# EDGAR Filing Document

**Accession Number:** 0001681576
**File Stem:** 0001681576-23-000006
**Filing Date:** 2023-1
**Character Count:** 533401
**Document Hash:** cf9af2baeb389bd5204997aa0e4e5e33
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001681576-23-000006.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001681576-23-000006

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price Total Return Fund, Inc.
- **CENTRAL INDEX KEY:** 0001681576
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23180
- **FILM NUMBER:** 23561403

**BUSINESS ADDRESS:**
- **STREET 1:** 100 EAST PRATT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202
- **BUSINESS PHONE:** 410-345-4981

**MAIL ADDRESS:**
- **STREET 1:** 100 EAST PRATT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202

## Series and Classes Contracts Data

### T. Rowe Price Total Return Fund (Series ID: S000055582)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000174964 | T. Rowe Price Total Return Fund                | PTTFX           |
| C000174965 | T. Rowe Price Total Return Fund--Advisor Class | PTATX           |
| C000174966 | T. Rowe Price Total Return Fund--I Class       | PTKIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** T. ROWE PRICE TOTAL RETURN FUND, INC.

- **b. Investment Company Act file number:** 811-23180

- **c. CIK number of Registrant:** 0001681576

- **d. LEI of Registrant:** 54930030REW0J45PM043

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

  - **Street Address 1:** 100 East Pratt Street

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21202

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

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

- **a. Name of Series:** T. Rowe Price Total Return Fund

- **b. EDGAR series identifier (if any):** S000055582

- **c. LEI of Series:** 549300ZQ4TOEETMBQY79

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

- **a. Date of fiscal year-end:** 2023-05-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $759473559.13

**Total Liabilities:** $131193623.46

**Net Assets:** $628279935.67

**Delayed Delivery Securities:** $181547.90

**Stand-by Commitments:** $117032463.02

**Cash Not Reported:** $144745.42

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -190.427486 | **1-Year:** -14111.302629 | **5-Year:** -85524.665702 | **10-Year:** -99303.972640 | **30-Year:** -1799.757157

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

- **3-Month:** 14368.119182 | **1-Year:** -4996.370839 | **5-Year:** -24248.771816 | **10-Year:** -12230.239260 | **30-Year:** -1344.925254

