0.18%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617BG4P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98234 | PA      | $91014.67     | 0.06%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617GPMJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27300 | PA      | $26874.11     | 0.02%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617GPMK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89609 | PA      | $88209.51     | 0.06%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130446 | PA      | $131297.08    | 0.08%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190940 | PA      | $192245.70    | 0.12%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617GCYW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173793 | PA      | $166471.76    | 0.11%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617G0SZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30287 | PA      | $29010.72     | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617G0S27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15839 | PA      | $15171.66     | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617GQYF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118336 | PA      | $113350.63    | 0.07%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617GQXB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    385519 | PA      | $369278.29    | 0.24%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617K4VA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12437 | PA      | $12401.70     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LCDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63917 | PA      | $58999.51     | 0.04%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LEKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9934 | PA      | $9170.01      | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LELG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16610 | PA      | $15332.38     | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GII30                                 | CUSIP: 3617LEPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10511 | PA      | $9702.35      | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GN30                                  | CUSIP: 36197F2T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54510 | PA      | $50812.13     | 0.03%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GN30                                  | CUSIP: 36197F2U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10319 | PA      | $9618.56      | 0.01%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RK62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    834677 | PA      | $25233.11     | 0.02%             | 2066-12-20      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38380YXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    372261 | PA      | $29684.11     | 0.02%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38380YYB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18529 | PA      | $2829.22      | 0.00%             | 2045-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38380LQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2512288 | PA      | $112132.82    | 0.07%             | 2068-11-20      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378GT57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1200279 | PA      | $111637.91    | 0.07%             | 2042-12-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379HVB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    935553 | PA      | $192368.31    | 0.12%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    867894 | PA      | $67321.65     | 0.04%             | 2049-04-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381XAJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    975166 | PA      | $89286.23     | 0.06%             | 2049-07-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381B7N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    585862 | PA      | $45547.60     | 0.03%             | 2049-02-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381XBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    997885 | PA      | $96395.71     | 0.06%             | 2049-07-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381A3Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    671105 | PA      | $62853.81     | 0.04%             | 2048-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142633 | PA      | $19353.73     | 0.01%             | 2049-10-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379EZ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    702482 | PA      | $98855.68     | 0.06%             | 2044-09-16      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382CRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43067 | PA      | $3007.54      | 0.00%             | 2050-02-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382AJU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1232402 | PA      | $70590.36     | 0.05%             | 2049-10-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382BFR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1336715 | PA      | $220290.63    | 0.14%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382B6A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    810578 | PA      | $73268.15     | 0.05%             | 2050-01-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382DRV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    991410 | PA      | $103505.60    | 0.07%             | 2050-03-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381BFZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1239250 | PA      | $124955.90    | 0.08%             | 2048-12-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381RBC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1084561 | PA      | $109713.22    | 0.07%             | 2049-02-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38381YD92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1412129 | PA      | $201760.99    | 0.13%             | 2049-09-16      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382C5A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    846237 | PA      | $142946.31    | 0.09%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382EMH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1873932 | PA      | $162582.36    | 0.10%             | 2050-04-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6590013 | PA      | $214519.28    | 0.14%             | 2066-10-20      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38382LYL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5143037 | PA      | $766205.76    | 0.49%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38377XUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1828 | PA      | $143.15       | 0.00%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376WP82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211088 | PA      | $40085.09     | 0.03%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378GHD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305203 | PA      | $55366.82     | 0.04%             | 2042-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376WM85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143661 | PA      | $29801.78     | 0.02%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378FMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226043 | PA      | $48107.91     | 0.03%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375CMY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    454984 | PA      | $78001.05     | 0.05%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378JNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164518 | PA      | $18906.40     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375AX25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1153378 | PA      | $241494.30    | 0.15%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378WY49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168858 | PA      | $15494.38     | 0.01%             | 2043-09-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375AXQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    604689 | PA      | $125829.74    | 0.08%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378YP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    762408 | PA      | $125341.69    | 0.08%             | 2044-01-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38377X4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    695966 | PA      | $98003.00     | 0.06%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375ARB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310303 | PA      | $55249.38     | 0.04%             | 2039-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379BCP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183808 | PA      | $15733.81     | 0.01%             | 2043-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375CGV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205108 | PA      | $21701.85     | 0.01%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379DHV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63071 | PA      | $3488.44      | 0.00%             | 2042-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378HVU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500496 | PA      | $81869.82     | 0.05%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376CM30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    352683 | PA      | $50327.89     | 0.03%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    766113 | PA      | $138730.51    | 0.09%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UVZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1313555 | PA      | $47201.27     | 0.03%             | 2065-03-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RAF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1177861 | PA      | $56301.74     | 0.04%             | 2065-04-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379MGK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144748 | PA      | $27274.41     | 0.02%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379LWF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302650 | PA      | $22150.94     | 0.01%             | 2040-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1016138 | PA      | $44710.08     | 0.03%             | 2065-07-20      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RBE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1875677 | PA      | $81029.27     | 0.05%             | 2065-05-20      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376REE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1125478 | PA      | $20605.26     | 0.01%             | 2065-06-20      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375USW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1014841 | PA      | $20741.33     | 0.01%             | 2064-12-20      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    955853 | PA      | $40814.92     | 0.03%             | 2065-08-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2062126 | PA      | $97126.12     | 0.06%             | 2065-05-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1243256 | PA      | $61789.81     | 0.04%             | 2065-06-20      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375BFR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1568950 | PA      | $52610.04     | 0.03%             | 2060-08-20      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379N2B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38157 | PA      | $4141.16      | 0.00%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2420110 | PA      | $97288.43     | 0.06%             | 2065-04-20      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1961618 | PA      | $70618.25     | 0.05%             | 2065-09-20      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RJH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1398109 | PA      | $44459.87     | 0.03%             | 2065-10-20      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RKS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1470440 | PA      | $57169.25     | 0.04%             | 2065-08-20      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RPW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4356675 | PA      | $108045.54    | 0.07%             | 2066-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379DJU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    559989 | PA      | $34498.13     | 0.02%             | 2029-07-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272229 | PA      | $54565.92     | 0.03%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RQP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1786202 | PA      | $40245.91     | 0.03%             | 2066-02-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378DRC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1650009 | PA      | $288817.64    | 0.18%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UWZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1953984 | PA      | $71001.68     | 0.05%             | 2066-01-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2327542 | PA      | $82541.62     | 0.05%             | 2066-06-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UHX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3785590 | PA      | $148773.68    | 0.09%             | 2064-05-20      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38379Q6W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    585079 | PA      | $96011.40     | 0.06%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3940450 | PA      | $151939.81    | 0.10%             | 2064-06-20      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3986986 | PA      | $131570.52    | 0.08%             | 2066-10-20      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    834404 | PA      | $40686.60     | 0.03%             | 2066-11-20      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376RCL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2332863 | PA      | $88960.06     | 0.06%             | 2065-06-20      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376MVG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331395 | PA      | $64426.43     | 0.04%             | 2047-03-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2153607 | PA      | $88999.52     | 0.06%             | 2067-03-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UZE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1870242 | PA      | $87787.30     | 0.06%             | 2067-03-20      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1843794 | PA      | $52651.26     | 0.03%             | 2064-12-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2162234 | PA      | $59893.88     | 0.04%             | 2067-04-20      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376UEA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    340438 | PA      | $22614.14     | 0.01%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376R5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2980887 | PA      | $94305.94     | 0.06%             | 2067-06-20      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376R2S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1719190 | PA      | $64347.57     | 0.04%             | 2067-05-20      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38380GZN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    419297 | PA      | $79201.96     | 0.05%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA CMO IO                           | CUSIP: 38376R7A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1543047 | PA      | $119201.31    | 0.08%             | 2067-09-20      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3881285.60   | 2.48%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1893343.80   | 1.21%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6000000 | PA      | $5512680.00   | 3.52%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                               | GNMA TBA                              | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3562706.00   | 2.27%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        12 | NC      | $2460937.51   | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        24 | NC      | $2838750.00   | 1.81%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       121 | NC      | $13587921.88  | 8.67%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        35 | NC      | $4387031.25   | 2.80%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       150 | NC      | $16189453.20  | 10.33%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        47 | NC      | $5072695.34   | 3.24%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        74 | NC      | $9939125.00   | 6.34%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       239 | NC      | $49013672.11  | 31.26%            |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE REMICS                                                               | GOVT CMO                              | CUSIP: 31397QLM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53355 | PA      | $54936.88     | 0.04%             | 2040-05-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | GOVT CMO                              | CUSIP: 31396WCU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45612 | PA      | $71683.49     | 0.05%             | 2037-06-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | GOVT CMO                              | CUSIP: 31397PUB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86112 | PA      | $133574.66    | 0.09%             | 2037-04-15      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | GOVT CMO                              | CUSIP: 31396HU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4390 | PA      | $3869.22      | 0.00%             | 2036-02-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | GOVT CMO                              | CUSIP: 31394UN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65705 | PA      | $88204.71     | 0.06%             | 2035-12-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | GOVT CMO                              | CUSIP: 31395N7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48358 | PA      | $88935.01     | 0.06%             | 2036-07-25      | Floating      | 13.57%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | GOVT CMO                              | CUSIP: 3137ABA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95407 | PA      | $79887.18     | 0.05%             | 2041-05-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | GOVT CMO                              | CUSIP: 31396FLW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61025 | PA      | $92285.15     | 0.06%             | 2035-11-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | GOVT CMO                              | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115553 | PA      | $146165.30    | 0.09%             | 2035-03-15      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | GOVT CMO                              | CUSIP: 31395V3D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20422 | PA      | $22046.64     | 0.01%             | 2034-06-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                              | GOVT CMO                              | CUSIP: 31395U2R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13620 | PA      | $18298.15     | 0.01%             | 2035-05-15      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                               | GOVT CMO                              | CUSIP: 31394V2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67722 | PA      | $72444.66     | 0.05%             | 2036-03-25      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7374600 | NC      | $145500.86    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2141000 | NC      | $18562.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4733400 | NC      | $199607.48    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    219000 | NC      | $5295.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    802000 | NC      | $47061.36     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4170000 | NC      | $55878.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    824000 | NC      | $21597.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    337000 | NC      | $7235.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10350000 | NC      | $197685.00    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1666000 | NC      | $15343.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2101869 | NC      | $95424.85     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    716000 | NC      | $4023.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4062000 | NC      | $33592.74     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    513000 | NC      | $3719.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    514900 | NC      | $1446.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5230000 | NC      | $5700.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    804000 | NC      | $14986.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    177000 | NC      | $3154.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    625000 | NC      | $10962.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    625000 | NC      | $11168.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3639000 | NC      | $62918.31     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    583000 | NC      | $10762.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3499000 | NC      | $62562.12     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1980000 | NC      | $34768.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    544000 | NC      | $28179.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    490000 | NC      | $9760.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4688000 | NC      | $152031.84    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  22025000 | NC      | $111006.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9360000 | NC      | $295027.20    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8207000 | NC      | $13869.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  22500000 | NC      | $28125.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    571000 | NC      | $4990.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    338000 | NC      | $3450.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16974000 | NC      | $54995.76     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3706000 | NC      | $27090.86     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    159000 | NC      | $3550.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    627200 | NC      | $11904.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3206900 | NC      | $43229.01     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1060600 | NC      | $19122.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2121100 | NC      | $24350.23     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2903900 | NC      | $7114.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    538300 | NC      | $10706.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    399000 | NC      | $7876.26      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12092900 | NC      | $48008.81     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1904000 | NC      | $106776.32    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5527100 | NC      | $165205.02    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1148700 | NC      | $15300.