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000174964 | -4.81%               | -1.92%               | 3.51%                |
| Class ID C000174965 | -4.94%               | -1.82%               | 3.36%                |
| Class ID C000174966 | -4.90%               | -1.79%               | 3.40%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6179292.07             | $-24933498.14                              |
| Month 2  | $-6421185.01             | $-2448650.62                               |
| Month 3  | $-5331891.65             | $23773096.49                               |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                                             | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93002 | PA      | $94421.74     | 0.02%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28010 | PA      | $28439.72     | 0.00%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292161 | PA      | $292304.14    | 0.05%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22825 | PA      | $21552.34     | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102607 | PA      | $96961.77     | 0.02%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118690 | PA      | $112299.95    | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252888 | PA      | $237460.44    | 0.04%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14207 | PA      | $14377.56     | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103615 | PA      | $97667.40     | 0.02%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47348 | PA      | $44765.33     | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60185 | PA      | $56903.01     | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179QGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32989 | PA      | $34543.88     | 0.01%             | 2044-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179Q6Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97155 | PA      | $94294.61     | 0.02%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140115 | PA      | $133408.37    | 0.02%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50588 | PA      | $48168.95     | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35222 | PA      | $33537.94     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324663 | PA      | $309124.34    | 0.05%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179MNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3906 | PA      | $3807.95      | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15956 | PA      | $15192.62     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144456 | PA      | $137543.88    | 0.02%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36179DEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4232 | PA      | $4001.64      | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GFL Environmental Inc                                                            | GFL ENVIRONMENTAL INC                                                            | CUSIP: 36168QAF1<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     16000 | PA      | $15400.00     | 0.00%             | 2026-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM5 Trust                                                             | GCAT 2021-NQM5 TRUST                                                             | CUSIP: 36168KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2332425 | PA      | $1793429.96   | 0.29%             | 2066-07-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM4 Trust                                                             | GCAT 2021-NQM4 TRUST                                                             | CUSIP: 36168HAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1221153 | PA      | $902817.82    | 0.14%             | 2066-08-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2020-HQA4                                          | FREDDIE MAC STACR REMIC TRUST 2020-HQA4                                          | CUSIP: 35565RAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6166 | PA      | $6166.34      | 0.00%             | 2050-09-25      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust 2020-HQA2                                          | FREDDIE MAC STACR REMIC TRUST 2020-HQA2                                          | CUSIP: 35565LAH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    251358 | PA      | $250179.60    | 0.04%             | 2050-03-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2020-HQA1                                          | FREDDIE MAC STACR REMIC TRUST 2020-HQA1                                          | CUSIP: 35565JAH4<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-MBS          | USGSE             | US        |     59015 | PA      | $57908.61     | 0.01%             | 2050-01-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust 2019-Hqa4                                          | FREDDIE MAC STACR REMIC TRUST 2019-HQA4                                          | CUSIP: 35565CAH9<br>LEI: 5493005LAQ76UDHPEE03 | Long             | ABS-MBS          | USGSE             | US        |     29075 | PA      | $28965.56     | 0.00%             | 2049-11-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA4                                          | FREDDIE MAC STACR REMIC TRUST 2022-DNA4                                          | CUSIP: 35564KWS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1069053 | PA      | $1061724.11   | 0.17%             | 2042-05-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA3                                          | FREDDIE MAC STACR REMIC TRUST 2022-DNA3                                          | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    986011 | PA      | $973257.48    | 0.15%             | 2042-04-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA1                                          | FREDDIE MAC STACR REMIC TRUST 2022-DNA1                                          | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1185000 | PA      | $1082873.50   | 0.17%             | 2042-01-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2021-HQA4                                          | FREDDIE MAC STACR REMIC TRUST 2021-HQA4                                          | CUSIP: 35564KNS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1610000 | PA      | $1362039.71   | 0.22%             | 2041-12-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2021-HQA3                                          | FREDDIE MAC STACR REMIC TRUST 2021-HQA3                                          | CUSIP: 35564KJP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $858374.80    | 0.14%             | 2041-09-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA6                                          | FREDDIE MAC STACR REMIC TRUST 2022-DNA6                                          | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    339834 | PA      | $337704.41    | 0.05%             | 2042-09-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2021-HQA2                                          | FREDDIE MAC STACR REMIC TRUST 2021-HQA2                                          | CUSIP: 35564KFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $881087.30    | 0.14%             | 2033-12-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2021-DNA3                                          | FREDDIE MAC STACR REMIC TRUST 2021-DNA3                                          | CUSIP: 35564KEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1445000 | PA      | $1362005.85   | 0.22%             | 2033-10-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-HQA3                                          | FREDDIE MAC STACR REMIC TRUST 2022-HQA3                                          | CUSIP: 35564KE39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    314057 | PA      | $310587.20    | 0.05%             | 2042-08-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Structured Agency Credit Risk Debt Notes                             | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                             | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2245000 | PA      | $2169342.83   | 0.35%             | 2033-08-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2021-HQA1                                          | FREDDIE MAC STACR REMIC TRUST 2021-HQA1                                          | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1960000 | PA      | $1801225.89   | 0.29%             | 2033-08-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                                         | FORD MOTOR CREDIT CO LLC                                                         | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    300000 | PA      | $311940.60    | 0.05%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                                         | FORD MOTOR CREDIT CO LLC                                                         | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    205000 | PA      | $194424.26    | 0.03%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ford Motor Co                                                                    | FORD MOTOR CO                                                                    | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    435000 | PA      | $418630.52    | 0.07%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Ford Motor Co                                                                    | FORD MOTOR CO                                                                    | CUSIP: 345370CX6<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    450000 | PA      | $517087.80    | 0.08%             | 2030-04-22      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Ford Motor Co                                                                    | FORD MOTOR CO                                                                    | CUSIP: 345370BY5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    175000 | PA      | $175625.10    | 0.03%             | 2028-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FOCUS Brands Funding LLC                                                         | FOCUS BRANDS FUNDING LLC                                                         | CUSIP: 34417RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1526175 | PA      | $1464954.02   | 0.23%             | 2052-07-30      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| FOCUS Brands Funding LLC                                                         | FOCUS BRANDS FUNDING LLC                                                         | CUSIP: 34417MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1762425 | PA      | $1546644.26   | 0.25%             | 2047-04-30      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2019-1                                                   | FLAGSTAR MORTGAGE TRUST 2019-1                                                   | CUSIP: 33852AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66980 | PA      | $61215.17     | 0.01%             | 2049-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2021-11INV                                               | FLAGSTAR MORTGAGE TRUST 2021-11INV                                               | CUSIP: 33851TAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2861431 | PA      | $2260977.05   | 0.36%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust 2017-2                                                   | FLAGSTAR MORTGAGE TRUST 2017-2                                                   | CUSIP: 33850RAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242660 | PA      | $216809.95    | 0.03%             | 2047-10-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO 2019-5 Ltd                                                       | 522 FUNDING CLO 2019-5 LTD                                                       | CUSIP: 33829WAG4<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $880067.92    | 0.14%             | 2035-04-15      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust                                                   | FIRSTKEY HOMES 2020-SFR1 TRUST                                                   | CUSIP: 33767MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1701400 | PA      | $1518075.72   | 0.24%             | 2037-08-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout 2022-HB2                                          | FINANCE OF AMERICA HECM BUYOUT 2022-HB2                                          | CUSIP: 317380AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1498725 | PA      | $1466736.17   | 0.23%             | 2024-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Ferrellgas LP / Ferrellgas Finance Corp                                          | FERRELLGAS LP / FERRELLGAS FINANCE CORP                                          | CUSIP: 315289AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $253000.00    | 0.04%             | 2026-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72152 | PA      | $72127.33     | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65314 | PA      | $65291.82     | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419AXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10066 | PA      | $10364.96     | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28559 | PA      | $28630.83     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419AVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18808 | PA      | $18331.03     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419AQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5403 | PA      | $5239.36      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419AN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12949 | PA      | $12981.47     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9111 | PA      | $9541.58      | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419AK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2104 | PA      | $2082.74      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419ADV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3870 | PA      | $4053.19      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419ADK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4112 | PA      | $4316.63      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419ADC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13867 | PA      | $14558.12     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30447 | PA      | $31885.32     | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50057 | PA      | $51054.77     | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18949 | PA      | $19326.38     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14228 | PA      | $14511.31     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418Q3R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41324 | PA      | $42259.85     | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418MZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4686 | PA      | $4832.30      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418MZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19736 | PA      | $20704.25     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418MWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21224 | PA      | $22063.46     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418MPU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5119 | PA      | $5369.08      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418MKZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4841 | PA      | $4992.56      | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418MG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17728 | PA      | $18638.01     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EDF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677420 | PA      | $594034.15    | 0.09%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1617629 | PA      | $1374169.23   | 0.22%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780153 | PA      | $684120.86    | 0.11%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12166997 | PA      | $10025939.63  | 1.60%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3475208 | PA      | $2867443.65   | 0.46%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1319545 | PA      | $1088669.50   | 0.17%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1046353 | PA      | $855382.26    | 0.14%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3223000 | PA      | $2664197.90   | 0.42%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353568 | PA      | $293472.85    | 0.05%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52486 | PA      | $51853.70     | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195737 | PA      | $187809.58    | 0.03%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29407 | PA      | $28337.98     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CKV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151702 | PA      | $136699.96    | 0.02%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14022 | PA      | $13616.49     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3377 | PA      | $3275.06      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64391 | PA      | $60188.06     | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9291 | PA      | $9014.84      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6365 | PA      | $6189.60      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3557 | PA      | $3519.20      | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418B6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161506 | PA      | $145951.20    | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417YV95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3250 | PA      | $3167.78      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417YTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21251 | PA      | $21304.33     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417YTT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3576 | PA      | $3485.31      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3717 | PA      | $3726.32      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417UEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9567 | PA      | $9591.34      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417U3M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1437 | PA      | $1454.94      | 0.00%             | 2024-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2606 | PA      | $2605.15      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417MTS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1243 | PA      | $1258.35      | 0.00%             | 2024-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417LA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13520 | PA      | $13554.51     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417KXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6040 | PA      | $6052.03      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417GTZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8032 | PA      | $7569.94      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47412 | PA      | $43511.19     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417F4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14022 | PA      | $12825.07     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416XY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21880 | PA      | $21935.41     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13478 | PA      | $14113.95     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3095 | PA      | $3092.86      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21301 | PA      | $22342.70     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416CJ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33768 | PA      | $35528.06     | 0.01%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416CHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12 | PA      | $12.79        | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416BY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        24 | PA      | $24.32        | 0.00%             | 2023-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2964 | PA      | $3005.09      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416BM47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27139 | PA      | $28436.14     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416BLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16194 | PA      | $17001.33     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416BL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40332 | PA      | $42203.18     | 0.01%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416B2F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       183 | PA      | $184.95       | 0.00%             | 2024-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31415VZ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       278 | PA      | $276.80       | 0.00%             | 2023-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31415QP91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11744 | PA      | $12324.39     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1968 | PA      | $1974.82      | 0.00%             | 2037-11-01      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       484 | PA      | $475.04       | 0.00%             | 2037-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2194 | PA      | $2198.55      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31412NBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4651 | PA      | $4864.44      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       862 | PA      | $903.92       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       530 | PA      | $523.91       | 0.00%             | 2036-12-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31411CNZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1398 | PA      | $1439.21      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31411ARB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1303 | PA      | $1342.05      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410YWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       427 | PA      | $439.44       | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410XBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2521 | PA      | $2596.45      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410WWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        48 | PA      | $49.47        | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4641 | PA      | $4882.93      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1217 | PA      | $1278.84      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410KJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1754 | PA      | $1843.65      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410KJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1358 | PA      | $1424.59      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10922 | PA      | $11455.53     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2245 | PA      | $2359.88      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410K3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71226 | PA      | $74939.64     | 0.01%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13387 | PA      | $13804.30     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410GRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63913 | PA      | $66941.18     | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410GL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2572 | PA      | $2650.56      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410GGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2028 | PA      | $2130.26      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410GFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8136 | PA      | $8542.19      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410GBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2844 | PA      | $2963.75      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410GA78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4164 | PA      | $4293.54      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410F5C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3686 | PA      | $3801.55      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410ELD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       805 | PA      | $829.21       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410DUZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1813 | PA      | $1868.40      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120722 | PA      | $120249.70    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131687 | PA      | $114040.55    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461799 | PA      | $383039.06    | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    890208 | PA      | $738920.14    | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XDYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1998253 | PA      | $1649103.74   | 0.26%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XCG69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572925 | PA      | $492196.19    | 0.08%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X7VE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149794 | PA      | $154461.55    | 0.02%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X7MW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23123 | PA      | $21439.29     | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X6Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120637 | PA      | $116928.76    | 0.02%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X6GH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184879 | PA      | $185346.80    | 0.03%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QNR87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3037548 | PA      | $2809909.18   | 0.45%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1138511 | PA      | $939318.91    | 0.15%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QNCC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    935996 | PA      | $772305.10    | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1495427 | PA      | $1288294.97   | 0.21%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QMTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1215936 | PA      | $1003490.11   | 0.16%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1449930 | PA      | $1244981.05   | 0.20%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QM4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1790988 | PA      | $1538558.47   | 0.24%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QLQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1559734 | PA      | $1339993.56   | 0.21%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719107 | PA      | $618346.99    | 0.10%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1533654 | PA      | $1316849.40   | 0.21%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125817 | PA      | $123554.04    | 0.02%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QDGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6370 | PA      | $5769.12      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QDGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14925 | PA      | $13221.85     | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QDGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14985 | PA      | $13275.25     | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24308 | PA      | $24032.03     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14439 | PA      | $13789.24     | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116639 | PA      | $111166.03    | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QBUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178125 | PA      | $175913.27    | 0.03%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QA3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106677 | PA      | $105583.63    | 0.02%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140Q9XM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9456 | PA      | $9376.37      | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33697 | PA      | $33362.24     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140K3B27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23550 | PA      | $22213.16     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140JLY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20560 | PA      | $19739.82     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140JAMK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235836 | PA      | $233893.48    | 0.04%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181136 | PA      | $166219.72    | 0.03%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J9WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7593 | PA      | $7395.27      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1734299 | PA      | $1667331.69   | 0.27%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11149 | PA      | $10006.09     | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179664 | PA      | $164880.83    | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J9H87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24223 | PA      | $22696.25     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J9CU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8712 | PA      | $8160.46      