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6891000 | NC      | $27426.18     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1700000 | NC      | $15198.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    999000 | NC      | $6823.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17190000 | NC      | $48132.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3988000 | NC      | $18025.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  32441000 | NC      | $13949.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  20969000 | NC      | $399669.14    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13410000 | NC      | $731917.80    | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2349000 | NC      | $8973.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1369000 | NC      | $13690.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: 99JF589S7<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   5165700 | NC      | $970376.74    | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3832000 | NC      | $389292.88    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13584000 | NC      | $2357910.72   | 1.50%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10320000 | NC      | $3407560.80   | 2.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16699000 | NC      | $671466.79    | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5436000 | NC      | $218472.84    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5260000 | NC      | $532469.80    | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17192000 | NC      | $2984703.12   | 1.90%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1625000 | NC      | $537143.75    | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    499000 | NC      | $156695.98    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1195000 | NC      | $119655.35    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    290200 | NC      | $19141.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1514000 | NC      | $432943.44    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1314000 | NC      | $388523.52    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4174000 | NC      | $1212630.48   | 0.77%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    860600 | NC      | $76154.49     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4273600 | NC      | $1080579.76   | 0.69%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3354000 | NC      | $127619.70    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     51000 | NC      | $13815.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1700000 | NC      | $238765.00    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3255000 | NC      | $268439.85    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1072400 | NC      | $156313.02    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2443000 | NC      | $382402.79    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2533000 | NC      | $397681.00    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1335000 | NC      | $189463.20    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4800000 | NC      | $140112.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1910000 | NC      | $101650.20    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    482000 | NC      | $46517.82     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    419000 | NC      | $87411.78     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7267000 | NC      | $218664.03    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1330000 | NC      | $218771.70    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    496000 | NC      | $41510.24     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    164000 | NC      | $8634.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8507100 | NC      | $382904.57    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12392500 | NC      | $365826.60    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    968000 | NC      | $130215.36    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    413700 | NC      | $37179.22     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3285000 | NC      | $210601.35    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    664000 | NC      | $74414.48     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9738800 | NC      | $571667.56    | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1694800 | NC      | $375618.52    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5520000 | NC      | $225050.40    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6617000 | NC      | $177070.92    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  27978500 | NC      | $557051.94    | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14788500 | NC      | $374740.59    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2972500 | NC      | $171216.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    361000 | NC      | $43449.96     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5960000 | NC      | $401167.60    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3424700 | NC      | $407710.54    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2240200 | NC      | $186608.66    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2240200 | NC      | $185690.18    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2109900 | NC      | $184447.46    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7145000 | NC      | $652338.50    | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2063100 | NC      | $195354.94    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    404600 | NC      | $18211.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    650000 | NC      | $46923.50     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    610500 | NC      | $71147.67     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: 99NV599V8<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   1034800 | NC      | $126421.52    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    424400 | NC      | $52655.31     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5095000 | NC      | $215365.65    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3427000 | NC      | $262576.74    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    430100 | NC      | $11096.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    220000 | NC      | $12828.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                     | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    748000 | NC      | $31161.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    179000 | NC      | $42745.20     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     59000 | NC      | $10224.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     59000 | NC      | $9381.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     71000 | NC      | $13610.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    570612 | NC      | $76804.39     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     44000 | NC      | $6679.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     20000 | NC      | $3616.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    175000 | NC      | $15120.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     83000 | NC      | $26460.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     24000 | NC      | $4600.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     14000 | NC      | $2604.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    260078 | NC      | $35006.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    265124 | NC      | $35685.64     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     62000 | NC      | $11532.