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J93L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5026 | PA      | $4712.48      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J8ZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216317 | PA      | $214858.77    | 0.03%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J7V28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46065 | PA      | $43022.54     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100108 | PA      | $99824.57     | 0.02%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J7QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104681 | PA      | $103985.82    | 0.02%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51362 | PA      | $49748.16     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129329 | PA      | $122452.58    | 0.02%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140FGMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31532 | PA      | $28448.12     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140EU6Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122480 | PA      | $110810.29    | 0.02%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31409ADV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       745 | PA      | $777.86       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31408GJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       301 | PA      | $295.37       | 0.00%             | 2035-12-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31408F7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       948 | PA      | $977.77       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31408F7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       940 | PA      | $973.05       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31408DVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       872 | PA      | $847.43       | 0.00%             | 2035-12-01      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31408DT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2332 | PA      | $2295.81      | 0.00%             | 2035-12-01      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31408BQC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       767 | PA      | $750.96       | 0.00%             | 2035-12-01      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31407CB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       201 | PA      | $197.01       | 0.00%             | 2035-07-01      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31406AUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       730 | PA      | $760.28       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3270 | PA      | $3432.06      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1466 | PA      | $1450.39      | 0.00%             | 2036-08-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3824 | PA      | $4014.30      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6423 | PA      | $6694.39      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       344 | PA      | $361.60       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2362 | PA      | $2478.47      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18007 | PA      | $18904.64     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90368 | PA      | $93190.61     | 0.01%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403C6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2824 | PA      | $2965.32      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27654 | PA      | $28466.58     | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403C3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2226 | PA      | $2191.85      | 0.00%             | 2035-11-01      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402RSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4658 | PA      | $4803.18      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402RR92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7755 | PA      | $8142.29      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46628 | PA      | $48080.55     | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402RJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20732 | PA      | $21378.12     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33239 | PA      | $34274.49     | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402RFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2587 | PA      | $2667.86      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5687 | PA      | $5864.05      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402RFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3445 | PA      | $3552.80      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402RFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94920 | PA      | $97879.15     | 0.02%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20176 | PA      | $20804.94     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17464 | PA      | $18201.63     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6308 | PA      | $6504.90      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5140 | PA      | $5300.38      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3111 | PA      | $3242.58      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402CVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5142 | PA      | $5302.26      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402CVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3824 | PA      | $3865.54      | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402CV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3623 | PA      | $3664.59      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4434 | PA      | $4572.12      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31400B5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        53 | PA      | $54.50        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31390MFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       398 | PA      | $409.84       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138YTK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17653 | PA      | $16972.60     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138Y3YF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7433 | PA      | $7165.09      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138Y32E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37571 | PA      | $36699.15     | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138XMF54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183919 | PA      | $179650.67    | 0.03%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138X3XX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47217 | PA      | $46121.65     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WZWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13733 | PA      | $12931.35     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WPEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7173 | PA      | $6760.23      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WKHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4105 | PA      | $3726.63      | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WKBA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34995 | PA      | $31726.21     | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WKA96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       731 | PA      | $656.84       | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WJVA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145961 | PA      | $137825.12    | 0.02%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WGJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33631 | PA      | $31507.39     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WGDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10438 | PA      | $10166.03     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WFRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6159 | PA      | $6007.61      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WEMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22582 | PA      | $21383.33     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23582 | PA      | $23642.07     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138LTJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62104 | PA      | $58581.64     | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138LTJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156555 | PA      | $152866.81    | 0.02%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ETRW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71572 | PA      | $70450.51     | 0.01%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55149 | PA      | $53890.23     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ERT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26876 | PA      | $26242.49     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ERHS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150321 | PA      | $141791.94    | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16071 | PA      | $15695.28     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ERB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21539 | PA      | $19191.12     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5770 | PA      | $5629.12      | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69022 | PA      | $67597.67     | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EQLC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38839 | PA      | $38668.23     | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EQ2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48395 | PA      | $45339.83     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4813 | PA      | $5084.87      | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5491 | PA      | $5759.19      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EPH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56297 | PA      | $57570.09     | 0.01%             | 2042-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EMYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3100 | PA      | $3196.48      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EMKX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31344 | PA      | $32053.19     | 0.01%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ELX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17013 | PA      | $17760.83     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EKF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13005 | PA      | $13038.25     | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EJXT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11275 | PA      | $10989.09     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17981 | PA      | $18026.68     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EJL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17486 | PA      | $17530.20     | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EJ7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4158 | PA      | $4074.26      | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7574 | PA      | $7944.55      | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EJ4B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26789 | PA      | $28142.59     | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EHVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16473 | PA      | $16515.13     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EHPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5412 | PA      | $5292.57      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EHGP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21235 | PA      | $21288.49     | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EHFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8923 | PA      | $8696.44      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EGVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1640 | PA      | $1690.79      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EGH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1433 | PA      | $1477.76      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32763 | PA      | $32783.88     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EGCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115903 | PA      | $116195.75    | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EG6X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       556 | PA      | $583.52       | 0.00%             | 2039-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138E3AV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73136 | PA      | $71374.02     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138E2MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29197 | PA      | $28267.86     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138E0Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7135 | PA      | $6730.15      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138AKF53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67789 | PA      | $69322.69     | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26963 | PA      | $26953.50     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138A8YF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1679 | PA      | $1683.73      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138A8YD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201145 | PA      | $196044.03    | 0.03%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25649 | PA      | $24998.62     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138A5BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10846 | PA      | $10570.59     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138A2GV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15880 | PA      | $15414.22     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29611 | PA      | $28859.95     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31385XBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       242 | PA      | $250.55       | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1197 | PA      | $1246.96      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31385JRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1211 | PA      | $1261.90      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2891 | PA      | $3036.67      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31383JVD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       227 | PA      | $229.89       | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Structured Agency Credit Risk Debt Notes                             | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                             | CUSIP: 3137G1CT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2280 | PA      | $2152.68      | 0.00%             | 2048-05-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                          | FREDDIE MAC WHOLE LOAN SECURITIES TRUST                                          | CUSIP: 3137G1BM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194030 | PA      | $185345.94    | 0.03%             | 2046-12-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                               | FREDDIE MAC REMICS                                                               | CUSIP: 3137FRZF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326918 | PA      | $51083.29     | 0.01%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31379UFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $4.76         | 0.00%             | 2028-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31376KL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2618 | PA      | $2745.64      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31371KWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4113 | PA      | $4376.99      | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2642 | PA      | $2690.86      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                                        | FANNIE MAE INTEREST STRIP                                                        | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       172 | PA      | $31.81        | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31368HML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6997 | PA      | $7345.49      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31368HL35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11378 | PA      | $11900.77     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                                               | FREDDIE MAC STRIPS                                                               | CUSIP: 31351B3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        98 | PA      | $89.21        | 0.00%             | 2028-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KYWJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1053580 | PA      | $928294.97    | 0.15%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KYWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1294465 | PA      | $1099623.93   | 0.18%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KNLC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1754514 | PA      | $1511606.68   | 0.24%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KNGN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    869427 | PA      | $717439.89    | 0.11%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KLZX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1710013 | PA      | $1412627.68   | 0.22%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KHKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184461 | PA      | $176795.73    | 0.03%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KHDK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168487 | PA      | $161837.94    | 0.03%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KH3Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91805 | PA      | $90380.02     | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133AQFQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557062 | PA      | $478320.16    | 0.08%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133APV63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444777 | PA      | $381953.73    | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133APQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1537074 | PA      | $1320447.76   | 0.21%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133ANKP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474301 | PA      | $411624.07    | 0.07%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133AM5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158490 | PA      | $136186.55    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133AKNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139463 | PA      | $119837.20    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31335GE84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        56 | PA      | $57.92        | 0.00%             | 2024-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31335GDR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $4.80         | 0.00%             | 2024-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31335CJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231430 | PA      | $226143.12    | 0.04%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60404 | PA      | $60622.52     | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31335AFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23388 | PA      | $23472.61     | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11605 | PA      | $11323.49     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DWBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    861319 | PA      | $711824.46    | 0.11%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DV4Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251000 | PA      | $239367.05    | 0.04%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132D6BQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405126 | PA      | $355256.77    | 0.06%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132CWG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77062 | PA      | $72701.86     | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132CWAQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55915 | PA      | $54299.20     | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132A8GL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74287 | PA      | $71604.41     | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132A4LW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131945 | PA      | $133350.87    | 0.02%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31296QR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1770 | PA      | $1793.88      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31296QQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       861 | PA      | $868.65       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38191 | PA      | $37262.85     | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8936 | PA      | $8718.44      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3759 | PA      | $3668.03      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2037 | PA      | $1987.43      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       379 | PA      | $369.48       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1287 | PA      | $1260.93      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312941SV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1774 | PA      | $1730.54      | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4287 | PA      | $4377.40      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5072 | PA      | $5089.88      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1634 | PA      | $1673.18      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3318 | PA      | $3320.00      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312933NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11125 | PA      | $11099.93     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31292SBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79122 | PA      | $74631.16     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2570307 | PA      | $2426670.14   | 0.39%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31292SAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1057296 | PA      | $998433.76    | 0.16%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26965 | PA      | $25445.40     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31292LV77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22705 | PA      | $21441.20     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31292HXN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        63 | PA      | $64.75        | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128S4CS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2312 | PA      | $2305.94      | 0.00%             | 2036-03-01      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128QLRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1413 | PA      | $1429.76      | 0.00%             | 2036-01-01      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       495 | PA      | $493.64       | 0.00%             | 2036-12-01      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1221 | PA      | $1194.41      | 0.00%             | 2036-11-01      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128NGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       272 | PA      | $277.74       | 0.00%             | 2036-10-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128NGAT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3056 | PA      | $3007.11      | 0.00%             | 2034-11-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128NC3S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       250 | PA      | $252.77       | 0.00%             | 2035-07-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MJZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38664 | PA      | $34867.86     | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66125 | PA      | $61710.44     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21727 | PA      | $21800.28     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MJAN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3632 | PA      | $3815.54      | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MJ3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94418 | PA      | $84858.26     | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MEE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122774 | PA      | $116387.77    | 0.02%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MC6H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2 | PA      | $1.94         | 0.00%             | 2025-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M9ZN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6814 | PA      | $6820.22      | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       153 | PA      | $149.19       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M8HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4212 | PA      | $4109.57      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M8AW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28080 | PA      | $29506.68     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2019 | PA      | $2121.60      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4985 | PA      | $5003.06      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M76Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4959 | PA      | $5211.13      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M75X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2159 | PA      | $2166.97      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30369 | PA      | $31089.32     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7938 | PA      | $8126.30      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3314 | PA      | $3326.44      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M74T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7964 | PA      | $8308.46      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3724 | PA      | $3916.47      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M6M88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2639 | PA      | $2756.03      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M4QG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62036 | PA      | $64589.47     | 0.01%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       775 | PA      | $800.02       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1740 | PA      | $1730.45      | 0.00%             | 2037-02-01      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128JNNV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1269 | PA      | $1240.42      | 0.00%             | 2037-01-01      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128JM6Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       165 | PA      | $161.98       | 0.00%             | 2035-02-01      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128FWAJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1245 | PA      | $1271.77      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31288ALH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       138 | PA      | $141.62       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31287UDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       118 | PA      | $118.55       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31287QN98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        85 | PA      | $87.59        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       193 | PA      | $201.61       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                         | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                         | CUSIP: 30711XTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239060 | PA      | $236532.04    | 0.04%             | 2030-02-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                         | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                         | CUSIP: 30711XR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388192 | PA      | $382854.55    | 0.06%             | 2030-12-25      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                         | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                         | CUSIP: 30711XMZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610705 | PA      | $596200.68    | 0.09%             | 2029-11-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                         | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                         | CUSIP: 30711XL28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394418 | PA      | $387515.52    | 0.06%             | 2030-10-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                         | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                         | CUSIP: 30711XHT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24095 | PA      | $23732.97     | 0.00%             | 2029-09-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FWD Securitization Trust 2020-INV1                                               | FWD SECURITIZATION TRUST 2020-INV1                                               | CUSIP: 302985AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126716 | PA      | $111911.14    | 0.02%             | 2050-01-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2022-4                                       | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-4                                       | CUSIP: 30166BAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1563885.60   | 0.25%             | 2027-01-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                                                     | USD/EUR FWD 20230224 MSLNGB2X                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2133.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Entegris Escrow Corp                                                             | ENTEGRIS ESCROW CORP                                                             | CUSIP: 29365BAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    560000 | PA      | $520800.00    | 0.08%             | 2030-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Enel Finance America LLC                                                         | ENEL FINANCE AMERICA LLC                                                         | CUSIP: 29280HAA0<br>LEI: 549300EGNLVUJX1DEC60 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207672.60    | 0.03%             | 2027-10-14      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                    | ENEL FINANCE INTERNATIONAL NV                                                    | CUSIP: 29278GAZ1<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $206500.00    | 0.03%             | 2025-10-14      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc                                                        | CAESARS ENTERTAINMENT INC                                                        | CUSIP: 28470RAK8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    650000 | PA      | $650812.50    | 0.10%             | 2027-07-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: —       |
| eG Global Finance PLC                                                            | EG GLOBAL FINANCE PLC                                                            | CUSIP: 28228PAB7<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $567000.00    | 0.09%             | 2025-10-30      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| Edison International                                                             | EDISON INTERNATIONAL                                                             | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    480000 | PA      | $503012.64    | 0.08%             | 2029-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| DCP Midstream Operating LP                                                       | DCP MIDSTREAM OPERATING LP                                                       | CUSIP: 26439XAC7<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    352000 | PA      | $390297.60    | 0.06%             | 2030-08-16      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Dryden 77 CLO Ltd                                                                | DRYDEN 77 CLO LTD                                                                | CUSIP: 26252VAU5<br>LEI: 254900XGNUOV0Y3IBA68 | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $3154800.00   | 0.50%             | 2034-05-20      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| DRIVEN BRANDS FUNDING LLC                                                        | DRIVEN BRANDS FUNDING LLC                                                        | CUSIP: 26209XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1370588 | PA      | $1132605.54   | 0.18%             | 2051-01-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| DRIVEN BRANDS FUNDING LLC                                                        | DRIVEN BRANDS FUNDING LLC                                                        | CUSIP: 26209XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190612 | PA      | $164628.20    | 0.03%             | 2050-07-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| DRIVEN BRANDS FUNDING LLC                                                        | DRIVEN BRANDS FUNDING LLC                                                        | CUSIP: 26208LAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178062 | PA      | $160252.15    | 0.03%             | 2049-04-20      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| District of Columbia                                                             | DISTRICT OF COLUMBIA                                                             | CUSIP: 25477GCY9<br>LEI: 549300HWFOZXPKGOX654 | Long             | DBT              | MUN               | US        |      5000 | PA      | $5255.70      | 0.00%             | 2034-12-01      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp                                                                    | DISH DBS CORP                                                                    | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $156975.00    | 0.02%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp                                                                    | DISH DBS CORP                                                                    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $181675.00    | 0.03%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp                                                                    | DISH DBS CORP                                                                    | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $172200.00    | 0.03%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DISH Network Corp                                                                | DISH NETWORK CORP                                                                | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    300000 | PA      | $307125.00    | 0.05%             | 2027-11-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Denver City & County School District No 1                                        | DENVER CITY & COUNTY SCHOOL DISTRICT NO 1                                        | CUSIP: 249218BC1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     65000 | PA      | $60348.89     | 0.01%             | 2037-12-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| Dave & Buster s Inc                                                              | DAVE & BUSTER'S INC                                                              | CUSIP: 23833NAH7<br>LEI: 549300JAVWTAY1FT5Z45 | Long             | DBT              | CORP              | US        |    443000 | PA      | $445215.00    | 0.07%             | 2025-11-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Darling Ingredients Inc                                                          | DARLING INGREDIENTS INC                                                          | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |    180000 | PA      | $175275.00    | 0.03%             | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Danaher Corp                                                                     | DANAHER CORP                                                                     | CUSIP: 235851409<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EP               | CORP              | US        |       520 | NS      | $729417.00    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Cushman & Wakefield US Borrower LLC                                              | CUSHMAN & WAKEFIELD US BORROWER LLC                                              | CUSIP: 23166MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    390000 | PA      | $372450.00    | 0.06%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE                                                                       | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1655000 | PA      | $1688995.54   | 0.27%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE                                                                       | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6335000 | PA      | $6410132.97   | 1.02%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE                                                                       | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    668000 | PA      | $667373.75    | 0.11%             | 2033-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE                                                                       | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3255000 | PA      | $3187992.77   | 0.51%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE                                                                       | CUSIP: 21H0406C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2790000 | PA      | $2663033.18   | 0.42%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE                                                                       | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2910000 | PA      | $2701298.44   | 0.43%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE                                                                       | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10605000 | PA      | $9577108.89   | 1.52%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE                                                                       | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10340000 | PA      | $8806771.88   | 1.40%             | 2050-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Continental Resources Inc/OK                                                     | CONTINENTAL RESOURCES INC/OK                                                     | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    335000 | PA      | $252506.25    | 0.04%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R08                                     | CONNECTICUT AVENUE SECURITIES TRUST 2022-R08                                     | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352461 | PA      | $350127.84    | 0.06%             | 2042-07-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R06                                     | CONNECTICUT AVENUE SECURITIES TRUST 2022-R06                                     | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    823694 | PA      | $823693.70    | 0.13%             | 2042-05-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R05                                     | CONNECTICUT AVENUE SECURITIES TRUST 2022-R05                                     | CUSIP: 20754DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884924 | PA      | $874420.12    | 0.14%             | 2042-04-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2020-R01                                     | CONNECTICUT AVENUE SECURITIES TRUST 2020-R01                                     | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179963 | PA      | $176813.80    | 0.03%             | 2040-01-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R02                                     | CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                     | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1660000 | PA      | $1536861.20   | 0.24%             | 2042-01-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R04                                     | CONNECTICUT AVENUE SECURITIES TRUST 2022-R04                                     | CUSIP: 20753YCH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    513906 | PA      | $507495.60    | 0.08%             | 2042-03-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| COLT 2021-3 Mortgage Loan Trust                                                  | COLT 2021-3 MORTGAGE LOAN TRUST                                                  | CUSIP: 19688FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2220000 | PA      | $1311409.50   | 0.21%             | 2066-09-27      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Colorado Health Facilities Authority                                             | COLORADO HEALTH FACILITIES AUTHORITY                                             | CUSIP: 19648FRY2<br>LEI: 5493002JB6DRFRZPEQ21 | Long             | DBT              | MUN               | US        |   1970000 | PA      | $1735053.66   | 0.28%             | 2030-12-01      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                               | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                               | CUSIP: 18453HAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $155400.00    | 0.02%             | 2029-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                               | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                               | CUSIP: 18453HAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    540000 | PA      | $402300.00    | 0.06%             | 2028-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                               | CLEAR CHANNEL OUTDOOR HOLDINGS INC                                               | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       750 | NS      | $847.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                  | EUR/USD FWD 20230224 SBOSGB2X                                                    | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5030.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | CITIGROUP MORTGAGE LOAN TRUST INC                                                | CUSIP: 17328PAQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    571287 | PA      | $466840.82    | 0.07%             | 2050-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2019-C7                                      | CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                      | CUSIP: 17328CBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1420000 | PA      | $920670.21    | 0.15%             | 2072-12-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2017-P7                                      | CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P7                                      | CUSIP: 17325HBR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345000 | PA      | $312593.87    | 0.05%             | 2050-04-14      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2015-GC27                                    | CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27                                    | CUSIP: 17323CAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95000 | PA      | $89476.52     | 0.01%             | 2048-02-10      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2013-375P                                    | CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P                                    | CUSIP: 17320QAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $250481.78    | 0.04%             | 2035-05-10      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| CITGO Petroleum Corp                                                             | CITGO PETROLEUM CORP                                                             | CUSIP: 17302XAK2<br>LEI: YX52P86PXMLYDOTUQ225 | Long             | DBT              | CORP              | US        |    215000 | PA      | $211237.50    | 0.03%             | 2025-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | CITIGROUP INC                                                                    | CUSIP: 172967LZ2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1535612.90   | 0.24%             | 2024-06-01      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Chicago Transit Authority Sales Tax Receipts Fund                                | CHICAGO TRANSIT AUTHORITY SALES TAX RECEIPTS FUND                                | CUSIP: 16772PCR5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    600000 | PA      | $522653.28    | 0.08%             | 2030-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Chesapeake Energy Corp                                                           | CHESAPEAKE ENERGY CORP                                                           | CUSIP: 165167DG9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    205000 | PA      | $195775.00    | 0.03%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Chesapeake Energy Corp                                                           | CHESAPEAKE ENERGY CORP                                                           | CUSIP: 165167DF1<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    185000 | PA      | $179450.00    | 0.03%             | 2026-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Charles River Laboratories International Inc                                     | CHARLES RIVER LABORATORIES INTERNATIONAL INC                                     | CUSIP: 159864AJ6<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |    255000 | PA      | $219300.00    | 0.03%             | 2031-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Central Texas Regional Mobility Authority                                        | CENTRAL TEXAS REGIONAL MOBILITY AUTHORITY                                        | CUSIP: 155498JJ8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1500000 | PA      | $1227443.70   | 0.20%             | 2032-01-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Central Parent Inc / CDK Global Inc                                              | CENTRAL PARENT INC / CDK GLOBAL INC                                              | CUSIP: 15477CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $410125.00    | 0.07%             | 2029-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Centene Corp                                                                     | CENTENE CORP                                                                     | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    640000 | PA      | $506336.00    | 0.08%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Centene Corp                                                                     | CENTENE CORP                                                                     | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    325000 | PA      | $265281.25    | 0.04%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Centene Corp                                                                     | CENTENE CORP                                                                     | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    590000 | PA      | $500762.50    | 0.08%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: —       |
| Centene Corp                                                                     | CENTENE CORP                                                                     | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    342000 | PA      | $315067.50    | 0.05%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                         | CELANESE US HOLDINGS LLC                                                         | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    625000 | PA      | $612872.50    | 0.10%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                         | CELANESE US HOLDINGS LLC                                                         | CUSIP: 15089QAL8<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    585000 | PA      | $581212.13    | 0.09%             | 2025-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Cedar Fair LP / Canada s Wonderland Co / Magnum Management Corp / Millennium Op  | CEDAR FAIR LP / CANADA'S WONDERLAND CO / MAGNUM MANAGEMENT CORP / MILLENNIUM OP  | CUSIP: 150190AK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    560000 | PA      | $534800.00    | 0.09%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CBAM 2019-9 Ltd                                                                  | CBAM 2019-9 LTD                                                                  | CUSIP: 14987VAC3<br>LEI: 254900Q3N8LV0KJICN72 | Long             | ABS-CBDO         | CORP              | KY        |   1005000 | PA      | $980900.74    | 0.16%             | 2030-02-12      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| CCM Merger Inc                                                                   | CCM MERGER INC                                                                   | CUSIP: 14985VAE1<br>LEI: 549300P77RSBKKFME089 | Long             | DBT              | CORP              | US        |    215000 | PA      | $197262.50    | 0.03%             | 2026-05-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2022-P1                                           | CARVANA AUTO RECEIVABLES TRUST 2022-P1                                           | CUSIP: 14688DAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1210000 | PA      | $1087339.88   | 0.17%             | 2028-04-10      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2022-N1                                           | CARVANA AUTO RECEIVABLES TRUST 2022-N1                                           | CUSIP: 14686GAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1610000 | PA      | $1512822.17   | 0.24%             | 2028-12-11      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Carpenter Technology Corp                                                        | CARPENTER TECHNOLOGY CORP                                                        | CUSIP: 144285AM5<br>LEI: DX6I6ZD3X5WNNCDJKP85 | Long             | DBT              | CORP              | US        |    410000 | PA      | $404875.00    | 0.06%             | 2030-03-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Carnival Corp                                                                    | CARNIVAL CORP                                                                    | CUSIP: 143658BS0<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    235000 | PA      | $200925.00    | 0.03%             | 2030-06-01      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Carnival Corp                                                                    | CARNIVAL CORP                                                                    | CUSIP: 143658BL5<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    210000 | PA      | $176400.00    | 0.03%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: —       |
| Carnival Corp                                                                    | CARNIVAL CORP                                                                    | CUSIP: 143658BJ0<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    255000 | PA      | $245437.50    | 0.04%             | 2027-08-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust 2022-2                                                   | CARMAX AUTO OWNER TRUST 2022-2                                                   | CUSIP: 14317HAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1605000 | PA      | $1516471.25   | 0.24%             | 2027-12-15      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Capital Projects Finance Authority/FL                                            | CAPITAL PROJECTS FINANCE AUTHORITY/FL                                            | CUSIP: 140427BS3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1010000 | PA      | $961433.34    | 0.15%             | 2024-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                       | CAPITAL ONE FINANCIAL CORP                                                       | CUSIP: 14040HCQ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1547698.05   | 0.25%             | 2025-05-09      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                       | CAPITAL ONE FINANCIAL CORP                                                       | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    905000 | PA      | $659729.62    | 0.11%             | 2032-07-29      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                       | CAPITAL ONE FINANCIAL CORP                                                       | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    670000 | PA      | $625891.89    | 0.10%             | 2027-05-11      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Cano Health LLC                                                                  | CANO HEALTH LLC                                                                  | CUSIP: 13782CAA8<br>LEI: 254900OGI2T8V1NXN639 | Long             | DBT              | CORP              | US        |    530000 | PA      | $267650.00    | 0.04%             | 2028-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CSL Finance PLC                                                                  | CSL FINANCE PLC                                                                  | CUSIP: 12661PAC3<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    295000 | PA      | $279755.88    | 0.04%             | 2032-04-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C6 Commercial Mortgage Trust                                          | CSAIL 2016-C6 COMMERCIAL MORTGAGE TRUST                                          | CUSIP: 12636MAE8<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $198931.03    | 0.03%             | 2049-01-15      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC23 Mortgage Trust                                                    | COMM 2015-LC23 MORTGAGE TRUST                                                    | CUSIP: 12636FBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $417190.22    | 0.07%             | 2048-10-10      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                                 | CSC HOLDINGS LLC                                                                 | CUSIP: 126307AY3<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    350000 | PA      | $272125.00    | 0.04%             | 2028-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COMM 2015-DC1 Mortgage Trust                                                     | COMM 2015-DC1 MORTGAGE TRUST                                                     | CUSIP: 12629NAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $715637.96    | 0.11%             | 2048-02-10      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| COLT 2020-3 Mortgage Loan Trust                                                  | COLT 2020-3 MORTGAGE LOAN TRUST                                                  | CUSIP: 12597QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $139224.32    | 0.02%             | 2065-04-27      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C18 Commercial Mortgage Trust                                         | CSAIL 2019-C18 COMMERCIAL MORTGAGE TRUST                                         | CUSIP: 12597DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $512538.09    | 0.08%             | 2052-12-15      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| CSAIL 2017-C8 Commercial Mortgage Trust                                          | CSAIL 2017-C8 COMMERCIAL MORTGAGE TRUST                                          | CUSIP: 12595BAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465000 | PA      | $387381.13    | 0.06%             | 2050-06-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| COMM 2016-CR28 Mortgage Trust                                                    | COMM 2016-CR28 MORTGAGE TRUST                                                    | CUSIP: 12593YBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $1057664.52   | 0.17%             | 2049-02-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| COMM 2016-CR28 Mortgage Trust                                                    | COMM 2016-CR28 MORTGAGE TRUST                                                    | CUSIP: 12593YBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183755 | PA      | $171610.71    | 0.03%             | 2049-02-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE22 Mortgage Trust                                                  | COMM 2015-CCRE22 MORTGAGE TRUST                                                  | CUSIP: 12592XBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870000 | PA      | $796383.38    | 0.13%             | 2048-03-10      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS6 Mortgage Trust                                                    | COMM 2014-UBS6 MORTGAGE TRUST                                                    | CUSIP: 12592PBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1442000 | PA      | $1369352.91   | 0.22%             | 2047-12-10      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE19 Mortgage Trust                                                  | COMM 2014-CCRE19 MORTGAGE TRUST                                                  | CUSIP: 12592GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $322850.17    | 0.05%             | 2047-08-10      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2019-V Ltd                                                          | CIFC FUNDING 2019-V LTD                                                          | CUSIP: 12554XAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1650000 | PA      | $1544460.13   | 0.25%             | 2035-01-15      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems Inc                                                 | CHS/COMMUNITY HEALTH SYSTEMS INC                                                 | CUSIP: 12543DBJ8<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    385000 | PA      | $202125.00    | 0.03%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems Inc                                                 | CHS/COMMUNITY HEALTH SYSTEMS INC                                                 | CUSIP: 12543DBD1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    220000 | PA      | $194150.00    | 0.03%             | 2027-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending 2019-CF2                                   | CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF2                                   | CUSIP: 12528YAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1045000 | PA      | $673933.98    | 0.11%             | 2052-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW Finance Corp                                                       | CDW LLC / CDW FINANCE CORP                                                       | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    340000 | PA      | $303274.56    | 0.05%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 Mortgage Trust                                                       | CD 2017-CD6 MORTGAGE TRUST                                                       | CUSIP: 125039AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515000 | PA      | $477872.11    | 0.08%             | 2050-11-13      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp                                     | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                     | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    655000 | PA      | $622250.00    | 0.10%             | 2029-09-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| CCO Holdings LLC / CCO Holdings Capital Corp                                     | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                     | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115000 | PA      | $93437.50     | 0.01%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp                                     | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                     | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    390000 | PA      | $352950.00    | 0.06%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CAFL 2021-RTL1 Issuer LLC                                                        | CAFL 2021-RTL1 ISSUER LLC                                                        | CUSIP: 12468RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2505000 | PA      | $2223151.93   | 0.35%             | 2029-03-28      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| BX Trust 2018-GW                                                                 | BX TRUST 2018-GW                                                                 | CUSIP: 12433UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $453508.44    | 0.07%             | 2035-05-15      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                 | BRIXMOR OPERATING PARTNERSHIP LP                                                 | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    505000 | PA      | $435989.73    | 0.07%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                 | BRIXMOR OPERATING PARTNERSHIP LP                                                 | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1269000 | PA      | $1122603.08   | 0.18%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                 | BRIXMOR OPERATING PARTNERSHIP LP                                                 | CUSIP: 11120VAE3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    630000 | PA      | $577431.54    | 0.09%             | 2027-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | BNP PARIBAS SA                                                                   | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    795000 | PA      | $696466.11    | 0.11%             | 2028-01-20      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO IV Ltd                                               | BENEFIT STREET PARTNERS CLO IV LTD                                               | CUSIP: 08180FBJ9<br>LEI: 5493002BNZCV0YE1MG83 | Long             | ABS-CBDO         | CORP              | KY        |   2320000 | PA      | $2214818.97   | 0.35%             | 2032-01-20      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XI                                                   | BENEFIT STREET PARTNERS CLO XI                                                   | CUSIP: 08179CAQ4<br>LEI: 254900O9QVOQ1G7RF178 | Long             | ABS-CBDO         | CORP              | KY        |   2075000 | PA      | $2003383.82   | 0.32%             | 2029-04-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Bellemeade Re 2022-1 Ltd                                                         | BELLEMEADE RE 2022-1 LTD                                                         | CUSIP: 078774AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1610000 | PA      | $1526609.08   | 0.24%             | 2032-01-26      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                                          | BECTON DICKINSON AND CO                                                          | CUSIP: 075887CK3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    113000 | PA      | $88426.57     | 0.01%             | 2050-05-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                                          | BECTON DICKINSON AND CO                                                          | CUSIP: 075887406<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EP               | CORP              | US        |     10350 | NS      | $513411.75    | 0.08%             |  |  |  | No            |                  2 | On Loan: —       |
| Barclays PLC                                                                     | BARCLAYS PLC                                                                     | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    615000 | PA      | $635151.71    | 0.10%             | 2028-11-02      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                  | BANK 2019-BNK21                                                                  | CUSIP: 06540BAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1036000 | PA      | $684020.97    | 0.11%             | 2052-10-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank Leumi Le-Israel BM                                                          | BANK LEUMI LE-ISRAEL BM                                                          | CUSIP: 06326BAA7<br>LEI: 7JDSZWRGUQY2DSTWCR57 | Long             | DBT              | CORP              | IL        |    600000 | PA      | $534915.60    | 0.09%             | 2031-01-29      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group PLC                                                        | BANK OF IRELAND GROUP PLC                                                        | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    535000 | PA      | $529455.26    | 0.08%             | 2026-09-16      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | BANK OF AMERICA CORP                                                             | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1234996.26   | 0.20%             | 2028-07-22      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | BANK OF AMERICA CORP                                                             | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2025000 | PA      | $1654722.68   | 0.26%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Banco de Credito del Peru S.A.                                                   | BANCO DE CREDITO DEL PERU S.A.                                                   | CUSIP: 05971U2D8<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |    375000 | PA      | $325284.38    | 0.05%             | 2031-09-30      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Bancolombia SA                                                                   | BANCOLOMBIA SA                                                                   | CUSIP: 05968LAL6<br>LEI: 54930052NWJRPNMP1W58 | Long             | DBT              | CORP              | CO        |    400000 | PA      | $341232.00    | 0.05%             | 2029-12-18      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                               | BANCO SANTANDER SA                                                               | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $184996.20    | 0.03%             | 2028-03-24      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Ball Corp                                                                        | BALL CORP                                                                        | CUSIP: 058498AY2<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |    435000 | PA      | $440437.50    | 0.07%             | 2028-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2022-CSMO                                           | BX COMMERCIAL MORTGAGE TRUST 2022-CSMO                                           | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1590000 | PA      | $1571071.53   | 0.25%             | 2027-06-15      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| BX 2022-MVRK Mortgage Trust                                                      | BX 2022-MVRK MORTGAGE TRUST                                                      | CUSIP: 05610JAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1645000 | PA      | $1552063.09   | 0.25%             | 2039-03-15      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| BX Trust 2021-VIEW                                                               | BX TRUST 2021-VIEW                                                               | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1195000 | PA      | $1071152.47   | 0.17%             | 2036-06-15      | Variable      | 7.80%                 | No            |                  2 | On Loan: No      |
| BPR Trust 2021-NRD                                                               | BPR TRUST 2021-NRD                                                               | CUSIP: 05592CAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1620000 | PA      | $1481089.37   | 0.24%             | 2023-12-15      | Variable      | 9.43%                 | No            |                  2 | On Loan: No      |
| BPR Trust 2021-TY                                                                | BPR TRUST 2021-TY                                                                | CUSIP: 05592AAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635000 | PA      | $582078.02    | 0.09%             | 2038-09-15      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| BIG Commercial Mortgage Trust 2022-BIG                                           | BIG COMMERCIAL MORTGAGE TRUST 2022-BIG                                           | CUSIP: 05551UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $652122.80    | 0.10%             | 2039-02-15      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust 2019-C3                                       | BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C3                                       | CUSIP: 05550MAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1045000 | PA      | $924137.91    | 0.15%             | 2052-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BAT International Finance PLC                                                    | BAT INTERNATIONAL FINANCE PLC                                                    | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    650000 | PA      | $600437.50    | 0.10%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BFLD 2019-DPLO                                                                   | BFLD 2019-DPLO                                                                   | CUSIP: 054970AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1780000 | PA      | $1712803.40   | 0.27%             | 2034-10-15      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust 2021-JACX                             | BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                             | CUSIP: 05493LAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1155000 | PA      | $1029776.17   | 0.16%             | 2038-09-15      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| BBCMS 2020-BID Mortgage Trust                                                    | BBCMS 2020-BID MORTGAGE TRUST                                                    | CUSIP: 05493BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $363524.06    | 0.06%             | 2037-10-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| BBCMS 2019-BWAY Mortgage Trust                                                   | BBCMS 2019-BWAY MORTGAGE TRUST                                                   | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $318766.73    | 0.05%             | 2034-11-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Axian Telecom                                                                    | AXIAN TELECOM                                                                    | CUSIP: 05466AAA1<br>LEI: 984500C6FIA50FZSE337 | Long             | DBT              | CORP              | MU        |    525000 | PA      | $462000.00    | 0.07%             | 2027-02-16      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings Inc                                                           | EQUITABLE HOLDINGS INC                                                           | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    630000 | PA      | $600189.66    | 0.10%             | 2028-04-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                         | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                         | CUSIP: 05377RDN1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $223565.96    | 0.04%             | 2025-09-22      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                         | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                         | CUSIP: 05377RDA9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $220510.87    | 0.04%             | 2024-09-20      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Avient Corp                                                                      | AVIENT CORP                                                                      | CUSIP: 05368VAA4<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |    195000 | PA      | $189881.25    | 0.03%             | 2030-08-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Avantor Funding Inc                                                              | AVANTOR FUNDING INC                                                              | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    260000 | PA      | $239200.00    | 0.04%             | 2028-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Aretec Escrow Issuer Inc                                                         | ARETEC ESCROW ISSUER INC                                                         | CUSIP: 040133AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $231562.50    | 0.04%             | 2029-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC      | ARDAGH METAL PACKAGING FINANCE USA LLC / ARDAGH METAL PACKAGING FINANCE PLC      | CUSIP: 03969YAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    440000 | PA      | $426250.00    | 0.07%             | 2027-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Arconic Corp                                                                     | ARCONIC CORP                                                                     | CUSIP: 03966VAA5<br>LEI: 549300B4YFWH3U74B152 | Long             | DBT              | CORP              | US        |    416000 | PA      | $386880.00    | 0.06%             | 2028-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust 2020-MF1                             | ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1                             | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $335774.59    | 0.05%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust 2020-MF1                             | ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1                             | CUSIP: 03881BAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2010000 | PA      | $1241099.22   | 0.20%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                           | ARBOR REALTY COMMERCIAL REAL ESTATE NOTES 2021-FL3 LTD                           | CUSIP: 03880KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1865000 | PA      | $1787341.98   | 0.28%             | 2034-08-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Applebee s Funding LLC / IHOP Funding LLC                                        | APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC                                        | CUSIP: 03789XAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    257400 | PA      | $233531.56    | 0.04%             | 2049-06-05      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Applebee s Funding LLC / IHOP Funding LLC                                        | APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC                                        | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    722700 | PA      | $683971.95    | 0.11%             | 2049-06-05      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2021-6                                                  | ANGEL OAK MORTGAGE TRUST 2021-6                                                  | CUSIP: 03465JAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3175000 | PA      | $1875388.36   | 0.30%             | 2066-09-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2020-6                                                  | ANGEL OAK MORTGAGE TRUST 2020-6                                                  | CUSIP: 03465AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515000 | PA      | $379616.95    | 0.06%             | 2065-05-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2020-5                                                  | ANGEL OAK MORTGAGE TRUST 2020-5                                                  | CUSIP: 03464WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $204307.45    | 0.03%             | 2065-05-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2021-4                                                  | ANGEL OAK MORTGAGE TRUST 2021-4                                                  | CUSIP: 03464EAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    960000 | PA      | $542686.08    | 0.09%             | 2065-01-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust I LLC 2019-4                                            | ANGEL OAK MORTGAGE TRUST I LLC 2019-4                                            | CUSIP: 03463UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18488 | PA      | $18336.67     | 0.00%             | 2049-07-26      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables X LLC                                         | AMUR EQUIPMENT FINANCE RECEIVABLES X LLC                                         | CUSIP: 03236VAE1<br>LEI: 549300K5Y88MV8B4M421 | Long             | ABS-O            | CORP              | US        |   2520000 | PA      | $2273086.12   | 0.36%             | 2028-08-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| AmWINS Group Inc                                                                 | AMWINS GROUP INC                                                                 | CUSIP: 031921AB5<br>LEI: 549300SJE7MUB8NMRG61 | Long             | DBT              | CORP              | US        |    199000 | PA      | $172135.00    | 0.03%             | 2029-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust 2020-1                                  | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-1                                  | CUSIP: 03067DAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385000 | PA      | $361644.28    | 0.06%             | 2025-12-18      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| American Airlines Inc                                                            | AMERICAN AIRLINES INC                                                            | CUSIP: 023771S58<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |    526000 | PA      | $581230.00    | 0.09%             | 2025-07-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Hess Corp                                                                        | HESS CORP                                                                        | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    175000 | PA      | $188483.58    | 0.03%             | 2033-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                                                        | HESS CORP                                                                        | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    175000 | PA      | $192122.88    | 0.03%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Altice France Holding SA                                                         | ALTICE FRANCE HOLDING SA                                                         | CUSIP: 02156TAB0<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    690000 | PA      | $545100.00    | 0.09%             | 2027-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                        | FANNIE MAE OR FREDDIE MAC                                                        | CUSIP: 01F0606C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4400000 | PA      | $4498630.88   | 0.72%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                        | FANNIE MAE OR FREDDIE MAC                                                        | CUSIP: 01F0506C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2265000 | PA      | $2253675.00   | 0.36%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                        | FANNIE MAE OR FREDDIE MAC                                                        | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3747000 | PA      | $3646884.84   | 0.58%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                        | FANNIE MAE OR FREDDIE MAC                                                        | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6661000 | PA      | $6298547.88   | 1.00%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                        | FANNIE MAE OR FREDDIE MAC                                                        | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7270000 | PA      | $6654321.88   | 1.06%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                        | FANNIE MAE OR FREDDIE MAC                                                        | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13670000 | PA      | $12097264.59  | 1.93%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                        | FANNIE MAE OR FREDDIE MAC                                                        | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17029000 | PA      | $14566447.04  | 2.32%             | 2044-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                        | FANNIE MAE OR FREDDIE MAC                                                        | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13715000 | PA      | $11296123.99  | 1.80%             | 2050-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                        | FANNIE MAE OR FREDDIE MAC                                                        | CUSIP: 01F0204C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7327000 | PA      | $6590722.37   | 1.05%             | 2027-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities Inc                                              | ALEXANDRIA REAL ESTATE EQUITIES INC                                              | CUSIP: 015271AU3<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    965000 | PA      | $940244.86    | 0.15%             | 2030-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Alen 2021-ACEN Mortgage Trust                                                    | ALEN 2021-ACEN MORTGAGE TRUST                                                    | CUSIP: 01449NAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145000 | PA      | $1013770.98   | 0.16%             | 2034-04-15      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14 Ltd                                                                   | AGL CLO 14 LTD                                                                   | CUSIP: 00851WAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1505000 | PA      | $1429882.21   | 0.23%             | 2034-12-02      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14 Ltd                                                                   | AGL CLO 14 LTD                                                                   | CUSIP: 00851WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1605000 | PA      | $1549199.53   | 0.25%             | 2034-12-02      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| AG TTMT Escrow Issuer LLC                                                        | AG TTMT ESCROW ISSUER LLC                                                        | CUSIP: 00840KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $277062.50    | 0.04%             | 2027-09-30      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Aethon United BR LP / Aethon United Finance Corp                                 | AETHON UNITED BR LP / AETHON UNITED FINANCE CORP                                 | CUSIP: 00810GAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $228850.00    | 0.04%             | 2026-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | CUSIP: 00774MAZ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    315000 | PA      | $230487.39    | 0.04%             | 2041-10-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    180000 | PA      | $177695.28    | 0.03%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    270000 | PA      | $273001.59    | 0.04%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    415000 | PA      | $397264.15    | 0.06%             | 2026-04-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Acrisure LLC / Acrisure Finance Inc                                              | ACRISURE LLC / ACRISURE FINANCE INC                                              | CUSIP: 00489LAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    615000 | PA      | $602700.00    | 0.10%             | 2026-08-01      | Fixed         | 10.12%                | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | ABBVIE INC                                                                       | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    425000 | PA      | $371948.95    | 0.06%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | ABBVIE INC                                                                       | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    935000 | PA      | $876251.15    | 0.14%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| American Airlines Inc/AAdvantage Loyalty IP Ltd                                  | AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                                  | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    395000 | PA      | $366362.50    | 0.06%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| American Airlines Inc/AAdvantage Loyalty IP Ltd                                  | AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                                  | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $217687.50    | 0.03%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AGL CLO 13 Ltd                                                                   | AGL CLO 13 LTD                                                                   | CUSIP: 00120JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1560000 | PA      | $1507903.60   | 0.24%             | 2034-10-20      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Bank Negara Indonesia Persero Tbk PT                                             | BANK NEGARA INDONESIA PERSERO TBK PT                                             | CUSIP: BO7338565<br>LEI: 549300HZ8J3MLVXQ8F85 | Long             | DBT              | CORP              | ID        |    525000 | PA      | $477188.81    | 0.08%             | 2026-03-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Tower Bersama Infrastructure Tbk PT                                              | TOWER BERSAMA INFRASTRUCTURE TBK PT                                              | CUSIP: BN4505226<br>LEI: 213800ELUARKGNPAPY10 | Long             | DBT              | CORP              | ID        |    410000 | PA      | $368999.98    | 0.06%             | 2026-01-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| International Container Terminal Services Inc                                    | INTERNATIONAL CONTAINER TERMINAL SERVICES INC                                    | CUSIP: BJ9777803<br>LEI: 254900FU1MWK0I0Q4J61 | Long             | DBT              | CORP              | PH        |    400000 | PA      | $349880.00    | 0.06%             | 2030-06-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| N/A                                                                              | AUST 10Y BOND FUT DEC22                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |        15 | NC      | $30808.34     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | US ULTRA BOND CBT MAR23                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        64 | NC      | $143409.28    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | US 10YR ULTRA FUT MAR23                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -48 | NC      | $-57817.92    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | US LONG BOND(CBT) MAR23                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       191 | NC      | $319055.95    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | US 10YR NOTE (CBT)MAR23                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |      -133 | NC      | $-119680.05   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | US 2YR NOTE (CBT) MAR23                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       118 | NC      | $64568.25     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | ALLIANT SERVICES SERIES A CVT PFD PP                                             | CUSIP: TC5Z209L4<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1150 | NS      | $1078125.00   | 0.17%             |  |  |  | Yes           |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND FUTURE DEC22                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -7 | NC      | $-7400.52     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | EURO-BUND FUTURE DEC22                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -1 | NC      | $-1057.22     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP                                                      | SWAPTION_CDX_USD_2I65BRZH6_OTC_E_PAYER_K_5_EFF_2022-11-03_MAT_2023-01-18         | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DCR              | CORP              | US        |         1 | NC      | $39801.