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      8500 | NC      | $1581.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    152000 | NC      | $24168.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    180574 | NC      | $44276.65     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     58000 | NC      | $9222.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     25000 | NC      | $4520.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    190000 | NC      | $34352.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     51000 | NC      | $9220.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     31000 | NC      | $5604.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     47000 | NC      | $7134.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     17000 | NC      | $3073.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     32000 | NC      | $5785.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     49000 | NC      | $8859.20      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      7000 | NC      | $1421.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     50000 | NC      | $8665.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    228000 | NC      | $41222.40     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     79000 | NC      | $13690.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     36000 | NC      | $6238.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     63000 | NC      | $12789.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     73000 | NC      | $12650.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     29000 | NC      | $5025.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     44000 | NC      | $7625.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     22000 | NC      | $3977.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      8000 | NC      | $1386.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     69000 | NC      | $11957.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     17000 | NC      | $3451.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     76000 | NC      | $13170.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    199000 | NC      | $35979.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     16000 | NC      | $2892.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    133000 | NC      | $20189.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $151.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     20000 | NC      | $3720.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     42500 | NC      | $7905.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     24000 | NC      | $6328.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     72000 | NC      | $12477.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     92000 | NC      | $24260.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     10000 | NC      | $1590.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     44000 | NC      | $7625.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    113000 | NC      | $29798.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     84000 | NC      | $14557.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    121000 | NC      | $31907.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    209000 | NC      | $33231.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    102000 | NC      | $17676.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    141000 | NC      | $44950.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     57000 | NC      | $10305.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     19000 | NC      | $3021.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     63000 | NC      | $10017.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $406.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    187000 | NC      | $59615.60     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    165000 | NC      | $52602.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    109000 | NC      | $33920.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     35000 | NC      | $7105.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    106000 | NC      | $33792.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     35000 | NC      | $7105.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      6000 | NC      | $1867.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    101000 | NC      | $16059.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     85000 | NC      | $13515.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     41551 | NC      | $15000.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     42000 | NC      | $6678.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     19000 | NC      | $3857.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    113000 | NC      | $9367.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     43000 | NC      | $7774.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     72015 | NC      | $9693.16      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $172.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    114673 | NC      | $15434.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     31000 | NC      | $2678.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     11000 | NC      | $2046.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     11000 | NC      | $2046.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     91000 | NC      | $7862.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     41000 | NC      | $6519.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    156000 | NC      | $24804.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     79000 | NC      | $15144.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |     67161 | NC      | $16467.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |     30412 | NC      | $7457.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DCR              | CORP              | US        |     83000 | NC      | $20351.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     45000 | NC      | $15012.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      6000 | NC      | $1284.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    254000 | NC      | $54381.40     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    153000 | NC      | $32757.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    101000 | NC      | $21624.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |      7000 | NC      | $399.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     55000 | NC      | $11775.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    128000 | NC      | $42700.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    102000 | NC      | $34027.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    171000 | NC      | $36611.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    466000 | NC      | $155457.60    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     29356 | NC      | $3951.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    298000 | NC      | $99412.80     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    219000 | NC      | $46887.90     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    118000 | NC      | $39364.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    146000 | NC      | $31258.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     13000 | NC      | $741.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $622.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     20000 | NC      | $1140.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    157000 | NC      | $50051.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    124000 | NC      | $41366.40     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     83000 | NC      | $26460.