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS                                                                         | SWAPTION_CDX_USD_2I65BRZH6_OTC_E_PAYER_K_95.5_EFF_2022-10-20_MAT_2022-12-21      | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |         1 | NC      | $8546.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                                                     | CMBX BBB- CDSI S13 12/16/2072                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $714960.40    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ICE_CDX IG CDSI S39 5Y 12/20/2027                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $319486.54    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                                                               | CMBX BBB- CDSI S13 12/16/2072                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |         1 | NC      | $924682.12    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ICE_CDX HY CDSI S38 V2 5Y PRC 06/20/2027                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |         1 | NC      | $-409348.38   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems Inc                                                 | ICE_COMMUNITY HEALTH SYSTEMS CDS 12/20/2026                                      | CUSIP: 000000000<br>LEI: 5493007X5NC5XI1BB106 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-102626.71   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems Inc                                                 | ICE - COMMUNITY HEALTH SYSTEMS CDS 06/20/2026                                    | CUSIP: 000000000<br>LEI: 5493007X5NC5XI1BB106 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-83323.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | LONG GILT FUTURE MAR23                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | GB        |        -7 | NC      | $6321.09      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | US 5YR NOTE (CBT) MAR23                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       386 | NC      | $249749.72    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JP MORGAN CHASE BANK                                                             | USD/CAD FWD 20230120 CHASGB2L                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $515.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CAN 10YR BOND FUT MAR23                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |         7 | NC      | $-2092.10     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Cologix Canadian Issuer LP                                                       | COLOGIX CANADIAN ISSUER LP                                                       | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   1460000 | PA      | $995674.09    | 0.16%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Banco de Bogota SA                                                               | BANCO DE BOGOTA SA                                                               | CUSIP: LW0752441<br>LEI: 549300LYHE7LWSKDZT53 | Long             | DBT              | CORP              | CO        |    475000 | PA      | $455587.10    | 0.07%             | 2026-05-12      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Ivory Coast Government International Bond                                        | IVORY COAST GOVERNMENT INTERNATIONAL BOND                                        | CUSIP: AN4195839<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |   2400000 | PA      | $2148000.00   | 0.34%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| BBVA Bancomer SA/Texas                                                           | BBVA BANCOMER SA/TEXAS                                                           | CUSIP: AQ7459029<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |    500000 | PA      | $434150.00    | 0.07%             | 2033-01-18      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Agrosuper SA                                                                     | AGROSUPER SA                                                                     | CUSIP: BT5013623<br>LEI: 5493006KNWOGYPTZZ371 | Long             | DBT              | CORP              | CL        |    550000 | PA      | $466812.50    | 0.07%             | 2032-01-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Romanian Government International Bond                                           | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                           | CUSIP: BK4157206<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   2738000 | PA      | $1832014.97   | 0.29%             | 2051-02-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morocco Government International Bond                                            | MOROCCO GOVERNMENT INTERNATIONAL BOND                                            | CUSIP: BM9763137<br>LEI: 529900F3MBW9XY5K1X07 | Long             | DBT              | NUSS              | MA        |   2400000 | PA      | $1646232.00   | 0.26%             | 2050-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Serbia International Bond                                                        | SERBIA INTERNATIONAL BOND                                                        | CUSIP: BM7040983<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |   2800000 | PA      | $2067122.40   | 0.33%             | 2030-12-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Leviathan Bond Ltd                                                               | LEVIATHAN BOND LTD                                                               | CUSIP: BK6709004<br>LEI: 254900D9T8VKYVQNZ220 | Long             | DBT              | CORP              | IL        |    500000 | PA      | $490000.00    | 0.08%             | 2025-06-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Metalsa S A P I De Cv                                                            | METALSA S A P I DE CV                                                            | CUSIP: BP2326638<br>LEI: 549300F2FONGJR575V67 | Long             | DBT              | CORP              | MX        |    650000 | PA      | $496855.91    | 0.08%             | 2031-05-04      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Adani International Container Terminal Pvt Ltd                                   | ADANI INTERNATIONAL CONTAINER TERMINAL PVT LTD                                   | CUSIP: BN0450864<br>LEI: 335800J4SLERP6S94P28 | Long             | DBT              | CORP              | IN        |    609375 | PA      | $478454.12    | 0.08%             | 2031-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| APPLIED SYSTEMS INC                                                              | APPLIED SYSTEMS INC                                                              | CUSIP: 03827FBB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     70000 | PA      | $69540.80     | 0.01%             | 2026-09-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| DELTA 2 LUX SARL                                                                 | DELTA 2 LUX SARL                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   1495000 | PA      | $1487061.55   | 0.24%             | 2030-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Acrisure LLC                                                                     | ACRISURE LLC                                                                     | CUSIP: 00488PAQ8<br>LEI: 549300R0Z1Q47XRTGO22 | Long             | LON              | CORP              | US        |    180000 | PA      | $178200.00    | 0.03%             | 2027-02-15      | Floating      | 9.92%                 | No            |                  3 | On Loan: No      |
| HUB International Ltd                                                            | HUB INTERNATIONAL LTD                                                            | CUSIP: 44332EAV8<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |    105000 | PA      | $103293.75    | 0.02%             | 2029-10-31      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Citadel Securities LP                                                            | CITADEL SECURITIES LP                                                            | CUSIP: 17288YAE2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |    265000 | PA      | $262848.20    | 0.04%             | 2028-02-02      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Pike Corp                                                                        | PIKE CORP                                                                        | CUSIP: 72108PAT1<br>LEI: 549300P4EKEP6HK0NC58 | Long             | LON              | CORP              | US        |    285000 | PA      | $281260.80    | 0.04%             | 2028-01-21      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| PetVet Care Centers LLC                                                          | PETVET CARE CENTERS LLC                                                          | CUSIP: 71681GAB7<br>LEI: 549300V0HK8MSXZNOM91 | Long             | LON              | CORP              | US        |    822938 | PA      | $780416.32    | 0.12%             | 2025-02-14      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Dave & Buster s Inc                                                              | DAVE & BUSTER'S INC                                                              | CUSIP: 23833EAV6<br>LEI: 549300JAVWTAY1FT5Z45 | Long             | LON              | CORP              | US        |    364212 | PA      | $360843.53    | 0.06%             | 2029-06-29      | Floating      | 9.19%                 | No            |                  2 | On Loan: No      |
| CENTRAL PARENT INC                                                               | CENTRAL PARENT INC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    485000 | PA      | $478772.60    | 0.08%             | 2029-06-09      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Brookfield WEC Holdings Inc                                                      | BROOKFIELD WEC HOLDINGS                                                          | CUSIP: 11284EAP8<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |    325000 | PA      | $322461.75    | 0.05%             | 2025-08-01      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| Sophia LP                                                                        | SOPHIA LP                                                                        | CUSIP: 83578BAP8<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |    189362 | PA      | $183681.63    | 0.03%             | 2027-10-07      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| Scientific Games Holdings LP                                                     | SCIENTIFIC GAMES HOLDIN                                                          | CUSIP: 80875CAB3<br>LEI: 549300W5GPFXXB6TQ330 | Long             | LON              | CORP              | US        |    290000 | PA      | $276587.50    | 0.04%             | 2029-02-04      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| IRB Holding Corp                                                                 | IRB HOLDING CORP                                                                 | CUSIP: 44988LAH0<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |    182002 | PA      | $174904.22    | 0.03%             | 2027-12-15      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC                                                           | ATHENAHEALTH GROUP INC                                                           | CUSIP: 04686RAB9<br>LEI: 5493004JZ4RQIZBHP241 | Long             | LON              | CORP              | US        |   1027136 | PA      | $935720.45    | 0.15%             | 2029-02-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Naked Juice LLC                                                                  | NAKED JUICE LLC                                                                  | CUSIP: 62984CAB9<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |    460000 | PA      | $399625.00    | 0.06%             | 2030-01-20      | Floating      | 9.65%                 | No            |                  2 | On Loan: No      |
| Naked Juice LLC                                                                  | NAKED JUICE LLC                                                                  | CUSIP: 62984CAD5<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |    164562 | PA      | $154688.75    | 0.02%             | 2029-01-20      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Maravai Intermediate Holdings LLC                                                | MARAVAI INTERMEDIATE HOL                                                         | CUSIP: 56589PAJ4<br>LEI: 2549005DIMMJLV8LMZ14 | Long             | LON              | CORP              | US        |    738480 | PA      | $724633.16    | 0.12%             | 2027-10-29      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| UKG Inc                                                                          | UKG INC                                                                          | CUSIP: 90385KAK7<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |   1238557 | PA      | $1194687.09   | 0.19%             | 2026-05-04      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| UKG Inc                                                                          | UKG INC                                                                          | CUSIP: 90385K9D5<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |   2015000 | PA      | $1843725.00   | 0.29%             | 2027-05-03      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Ascend Learning LLC                                                              | ASCEND LEARNING LLC                                                              | CUSIP: 04349HAM6<br>LEI: 549300T466HKRLVCD610 | Long             | LON              | CORP              | US        |   1050000 | PA      | $889875.00    | 0.14%             | 2029-12-10      | Floating      | 9.82%                 | No            |                  2 | On Loan: No      |
| Ascend Learning LLC                                                              | ASCEND LEARNING LLC                                                              | CUSIP: 04349HAK0<br>LEI: 549300T466HKRLVCD610 | Long             | LON              | CORP              | US        |    473267 | PA      | $447104.52    | 0.07%             | 2028-12-11      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Sophia LP                                                                        | SOPHIA LP                                                                        | CUSIP: 83578BAN3<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |    257703 | PA      | $247974.43    | 0.04%             | 2027-10-07      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Filtration Group Corp                                                            | FILTRATION GROUP CORP                                                            | CUSIP: 31732FAR7<br>LEI: 549300ZA0D9WN5ECE978 | Long             | LON              | CORP              | US        |    327017 | PA      | $318268.89    | 0.05%             | 2028-10-21      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Loyalty Ventures Inc                                                             | LOYALTY VENTURES INC                                                             | CUSIP: 54912FAD2<br>LEI: 549300Q3YKVWNY6JIJ44 | Long             | LON              | CORP              | US        |      8783 | PA      | $3469.14      | 0.00%             | 2027-11-03      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| SeaWorld Parks & Entertainment Inc                                               | SEAWORLD PARKS & ENTERTA                                                         | CUSIP: 78488CAH3<br>LEI: 549300UZV72O3371JJ53 | Long             | LON              | CORP              | US        |    363741 | PA      | $356240.89    | 0.06%             | 2028-08-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Engineered Machinery Holdings Inc                                                | ENGINEERED MACHINERY HOL                                                         | CUSIP: 26658NAQ2<br>LEI: 5493008AR0NPSLW8EW07 | Long             | LON              | CORP              | US        |    690000 | PA      | $635876.40    | 0.10%             | 2029-05-21      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| PHOENIX NEWCO INC                                                                | PHOENIX NEWCO INC                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    600000 | PA      | $564000.00    | 0.09%             | 2029-11-15      | Floating      | 10.57%                | No            |                  2 | On Loan: No      |
| Phoenix Newco Inc                                                                | PHOENIX NEWCO INC                                                                | CUSIP: 71911KAC8<br>LEI: 254900PHGVI5379Z9791 | Long             | LON              | CORP              | US        |    402350 | PA      | $386408.89    | 0.06%             | 2028-11-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                      | ASURION LLC                                                                      | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |   1795000 | PA      | $1374664.85   | 0.22%             | 2029-01-20      | Floating      | 9.32%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                              | MEDLINE BORROWER LP                                                              | CUSIP: 58503UAC7<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |    795025 | PA      | $754168.67    | 0.12%             | 2028-10-23      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Charter Next Generation Inc                                                      | CHARTER NEX US INC                                                               | CUSIP: 16125TAJ1<br>LEI: 549300KRNU8RNVGYXG75 | Long             | LON              | CORP              | US        |   1133937 | PA      | $1103286.35   | 0.18%             | 2027-12-01      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR US NEWCO INC                                                         | TK ELEVATOR MIDCO GMBH                                                           | CUSIP: 000000000<br>LEI: 549300C2AFWPAYWS5574 | Long             | LON              | CORP              | US        |    633783 | PA      | $606847.22    | 0.10%             | 2027-07-30      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| MIC Glen LLC                                                                     | MIC GLEN LLC                                                                     | CUSIP: 55304PAE1<br>LEI: 549300XD843A2SP50882 | Long             | LON              | CORP              | US        |    400000 | PA      | $362000.00    | 0.06%             | 2029-07-20      | Floating      | 10.82%                | No            |                  2 | On Loan: No      |
| Madison IAQ LLC                                                                  | MADISON IAQ LLC                                                                  | CUSIP: 55759VAB4<br>LEI: 549300IXDNBXNHUPBU73 | Long             | LON              | CORP              | US        |    243595 | PA      | $230959.79    | 0.04%             | 2028-06-21      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Engineered Machinery Holdings Inc                                                | ENGINEERED MACHINERY HOL                                                         | CUSIP: 26658NAN9<br>LEI: 5493008AR0NPSLW8EW07 | Long             | LON              | CORP              | US        |    900000 | PA      | $828378.00    | 0.13%             | 2029-05-21      | Floating      | 10.17%                | No            |                  2 | On Loan: No      |
| CORELOGIC INC                                                                    | CORELOGIC INC                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    985000 | PA      | $668568.75    | 0.11%             | 2029-06-04      | Floating      | 10.62%                | No            |                  2 | On Loan: No      |
| Organon & Co                                                                     | ORGANON & CO                                                                     | CUSIP: 68621XAE3<br>LEI: 549300AMCKY57OK2CO56 | Long             | LON              | CORP              | US        |    302996 | PA      | $299662.88    | 0.05%             | 2028-06-02      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Hyland Software Inc                                                              | HYLAND SOFTWARE INC                                                              | CUSIP: 44908XAV0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    868600 | PA      | $819202.72    | 0.13%             | 2025-07-07      | Floating      | 10.32%                | No            |                  2 | On Loan: No      |
| Ryan Specialty Group LLC                                                         | RYAN SPECIALTY GROUP                                                             | CUSIP: 78350UAE5<br>LEI: 549300K52N7QBO3PYY45 | Long             | LON              | CORP              | US        |    424156 | PA      | $420868.93    | 0.07%             | 2027-09-01      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| JONES DESLAURIERS INSURA                                                         | JONES DESLAURIERS INSURA                                                         | CUSIP: 000000000<br>LEI: 549300JQIWNFU00E5424 | Long             | LON              | CORP              | CA        |    385000 | PA      | $259023.16    | 0.04%             | 2029-03-26      | Floating      | 12.06%                | No            |                  3 | On Loan: No      |
| JONES DESLAURIERS INSURA                                                         | JONES DESLAURIERS INSURA                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    450000 | PA      | $310281.38    | 0.05%             | 2028-03-27      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| JONES DESLAURIERS INSURA                                                         | JONES DESLAURIERS INSURA                                                         | CUSIP: 000000000<br>LEI: 549300JQIWNFU00E5424 | Long             | LON              | CORP              | CA        |    834983 | PA      | $575732.94    | 0.09%             | 2028-03-27      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| SUNSHINE LUXEMBOURG VII                                                          | SUNSHINE LUXEMBOURG VII                                                          | CUSIP: 000000000<br>LEI: 254900CHQOBZNYV4DY60 | Long             | LON              | CORP              | LU        |    522769 | PA      | $495814.75    | 0.08%             | 2026-10-01      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Peraton Corp                                                                     | PERATON CORP                                                                     | CUSIP: 71360HAG2<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |    719712 | PA      | $683006.58    | 0.11%             | 2029-02-01      | Floating      | 11.65%                | No            |                  2 | On Loan: No      |
| AAdvantage Loyalty IP Ltd                                                        | AADVANTAGE LOYALTY IP                                                            | CUSIP: 02376CBJ3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |    535000 | PA      | $531276.40    | 0.08%             | 2028-04-20      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| EG FINCO LTD                                                                     | EG FINCO LTD                                                                     | CUSIP: 000000000<br>LEI: 2138003OUK4UQHRJLT65 | Long             | LON              | CORP              | GB        |    910000 | PA      | $808057.43    | 0.13%             | 2027-04-30      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Applied Systems Inc                                                              | APPLIED SYSTEMS INC                                                              | CUSIP: 03827FAX9<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |   1406599 | PA      | $1401000.49   | 0.22%             | 2024-09-19      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Applied Systems Inc                                                              | APPLIED SYSTEMS INC                                                              | CUSIP: 03827FBA8<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |   1328444 | PA      | $1315159.47   | 0.21%             | 2025-09-19      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| RealPage Inc                                                                     | REALPAGE INC                                                                     | CUSIP: 75605VAG7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1035000 | PA      | $990370.80    | 0.16%             | 2029-04-23      | Floating      | 10.57%                | No            |                  2 | On Loan: No      |
| RealPage Inc                                                                     | REALPAGE INC                                                                     | CUSIP: 75605VAD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    378500 | PA      | $361705.96    | 0.06%             | 2028-04-24      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| MH Sub I LLC                                                                     | MH SUB I LLC                                                                     | CUSIP: 55303BAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    265000 | PA      | $237506.25    | 0.04%             | 2029-02-23      | Floating      | 10.65%                | No            |                  2 | On Loan: No      |
| Peraton Corp                                                                     | PERATON CORP                                                                     | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |    368614 | PA      | $359399.03    | 0.06%             | 2028-02-01      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Verscend Holding Corp                                                            | VERSCEND HOLDING CORP                                                            | CUSIP: 92531HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    307925 | PA      | $305341.35    | 0.05%             | 2025-08-27      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| PetSmart LLC                                                                     | PETSMART INC                                                                     | CUSIP: 71677HAL9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    518864 | PA      | $497923.04    | 0.08%             | 2028-02-11      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Pathway Vet Alliance LLC                                                         | PATHWAY VET ALLIANCE LLC                                                         | CUSIP: 70323KAE8<br>LEI: 2549001HRKTHAW7MOH74 | Long             | LON              | CORP              | US        |    776874 | PA      | $681155.24    | 0.11%             | 2027-03-31      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                      | ASURION LLC                                                                      | CUSIP: 04649VAZ3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    703000 | PA      | $540606.98    | 0.09%             | 2028-01-31      | Floating      | 9.32%                 | No            |                  2 | On Loan: No      |
| PG&E Corp                                                                        | PG&E CORP                                                                        | CUSIP: 69338CAH4<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | LON              | CORP              | US        |    634836 | PA      | $624386.86    | 0.10%             | 2025-06-23      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Epicor Software Corp                                                             | EPICOR SOFTWARE CORP                                                             | CUSIP: 29426NAN4<br>LEI: JGNXVGGGXR4O1L5I7S73 | Long             | LON              | CORP              | US        |   1006346 | PA      | $970701.27    | 0.15%             | 2027-07-30      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| UFC Holdings LLC                                                                 | UFC HOLDINGS LLC                                                                 | CUSIP: 90266UAJ2<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |   1575696 | PA      | $1547033.92   | 0.25%             | 2026-04-29      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Brookfield WEC Holdings Inc                                                      | BROOKFIELD WEC HOLDINGS                                                          | CUSIP: 11284EAM5<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |    195000 | PA      | $191201.40    | 0.03%             | 2025-08-01      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                                                            | HUB INTERNATIONAL LTD                                                            | CUSIP: 44332EAU0<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |   2365796 | PA      | $2325080.23   | 0.37%             | 2025-04-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Pike Corp                                                                        | PIKE CORP                                                                        | CUSIP: 72108PAR5<br>LEI: 549300P4EKEP6HK0NC58 | Long             | LON              | CORP              | US        |    536849 | PA      | $525860.01    | 0.08%             | 2028-01-21      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                      | ASURION LLC                                                                      | CUSIP: 04649VAX8<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    353092 | PA      | $308366.15    | 0.05%             | 2026-12-23      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Woof Holdings Inc                                                                | WOOF HOLDINGS INC                                                                | CUSIP: 98082EAD6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1605000 | PA      | $1444500.00   | 0.23%             | 2028-12-21      | Floating      | 10.82%                | No            |                  2 | On Loan: No      |
| Aruba Investments Holdings LLC                                                   | ARUBA INVESTMENT HOLDING                                                         | CUSIP: 04317JAF5<br>LEI: 254900GMIYFF4FZ0A357 | Long             | LON              | CORP              | US        |    520000 | PA      | $469731.60    | 0.07%             | 2028-11-24      | Floating      | 11.79%                | No            |                  2 | On Loan: No      |
| CNT Holdings I Corp                                                              | CNT HOLDINGS I CORP                                                              | CUSIP: 12656AAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    245000 | PA      | $230709.15    | 0.04%             | 2028-11-06      | Floating      | 10.49%                | No            |                  2 | On Loan: No      |
| CNT Holdings I Corp                                                              | CNT HOLDINGS I CORP                                                              | CUSIP: 12656AAC3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    109190 | PA      | $105522.74    | 0.02%             | 2027-11-08      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Gainwell Acquisition Corp                                                        | GAINWELL ACQUISITION COR                                                         | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1314057 | PA      | $1279891.95   | 0.20%             | 2027-10-01      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Epicor Software Corp                                                             | EPICOR SOFTWARE CORP                                                             | CUSIP: 29426NAQ7<br>LEI: JGNXVGGGXR4O1L5I7S73 | Long             | LON              | CORP              | US        |    590000 | PA      | $581887.50    | 0.09%             | 2028-07-31      | Floating      | 11.82%                | No            |                  2 | On Loan: No      |
| Mileage Plus Holdings LLC                                                        | MILEAGE PLUS HOLDINGS IN                                                         | CUSIP: 59921PAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1044250 | PA      | $1072966.88   | 0.17%             | 2027-06-21      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| MH Sub I LLC                                                                     | MH SUB I LLC                                                                     | CUSIP: 45567YAL9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    326362 | PA      | $317184.91    | 0.05%             | 2024-09-13      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Tacala Investment Corp                                                           | TACALA INVESTMENT CORP                                                           | CUSIP: 873412AA8<br>LEI: 549300XTM341KBSTDI88 | Long             | LON              | CORP              | US        |    410103 | PA      | $392866.21    | 0.06%             | 2027-02-05      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| IRB Holding Corp                                                                 | IRB HOLDING CORP                                                                 | CUSIP: 44988LAF4<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |    456987 | PA      | $448335.77    | 0.07%             | 2025-02-05      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Wand NewCo 3 Inc                                                                 | WAND NEWCO 3 INC                                                                 | CUSIP: 93369PAF1<br>LEI: 549300Y3VZEWMSQW8494 | Long             | LON              | CORP              | US        |    335000 | PA      | $318849.65    | 0.05%             | 2026-02-05      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings Inc                                               | CLEAR CHANNEL OUTDOOR HO                                                         | CUSIP: 18452RAD7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    588889 | PA      | $537626.54    | 0.09%             | 2026-08-21      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| Staples Inc                                                                      | STAPLES INC                                                                      | CUSIP: 855031AQ3<br>LEI: XQM2JINI1UL7642TU573 | Long             | LON              | CORP              | US        |    263377 | PA      | $234432.20    | 0.04%             | 2026-04-16      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| Prairie ECI Acquiror LP                                                          | PRAIRIE ECI ACQUIROR LP                                                          | CUSIP: 73955HAB0<br>LEI: 549300EXIECHUG4F3335 | Long             | LON              | CORP              | US        |    287125 | PA      | $277480.47    | 0.04%             | 2026-03-11      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                      | ASURION LLC                                                                      | CUSIP: 04649VAW0<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    329258 | PA      | $315195.21    | 0.05%             | 2024-11-03      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| William Morris Endeavor Entertainment LLC                                        | WILLIAM MORRIS ENDEAVOR EN                                                       | CUSIP: 96925HAF9<br>LEI: 5493008R7J9HEQ30DZ33 | Long             | LON              | CORP              | US        |    312538 | PA      | $303774.46    | 0.05%             | 2025-05-18      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Filtration Group Corp                                                            | FILTRATION GROUP CORP                                                            | CUSIP: 31732FAM8<br>LEI: 549300ZA0D9WN5ECE978 | Long             | LON              | CORP              | US        |   1589617 | PA      | $1567171.37   | 0.25%             | 2025-03-31      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| PetVet Care Centers LLC                                                          | PETVET CARE CENTERS LLC                                                          | CUSIP: 70476XAF2<br>LEI: 549300V0HK8MSXZNOM91 | Long             | LON              | CORP              | US        |   1040000 | PA      | $971536.80    | 0.15%             | 2026-02-13      | Floating      | 10.32%                | No            |                  2 | On Loan: No      |
| Tacala Investment Corp                                                           | TACALA INVESTMENT CORP                                                           | CUSIP: 873412AC4<br>LEI: 549300XTM341KBSTDI88 | Long             | LON              | CORP              | US        |    470000 | PA      | $425467.50    | 0.07%             | 2028-02-04      | Floating      | 11.57%                | No            |                  2 | On Loan: No      |
| Globo Comunicacao e Participacoes SA                                             | GLOBO COMUNICACAO E PARTICIPACOES SA                                             | CUSIP: ZP5396020<br>LEI: 52990054HEKS017PVR75 | Long             | DBT              | CORP              | BR        |    375000 | PA      | $308512.50    | 0.05%             | 2030-01-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AES Andes SA                                                                     | AES ANDES SA                                                                     | CUSIP: AX6134230<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |    525000 | PA      | $486799.29    | 0.08%             | 2079-03-26      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Dominican Republic International Bond                                            | DOMINICAN REPUBLIC INTERNATIONAL BOND                                            | CUSIP: ZP6620022<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   2000000 | PA      | $1492500.00   | 0.24%             | 2060-01-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Bangkok Bank PCL/Hong Kong                                                       | BANGKOK BANK PCL/HONG KONG                                                       | CUSIP: ZR6527587<br>LEI: 549300CCL2BKJGMYXV60 | Long             | DBT              | CORP              | TH        |    400000 | PA      | $325245.56    | 0.05%             | 2034-09-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Kaisa Group Holdings Ltd                                                         | KAISA GROUP HOLDINGS LTD                                                         | CUSIP: AX9574382<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |    850000 | PA      | $89217.91     | 0.01%             | 2023-04-09      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| Vivo Energy Investments BV                                                       | VIVO ENERGY INVESTMENTS BV                                                       | CUSIP: ZO5275573<br>LEI: 724500P3OXMB2IERLM56 | Long             | DBT              | CORP              | NL        |    550000 | PA      | $496375.00    | 0.08%             | 2027-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| MAF Global Securities Ltd                                                        | MAF GLOBAL SECURITIES LTD                                                        | CUSIP: AR7375777<br>LEI: 54930037VUDNYTS17017 | Long             | DBT              | CORP              | KY        |    500000 | PA      | $475925.00    | 0.08%             | N/A             | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| US 10YR FUT OPTN  Feb23P 110                                                     | TYG3P    110 PIT                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -68 | NC      | $-22312.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| US 10YR FUT OPTN  Feb23C 110                                                     | TYG3C    110 PIT                                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -68 | NC      | $-259250.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| US 10YR FUT OPTN  Jan23P 110.5                                                   | TYF3P    110.5 PIT                                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -72 | NC      | $-9000.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| US 10YR FUT OPTN  Jan23C 110.5                                                   | TYF3C    110.5 PIT                                                               | CUSIP: 000000000<br>LEI: 254900HROIFWPRGM1V77 | N/A              | DIR              | CORP              | US        |       -72 | NC      | $-225000.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Yum  Brands Inc                                                                  | YUM! BRANDS INC                                                                  | CUSIP: 988498AR2<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |    850000 | PA      | $786250.00    | 0.13%             | 2032-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Workday Inc                                                                      | WORKDAY INC                                                                      | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    355000 | PA      | $317622.41    | 0.05%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Wolverine World Wide Inc                                                         | WOLVERINE WORLD WIDE INC                                                         | CUSIP: 978097AG8<br>LEI: 549300OVC7PK14LQ8D87 | Long             | DBT              | CORP              | US        |    235000 | PA      | $175075.00    | 0.03%             | 2029-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WinWater Mortgage Loan Trust 2016-1                                              | WINWATER MORTGAGE LOAN TRUST 2016-1                                              | CUSIP: 97655JCD2<br>LEI: 5493007FSEV8PHXVE122 | Long             | ABS-MBS          | CORP              | US        |    563899 | PA      | $500723.43    | 0.08%             | 2046-01-20      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                                                     | FI TRS USD PAY IBXXLLTR 03/20/23                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-352892.42   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                                                     | FI TRS USD PAY IBOXHY 03/20/23                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-591287.09   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                                                     | FI TRS USD PAY IBXXLLTR 03/20/23                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-366928.44   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                 | WELLS FARGO & CO                                                                 | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1236777.81   | 0.20%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                 | WELLS FARGO & CO                                                                 | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    575000 | PA      | $506146.05    | 0.08%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                 | WELLS FARGO & CO                                                                 | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    250000 | PA      | $215767.50    | 0.03%             | 2030-10-30      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-NXS2                                  | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS2                                  | CUSIP: 94989MAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $43321.00     | 0.01%             | 2058-07-15      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-NXS2                                  | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS2                                  | CUSIP: 94989MAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22096 | PA      | $21312.48     | 0.00%             | 2058-07-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO 2017-2A Ltd                                                        | WELLFLEET CLO 2017-2A LTD                                                        | CUSIP: 94951MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    197504 | PA      | $194390.21    | 0.03%             | 2029-10-20      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO 2021-3 Ltd                                                         | WELLFLEET CLO 2021-3 LTD                                                         | CUSIP: 94951JAC4<br>LEI: 254900E0WT1R93N8OQ24 | Long             | ABS-CBDO         | CORP              | KY        |   1310000 | PA      | $1243006.60   | 0.20%             | 2035-01-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Watco Cos LLC / Watco Finance Corp                                               | WATCO COS LLC / WATCO FINANCE CORP                                               | CUSIP: 941130AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    240000 | PA      | $229200.00    | 0.04%             | 2027-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                         | VISTRA OPERATIONS CO LLC                                                         | CUSIP: 92840VAL6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    650000 | PA      | $635749.40    | 0.10%             | 2025-05-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                                                      | VISTRA CORP                                                                      | CUSIP: 92840MAC6<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |    545000 | PA      | $487093.75    | 0.08%             | N/A             | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                                                      | VISTRA CORP                                                                      | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |   1720000 | PA      | $1642600.00   | 0.26%             | N/A             | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust 2020-1                                          | VISTA POINT SECURITIZATION TRUST 2020-1                                          | CUSIP: 92838WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $292118.51    | 0.05%             | 2065-03-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Virginia Public School Authority                                                 | VIRGINIA PUBLIC SCHOOL AUTHORITY                                                 | CUSIP: 92817SXW3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    195000 | PA      | $184517.87    | 0.03%             | 2030-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Virginia Public Building Authority                                               | VIRGINIA PUBLIC BUILDING AUTHORITY                                               | CUSIP: 928172WG6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     60000 | PA      | $63756.07     | 0.01%             | 2030-08-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Virginia Commonwealth Transportation Board                                       | VIRGINIA COMMONWEALTH TRANSPORTATION BOARD                                       | CUSIP: 927793TC3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      5000 | PA      | $5159.72      | 0.00%             | 2035-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-5                                                | VERUS SECURITIZATION TRUST 2021-5                                                | CUSIP: 92538KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $507793.04    | 0.08%             | 2066-09-25      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| TK Elevator Holdco GmbH                                                          | TK ELEVATOR HOLDCO GMBH                                                          | CUSIP: 92537VAA8<br>LEI: 2549008GCHWX9EEMIS56 | Long             | DBT              | CORP              | DE        |    760000 | PA      | $630800.00    | 0.10%             | 2028-07-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2019-INV3                                             | VERUS SECURITIZATION TRUST 2019-INV3                                             | CUSIP: 92537MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $284308.61    | 0.05%             | 2059-11-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Verscend Escrow Corp                                                             | VERSCEND ESCROW CORP                                                             | CUSIP: 92535WAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    295000 | PA      | $294262.50    | 0.05%             | 2026-08-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Vermilion Energy Inc                                                             | VERMILION ENERGY INC                                                             | CUSIP: 923725AD7<br>LEI: WT03B8BB1IX8WI9ZGV02 | Long             | DBT              | CORP              | CA        |    485000 | PA      | $447412.50    | 0.07%             | 2030-05-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                       | VERIZON COMMUNICATIONS INC                                                       | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    310000 | PA      | $247831.98    | 0.04%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                       | VERIZON COMMUNICATIONS INC                                                       | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     11000 | PA      | $6953.00      | 0.00%             | 2056-10-30      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                       | VERIZON COMMUNICATIONS INC                                                       | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    205000 | PA      | $140553.95    | 0.02%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                                | VENTURE GLOBAL CALCASIEU PASS LLC                                                | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    615000 | PA      | $498150.00    | 0.08%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Venture Global Calcasieu Pass LLC                                                | VENTURE GLOBAL CALCASIEU PASS LLC                                                | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    290000 | PA      | $250125.00    | 0.04%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                                | VENTURE GLOBAL CALCASIEU PASS LLC                                                | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    225000 | PA      | $195750.00    | 0.03%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VTR Comunicaciones SpA                                                           | VTR COMUNICACIONES SPA                                                           | CUSIP: 918367AA1<br>LEI: 213800XDZJKMC1AEUV94 | Long             | DBT              | CORP              | CL        |    429000 | PA      | $245600.36    | 0.04%             | 2028-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Univision Communications Inc                                                     | UNIVISION COMMUNICATIONS INC                                                     | CUSIP: 914906AX0<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    220000 | PA      | $216150.00    | 0.03%             | 2030-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7475000 | PA      | $7766992.19   | 1.24%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6800000 | PA      | $6882875.00   | 1.10%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1455000 | PA      | $1386342.19   | 0.22%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13900000 | PA      | $13569875.00  | 2.16%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3870000 | PA      | $3564028.13   | 0.57%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8155000 | PA      | $7023493.75   | 1.12%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15675000 | PA      | $12968613.28  | 2.06%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND - WHEN ISSUED                                   | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1660000 | PA      | $1478437.50   | 0.24%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND - WHEN ISSUED                                   | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3600000 | PA      | $3225937.50   | 0.51%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CBM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $3786875.00   | 0.60%             | 2024-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CBC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $9846718.75   | 1.57%             | 2025-12-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CAV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9900000 | PA      | $8043750.00   | 1.28%             | 2030-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CAT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11200000 | PA      | $10036250.00  | 1.60%             | 2025-10-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CAM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1349296.88   | 0.21%             | 2025-09-30      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1350000 | PA      | $1078312.50   | 0.17%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    550000 | PA      | $441890.63    | 0.07%             | 2030-05-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $431875.00    | 0.07%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 9128286Z8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2410000 | PA      | $2308328.13   | 0.37%             | 2024-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 9128285Z9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    475000 | PA      | $463125.00    | 0.07%             | 2024-01-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 9128283F5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1275000 | PA      | $1182960.94   | 0.19%             | 2027-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1350000 | PA      | $1257187.50   | 0.20%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    780000 | PA      | $667631.25    | 0.11%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2395000 | PA      | $1862860.94   | 0.30%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17505000 | PA      | $12636421.88  | 2.01%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3500000 | PA      | $2300703.13   | 0.37%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1083281.25   | 0.17%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9130000 | PA      | $5261162.50   | 0.84%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22340000 | PA      | $12454550.00  | 1.98%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1480000 | PA      | $1140293.75   | 0.18%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1275000 | PA      | $1148695.31   | 0.18%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2415000 | PA      | $2107087.50   | 0.34%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    175000 | PA      | $185636.72    | 0.03%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810EV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $745718.75    | 0.12%             | 2025-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| United Airlines 2019-2 Class A Pass Through Trust                                | UNITED AIRLINES 2019-2 CLASS A PASS THROUGH TRUST                                | CUSIP: 90932MAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    127438 | PA      | $103301.06    | 0.02%             | 2028-05-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| United Airlines Inc                                                              | UNITED AIRLINES INC                                                              | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    255000 | PA      | $225675.00    | 0.04%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United Airlines 2019-2 Class AA Pass Through Trust                               | UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                               | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    141524 | PA      | $115668.77    | 0.02%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                     | UBS GROUP AG                                                                     | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    311000 | PA      | $243796.01    | 0.04%             | 2033-02-11      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| 2020 Cash Mandatory Exchangeable Trust                                           | 2020 CASH MANDATORY EXCHANGEABLE TRUST                                           | CUSIP: 901375105<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       433 | NS      | $545922.50    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Co