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    157000 | NC      | $50051.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     62000 | NC      | $19765.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     76000 | NC      | $24228.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     76000 | NC      | $24228.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |     18460 | NC      | $7062.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     22000 | NC      | $6846.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    730695 | NC      | $98351.61     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     36000 | NC      | $11203.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     72000 | NC      | $22953.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     25124 | NC      | $9069.81      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    127000 | NC      | $27190.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      9000 | NC      | $2800.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     10000 | NC      | $3112.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     10000 | NC      | $3112.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      7000 | NC      | $2178.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      9000 | NC      | $1926.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     18000 | NC      | $3853.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     14000 | NC      | $4356.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    151000 | NC      | $48138.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $1556.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     95718 | NC      | $36621.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    687000 | NC      | $229183.20    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    348000 | NC      | $74506.80     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    247000 | NC      | $82399.20     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                          | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    114178 | NC      | $43684.58     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    154000 | NC      | $32971.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      3670 | NC      | $493.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      5504 | NC      | $740.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     62000 | NC      | $10744.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     65000 | NC      | $9867.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     53000 | NC      | $8045.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    146000 | NC      | $26396.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     17000 | NC      | $2580.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     45000 | NC      | $8136.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     67000 | NC      | $12113.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      8000 | NC      | $1214.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     89000 | NC      | $16091.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     24311 | NC      | $3272.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     72000 | NC      | $13017.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                             | PERPETUAL BONDS                       | CUSIP: 316773CM0<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     61000 | PA      | $57950.00     | 0.04%             | 2023-06-30      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                      | PERPETUAL BONDS                       | CUSIP: 902973BC9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    100000 | PA      | $81750.00     | 0.05%             | 2027-01-15      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | PERPETUAL BONDS                       | CUSIP: 060505EL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39453.27     | 0.03%             | 2024-10-23      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO  AND  CO                                                            | PERPETUAL BONDS                       | CUSIP: 949746RN3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    115000 | PA      | $110975.00    | 0.07%             | 2025-06-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | PERPETUAL BONDS                       | CUSIP: 060505EN0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    245000 | PA      | $236425.00    | 0.15%             | 2025-03-17      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | PERPETUAL BONDS                       | CUSIP: H4209UAN6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    247000 | PA      | $241146.10    | 0.15%             | 2049-12-29      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                             | PERPETUAL BONDS                       | CUSIP: 369604BQ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    333000 | PA      | $327153.36    | 0.21%             | 2049-12-29      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA  AND  NEW ZEALAND BANKING GROUP LTD/UNITED KINGDOM                    | PERPETUAL BONDS                       | CUSIP: 05254HAA2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $199281.58    | 0.13%             | 2026-06-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | PERPETUAL BONDS                       | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    125000 | PA      | $92812.50     | 0.06%             | 2028-02-15      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | PERPETUAL BONDS                       | CUSIP: 48126HAC4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     87000 | PA      | $84674.49     | 0.05%             | 2024-10-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | PERPETUAL BONDS                       | CUSIP: 89832QAD1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    185000 | PA      | $166546.70    | 0.11%             | 2024-09-01      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | PERPETUAL BONDS                       | CUSIP: 48128BAG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    429000 | PA      | $378056.25    | 0.24%             | 2025-02-01      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                             | PERPETUAL BONDS                       | CUSIP: 83370RAA6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $162027.36    | 0.10%             | 2050-11-18      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO  AND  CO                                                            | PERPETUAL BONDS                       | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43763.25     | 0.03%             | 2026-03-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | PERPETUAL BONDS                       | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $151951.73    | 0.10%             | 2031-02-10      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | PERPETUAL BONDS                       | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    135000 | PA      | $115087.50    | 0.07%             | 2051-02-18      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                  | PERPETUAL BONDS                       | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $154520.09    | 0.10%             | 2031-02-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | PERPETUAL BONDS                       | CUSIP: 48128BAN1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     87000 | PA      | $74493.75     | 0.05%             | 2026-06-01      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | PERPETUAL BONDS                       | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    164000 | PA      | $132430.00    | 0.08%             | 2051-07-28      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                          | PERPETUAL BONDS                       | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    225000 | PA      | $195750.00    | 0.12%             | 2023-12-11      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| PUTNAM SHORT TERM INVESTMENT FUND                                               | SHORT TERM INV FUND                   | CUSIP: 74676P664<br>LEI: 5493003MK0Q7JP8CPP42 | Long             | STIV             | PF                | US        |  34399865 | NS      | $34399865.00  | 21.94%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Institutional U.S. Government Money Market Fund, Premier Class     | SHORT TERM INV FUND                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |    807000 | NS      | $807000.00    | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2912600 | NC      | $50912.25     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2825300 | NC      | $-29637.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2825300 | NC      | $52070.28     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2510900 | NC      | $225.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2510900 | NC      | $-100.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |    785300 | NC      | $23221.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |    785300 | NC      | $-42296.26    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    875000 | NC      | $-68573.75    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    875000 | NC      | $33127.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    875000 | NC      | $-58213.75    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    875000 | NC      | $31937.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    126800 | NC      | $-6541.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                            | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    126800 | NC      | $-3366.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2259800 | NC      | $-183540.96   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2259800 | NC      | $353003.36    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1862900 | NC      | $-56762.56    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   1862900 | NC      | $142195.16    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   1398800 | NC      | $-45461.00    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   1398800 | NC      | $131669.04    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2608100 | NC      | $-77278.00    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   2608100 | NC      | $193729.67    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |    412400 | NC      | $23011.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |    412400 | NC      | $-10004.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   4230800 | NC      | $53181.16     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2961600 | NC      | $-111474.62   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  11799100 | NC      | $205658.31    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  11799100 | NC      | $-111501.50   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   8461600 | NC      | $-312486.89   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  16923300 | NC      | $185817.83    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |   1797000 | NC      | $-82104.93    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |   1797000 | NC      | $130012.95    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  13281900 | NC      | $-78496.03    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  13281900 | NC      | $282904.47    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   8921100 | NC      | $-62982.97    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   8921100 | NC      | $228558.58    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   7794900 | NC      | $419521.52    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   7794900 | NC      | $-139450.76   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1474600 | NC      | $49369.61     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1474600 | NC      | $-110300.08   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   3158700 | NC      | $-180014.31   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   3158700 | NC      | $52560.77     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    489600 | NC      | $15750.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    489600 | NC      | $-40073.76    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1934400 | NC      | $-57799.87    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1934400 | NC      | $125387.81    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1870800 | NC      | $100405.84    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1870800 | NC      | $-57152.94    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1246300 | NC      | $-93198.31    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1246300 | NC      | $248848.72    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    564900 | NC      | $110392.76    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    564900 | NC      | $-41898.63    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1048600 | NC      | $-76799.46    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   1048600 | NC      | $208744.80    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   3103000 | NC      | $-106246.72   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   3103000 | NC      | $164583.12    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   6226000 | NC      | $71349.96     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   6226000 | NC      | $-68859.56    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2465500 | NC      | $-26972.57    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2465500 | NC      | $23200.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2574500 | NC      | $-8676.06     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    851000 | NC      | $2748.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    851000 | NC      | $-1999.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                                             | SWAPTION                              | CUSIP: N/A<br>LEI: KB1H1DSPRFMYMCUFXT09       | N/A              | DIR              | CORP              | US        |   2855100 | NC      | $-20870.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   6462200 | NC      | $-85430.28    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   6462200 | NC      | $23845.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   2075200 | NC      | $28367.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                     | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   2075200 | NC      | $-36357.50    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                            | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2912600 | NC      | $-32679.37    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796ZJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1498944.86   | 0.96%             | 2023-01-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796YN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    122000 | PA      | $120572.60    | 0.08%             | 2023-04-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796ZL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $798207.65    | 0.51%             | 2023-01-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    557000 | PA      | $555151.64    | 0.35%             | 2023-02-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796CT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    112000 | PA      | $110611.20    | 0.07%             | 2023-04-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T BILLS                          | CUSIP: 912796ZK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $99856.94     | 0.06%             | 2023-01-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T. NOTE                          | CUSIP: 91282CFG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    175000 | PA      | $173349.75    | 0.11%             | 2024-08-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T. NOTE                          | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    222000 | PA      | $218576.76    | 0.14%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                        | U.S. T. NOTE                          | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    113000 | PA      | $105808.68    | 0.07%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 976657AH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    305000 | PA      | $255144.70    | 0.16%             | 2067-05-15      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | VAR.RT. CORP. BONDS                   | CUSIP: 172967NX5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    105000 | PA      | $105449.08    | 0.07%             | 2026-09-29      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                                                        | VAR.RT. CORP. BONDS                   | CUSIP: 744320AN2<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    196000 | PA      | $185754.49    | 0.12%             | 2044-03-15      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 59022CAA1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97068.28     | 0.06%             | 2026-09-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                       | VAR.RT. CORP. BONDS                   | CUSIP: 891160MJ9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    180000 | PA      | $165789.53    | 0.11%             | 2031-09-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | VAR.RT. CORP. BONDS                   | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     64000 | PA      | $59805.94     | 0.04%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA TRUST                                                               | VAR.RT. CORP. BONDS                   | CUSIP: 89356BAC2<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |    215000 | PA      | $180600.00    | 0.12%             | 2077-03-15      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | VAR.RT. CORP. BONDS                   | CUSIP: 46647PAL0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    735000 | PA      | $573299.78    | 0.37%             | 2048-11-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                | VAR.RT. CORP. BONDS                   | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     95000 | PA      | $83649.44     | 0.05%             | 2032-12-15      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S.A.                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 225313AK1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $348523.04    | 0.22%             | 2033-01-10      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                                     | VAR.RT. CORP. BONDS                   | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    188000 | PA      | $175144.17    | 0.11%             | 2029-05-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE  AND  CO                                                         | VAR.RT. CORP. BONDS                   | CUSIP: 48123UAB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     63000 | PA      | $48230.91     | 0.03%             | 2047-05-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    195000 | PA      | $158494.36    | 0.10%             | 2031-02-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | VAR.RT. CORP. BONDS                   | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     21000 | PA      | $19878.24     | 0.01%             | 2026-04-08      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                          | VAR.RT. CORP. BONDS                   | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $213522.93    | 0.14%             | 2026-06-05      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK NY                                                    | VAR.RT. CORP. BONDS                   | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    150000 | PA      | $144873.58    | 0.09%             | 2024-09-18      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA  AND  NEW ZEALAND BANKING GROUP LTD                                   | VAR.RT. CORP. BONDS                   | CUSIP: 052528AM8<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    245000 | PA      | $179762.99    | 0.11%             | 2035-11-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                             | VAR.RT. CORP. BONDS                   | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    210000 | PA      | $154288.67    | 0.10%             | 2032-06-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | VAR.RT. CORP. BONDS                   | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    225000 | PA      | $161835.91    | 0.10%             | 2032-07-29      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                      | VAR.RT. CORP. BONDS                   | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    260000 | PA      | $197852.64    | 0.13%             | 2036-11-03      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK NY                                                    | VAR.RT. CORP. BONDS                   | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    150000 | PA      | $127182.36    | 0.08%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | VAR.RT. CORP. BONDS                   | CUSIP: 53944YAQ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    305000 | PA      | $197781.60    | 0.13%             | 2046-12-14      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | VAR.RT. CORP. BONDS                   | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    385000 | PA      | $318803.31    | 0.20%             | 2037-03-08      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                                                         | VAR.RT. CORP. BONDS                   | CUSIP: 49326EEL3<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    103000 | PA      | $100781.75    | 0.06%             | 2025-05-23      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| CITIZENS BANK NA/PROVIDENCE RI                                                  | VAR.RT. CORP. BONDS                   | CUSIP: 75524KNQ3<br>LEI: DRMSV1Q0EKMEXLAU1P80 | Long             | DBT              | CORP              | US        |    270000 | PA      | $264199.93    | 0.17%             | 2025-05-23      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC/THE                                            | VAR.RT. CORP. BONDS                   | CUSIP: 693475BE4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    320000 | PA      | $295621.81    | 0.19%             | 2033-06-06      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | VAR.RT. CORP. BONDS                   | CUSIP: 89788MAH5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    105000 | PA      | $103168.41    | 0.07%             | 2026-07-28      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                                                        | VAR.RT. CORP. BONDS                   | CUSIP: 744320AM4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |     66000 | PA      | $64510.25     | 0.04%             | 2043-06-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-24

**Name of Applicant:** Putnam Investments Inc

**Signature:** Janet C. Smith

**Name of Signer:** NPORT

**Title:** Principal Financial Officer