LLC                                            | TRANSCONTINENTAL GAS PIPE LINE CO LLC                                            | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $34156.44     | 0.01%             | 2048-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Townsquare Media Inc                                                             | TOWNSQUARE MEDIA INC                                                             | CUSIP: 892231AB7<br>LEI: 549300XBA8C68H0DR538 | Long             | DBT              | CORP              | US        |    775000 | PA      | $716875.00    | 0.11%             | 2026-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2017-4                                                 | TOWD POINT MORTGAGE TRUST 2017-4                                                 | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1384473 | PA      | $1308343.52   | 0.21%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Tobacco Settlement Financing Corp/VA                                             | TOBACCO SETTLEMENT FINANCING CORP/VA                                             | CUSIP: 88880NAT6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    330000 | PA      | $300348.48    | 0.05%             | 2046-06-01      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV                                   | TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV                                   | CUSIP: 88167AAN1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    240000 | PA      | $238800.00    | 0.04%             | 2025-01-31      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV                                   | TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV                                   | CUSIP: 88167AAK7<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    360000 | PA      | $353700.00    | 0.06%             | 2028-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Pactiv LLC                                                                       | PACTIV LLC                                                                       | CUSIP: 880394AB7<br>LEI: 549300O4WTC6DL4JIE57 | Long             | DBT              | CORP              | US        |    200000 | PA      | $188000.00    | 0.03%             | 2025-12-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp                                                            | TENET HEALTHCARE CORP                                                            | CUSIP: 88033GDP2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    250000 | PA      | $237500.00    | 0.04%             | 2030-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| Tenet Healthcare Corp                                                            | TENET HEALTHCARE CORP                                                            | CUSIP: 88033GDJ6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    300000 | PA      | $263625.00    | 0.04%             | 2028-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp                                                            | TENET HEALTHCARE CORP                                                            | CUSIP: 88033GAV2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    310000 | PA      | $272025.00    | 0.04%             | 2031-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Tarrant County Cultural Education Facilities Finance Corp                        | TARRANT COUNTY CULTURAL EDUCATION FACILITIES FINANCE CORP                        | CUSIP: 87638QRB7<br>LEI: 549300ROY505NVTMMI25 | Long             | DBT              | MUN               | US        |    210000 | PA      | $172152.71    | 0.03%             | 2030-09-01      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp              | TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP              | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    295000 | PA      | $252962.50    | 0.04%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp              | TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP              | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $259350.00    | 0.04%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp              | TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP              | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $157575.00    | 0.03%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp              | TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP              | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | PA      | $515100.00    | 0.08%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                     | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                     | CUSIP: 87470LAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $212625.00    | 0.03%             | 2025-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                     | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP                     | CUSIP: 87470LAG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $332500.00    | 0.05%             | 2027-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                                                 | T-MOBILE USA INC                                                                 | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $1013569.34   | 0.16%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                                                 | T-MOBILE USA INC                                                                 | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1652945.40   | 0.26%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TMS International Corp/DE                                                        | TMS INTERNATIONAL CORP/DE                                                        | CUSIP: 87261QAC7<br>LEI: 549300L4K0F1YF8WKF23 | Long             | DBT              | CORP              | US        |    600000 | PA      | $428250.00    | 0.07%             | 2029-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TCI-Flatiron Clo 2018-1 Ltd                                                      | TCI-FLATIRON CLO 2018-1 LTD                                                      | CUSIP: 87232AAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    980000 | PA      | $941388.00    | 0.15%             | 2032-01-29      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XX Ltd                                                              | SYMPHONY CLO XX LTD                                                              | CUSIP: 87166VAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2090000 | PA      | $1996363.26   | 0.32%             | 2032-01-16      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| Surgery Center Holdings Inc                                                      | SURGERY CENTER HOLDINGS INC                                                      | CUSIP: 86881WAD4<br>LEI: 54930054EVI5HWPPW113 | Long             | DBT              | CORP              | US        |    540000 | PA      | $540000.00    | 0.09%             | 2027-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2021-2                                       | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2                                       | CUSIP: 85573HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1601061.80   | 0.25%             | 2065-05-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2020-1                                       | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1                                       | CUSIP: 85573AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $500085.96    | 0.08%             | 2050-02-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Staples Inc                                                                      | STAPLES INC                                                                      | CUSIP: 855030AP7<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |    230000 | PA      | $167325.00    | 0.03%             | 2027-04-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Staples Inc                                                                      | STAPLES INC                                                                      | CUSIP: 855030AN2<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |    185000 | PA      | $163031.25    | 0.03%             | 2026-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                                           | STANDARD CHARTERED PLC                                                           | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    550000 | PA      | $471648.65    | 0.08%             | 2028-01-12      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| St Joseph s University Medical Center Inc                                        | ST JOSEPH'S UNIVERSITY MEDICAL CENTER INC                                        | CUSIP: 85258PAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1865682.00   | 0.30%             | 2027-07-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp                                                              | SPRINT CAPITAL CORP                                                              | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    160000 | PA      | $169600.00    | 0.03%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| South32 Treasury Ltd                                                             | SOUTH32 TREASURY LTD                                                             | CUSIP: 84055BAA1<br>LEI: 213800HFGZMXST64GP53 | Long             | DBT              | CORP              | AU        |    425000 | PA      | $369648.43    | 0.06%             | 2032-04-14      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| South Carolina Public Service Authority                                          | SOUTH CAROLINA PUBLIC SERVICE AUTHORITY                                          | CUSIP: 837151WM7<br>LEI: EMBXY64GWKA9MZGFUD26 | Long             | DBT              | MUN               | US        |    190000 | PA      | $185692.91    | 0.03%             | 2023-12-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| South Carolina Public Service Authority                                          | SOUTH CAROLINA PUBLIC SERVICE AUTHORITY                                          | CUSIP: 837151WK1<br>LEI: EMBXY64GWKA9MZGFUD26 | Long             | DBT              | MUN               | US        |     77000 | PA      | $73622.66     | 0.01%             | 2027-12-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2017-B                                          | SMB PRIVATE EDUCATION LOAN TRUST 2017-B                                          | CUSIP: 83189DAB6<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |    154046 | PA      | $146420.80    | 0.02%             | 2035-10-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| SLIDE 2018-FUN                                                                   | SLIDE 2018-FUN                                                                   | CUSIP: 831350AN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1333811 | PA      | $1285947.41   | 0.20%             | 2031-06-15      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio Inc                                                              | SIRIUS XM RADIO INC                                                              | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    430000 | PA      | $376250.00    | 0.06%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare 2020-2 Receivables Funding LLC                                  | SIERRA TIMESHARE 2020-2 RECEIVABLES FUNDING LLC                                  | CUSIP: 826525AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40515 | PA      | $38149.01     | 0.01%             | 2037-07-20      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH4                                                  | SEQUOIA MORTGAGE TRUST 2018-CH4                                                  | CUSIP: 81747LAU5<br>LEI: 5493003EWUCLH0O45S72 | Long             | ABS-MBS          | CORP              | US        |      1383 | PA      | $1367.61      | 0.00%             | 2048-10-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH1                                                  | SEQUOIA MORTGAGE TRUST 2018-CH1                                                  | CUSIP: 81747DAB5<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |     29763 | PA      | $27056.98     | 0.00%             | 2048-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH3                                                  | SEQUOIA MORTGAGE TRUST 2018-CH3                                                  | CUSIP: 81746WAU2<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |     20293 | PA      | $19870.76     | 0.00%             | 2048-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2017-CH2                                                  | SEQUOIA MORTGAGE TRUST 2017-CH2                                                  | CUSIP: 81746JAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77676 | PA      | $72062.34     | 0.01%             | 2047-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2013-4                                                    | SEQUOIA MORTGAGE TRUST 2013-4                                                    | CUSIP: 81744YAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272169 | PA      | $251624.80    | 0.04%             | 2043-04-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Sensata Technologies BV                                                          | SENSATA TECHNOLOGIES BV                                                          | CUSIP: 81725WAL7<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |    655000 | PA      | $622250.00    | 0.10%             | 2030-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Sensata Technologies BV                                                          | SENSATA TECHNOLOGIES BV                                                          | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |    405000 | PA      | $350831.25    | 0.06%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Select Medical Corp                                                              | SELECT MEDICAL CORP                                                              | CUSIP: 816196AT6<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |    275000 | PA      | $261250.00    | 0.04%             | 2026-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SeaWorld Parks & Entertainment Inc                                               | SEAWORLD PARKS & ENTERTAINMENT INC                                               | CUSIP: 81282UAG7<br>LEI: 549300UZV72O3371JJ53 | Long             | DBT              | CORP              | US        |    505000 | PA      | $438718.75    | 0.07%             | 2029-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Sealed Air Corp                                                                  | SEALED AIR CORP                                                                  | CUSIP: 81211KBA7<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    215000 | PA      | $199950.00    | 0.03%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sealed Air Corp                                                                  | SEALED AIR CORP                                                                  | CUSIP: 81211KAK6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    225000 | PA      | $219656.25    | 0.03%             | 2033-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Sea Ltd                                                                          | SEA LTD                                                                          | CUSIP: 81141RAG5<br>LEI: 529900OM6JLLW44YKI15 | Long             | DBT              | CORP              | KY        |    475000 | PA      | $356035.30    | 0.06%             | 2026-09-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Scientific Games International Inc                                               | SCIENTIFIC GAMES INTERNATIONAL INC                                               | CUSIP: 80874YBE9<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |    313000 | PA      | $305957.50    | 0.05%             | 2029-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp/The                                                          | CHARLES SCHWAB CORP/THE                                                          | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    335000 | PA      | $284331.25    | 0.05%             | N/A             | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes Series 2022-B                            | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2022-B                            | CUSIP: 80290CAX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1434899 | PA      | $1426915.30   | 0.23%             | 2032-08-16      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Santander Bank NA - SBCLN                                                        | SANTANDER BANK NA - SBCLN                                                        | CUSIP: 80290CAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    513549 | PA      | $493458.21    | 0.08%             | 2031-12-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust 2022-B                                         | SANTANDER RETAIL AUTO LEASE TRUST 2022-B                                         | CUSIP: 80287UAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615000 | PA      | $591480.00    | 0.09%             | 2027-03-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust 2020-4                                    | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-4                                    | CUSIP: 80286WAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445000 | PA      | $422403.92    | 0.07%             | 2027-01-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust 2021-A                                 | SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2021-A                                 | CUSIP: 80282YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    665000 | PA      | $597093.92    | 0.10%             | 2027-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA Inc                                                       | SANTANDER HOLDINGS USA INC                                                       | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    405000 | PA      | $352125.63    | 0.06%             | 2028-01-06      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust 2020-A                                 | SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2020-A                                 | CUSIP: 80281MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $123659.24    | 0.02%             | 2026-02-17      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd                                                                  | SANDS CHINA LTD                                                                  | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    340000 | PA      | $317500.50    | 0.05%             | 2028-08-08      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Sabre GLBL Inc                                                                   | SABRE GLBL INC                                                                   | CUSIP: 78573NAH5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |    185000 | PA      | $188468.75    | 0.03%             | 2027-12-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| Sabre GLBL Inc                                                                   | SABRE GLBL INC                                                                   | CUSIP: 78573NAC6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |    125000 | PA      | $124687.50    | 0.02%             | 2025-04-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2022-D                                          | SMB PRIVATE EDUCATION LOAN TRUST 2022-D                                          | CUSIP: 78454XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1499712.75   | 0.24%             | 2058-10-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2020-PTB                                        | SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                        | CUSIP: 78449DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    448276 | PA      | $396254.45    | 0.06%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                  | SBA TOWER TRUST                                                                  | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $79029.97     | 0.01%             | 2028-01-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                  | SBA TOWER TRUST                                                                  | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    450000 | PA      | $418687.94    | 0.07%             | 2025-01-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                  | SBA TOWER TRUST                                                                  | CUSIP: 78403DAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $408368.56    | 0.06%             | 2024-10-08      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd                                                      | ROYAL CARIBBEAN CRUISES LTD                                                      | CUSIP: 780153BL5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    550000 | PA      | $559625.00    | 0.09%             | 2027-08-15      | Fixed         | 11.62%                | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd                                                      | ROYAL CARIBBEAN CRUISES LTD                                                      | CUSIP: 780153BJ0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    360000 | PA      | $308700.00    | 0.05%             | 2026-08-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ross Stores Inc                                                                  | ROSS STORES INC                                                                  | CUSIP: 778296AG8<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |    735000 | PA      | $580474.34    | 0.09%             | 2031-04-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc                                                        | ROGERS COMMUNICATIONS INC                                                        | CUSIP: 775109CB5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    230000 | PA      | $215021.25    | 0.03%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC                             | RIVIAN HOLDINGS LLC/RIVIAN LLC/RIVIAN AUTOMOTIVE LLC                             | CUSIP: 76954LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1528000.00   | 0.24%             | 2026-10-15      | Variable      | 10.16%                | No            |                  2 | On Loan: No      |
| T Rowe Price Government Reserve Investment Fund                                  | T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND - Collateral                     | CUSIP: 76105YYY8<br>LEI: 5493007QR86JJLYO6D96 | Long             | STIV             | RF                | US        |   6263832 | NS      | $6263832.25   | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price Government Reserve Investment Fund                                  | T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND                                  | CUSIP: 76105Y109<br>LEI: 5493007QR86JJLYO6D96 | Long             | STIV             | RF                | US        |  48304852 | NS      | $48304851.62  | 7.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Regatta XIX Funding Ltd                                                          | REGATTA XIX FUNDING LTD                                                          | CUSIP: 75888EAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1305000 | PA      | $1249237.35   | 0.20%             | 2035-04-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Radnor RE 2021-2 Ltd                                                             | RADNOR RE 2021-2 LTD                                                             | CUSIP: 75049GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1397813 | PA      | $1362611.20   | 0.22%             | 2031-11-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                      | COMMONWEALTH OF PUERTO RICO                                                      | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |   2278759 | PA      | $1036835.35   | 0.17%             | 2043-11-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                      | COMMONWEALTH OF PUERTO RICO                                                      | CUSIP: 74514L3R6<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     91794 | PA      | $50232.45     | 0.01%             | 2033-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                      | COMMONWEALTH OF PUERTO RICO                                                      | CUSIP: 74514L3Q8<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     23849 | PA      | $21905.87     | 0.00%             | 2024-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                      | COMMONWEALTH OF PUERTO RICO                                                      | CUSIP: 74514L3N5<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     74817 | PA      | $59912.37     | 0.01%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                      | COMMONWEALTH OF PUERTO RICO                                                      | CUSIP: 74514L3M7<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     55029 | PA      | $45847.02     | 0.01%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                      | COMMONWEALTH OF PUERTO RICO                                                      | CUSIP: 74514L3L9<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     64116 | PA      | $54523.49     | 0.01%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                      | COMMONWEALTH OF PUERTO RICO                                                      | CUSIP: 74514L3K1<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     71329 | PA      | $61996.63     | 0.01%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                      | COMMONWEALTH OF PUERTO RICO                                                      | CUSIP: 74514L3H8<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     77444 | PA      | $79254.73     | 0.01%             | 2029-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                      | COMMONWEALTH OF PUERTO RICO                                                      | CUSIP: 74514L3G0<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     78721 | PA      | $80531.69     | 0.01%             | 2027-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Puerto Rico                                                      | COMMONWEALTH OF PUERTO RICO                                                      | CUSIP: 74514L3F2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     79441 | PA      | $80530.09     | 0.01%             | 2025-07-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2022-SFR7 Trust                                             | PROGRESS RESIDENTIAL 2022-SFR7 TRUST                                             | CUSIP: 74333CAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1595000 | PA      | $1550676.70   | 0.25%             | 2039-10-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2022-SFR4 Trust                                             | PROGRESS RESIDENTIAL 2022-SFR4 TRUST                                             | CUSIP: 74332XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1225000 | PA      | $1149782.67   | 0.18%             | 2041-05-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Presidio Holdings Inc                                                            | PRESIDIO HOLDINGS INC                                                            | CUSIP: 74101XAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    410000 | PA      | $366950.00    | 0.06%             | 2028-02-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                                                 | PLANET FITNESS MASTER ISSUER LLC                                                 | CUSIP: 72703PAD5<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |    646750 | PA      | $561353.13    | 0.09%             | 2051-12-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Pike Corp                                                                        | PIKE CORP                                                                        | CUSIP: 721283AA7<br>LEI: 549300P4EKEP6HK0NC58 | Long             | DBT              | CORP              | US        |    415000 | PA      | $367275.00    | 0.06%             | 2028-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                                                  | PHILIP MORRIS INTERNATIONAL INC                                                  | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    190000 | PA      | $193215.18    | 0.03%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PetSmart Inc / PetSmart Finance Corp                                             | PETSMART INC / PETSMART FINANCE CORP                                             | CUSIP: 71677KAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $461875.00    | 0.07%             | 2029-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                              | PETROLEOS MEXICANOS                                                              | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   2200000 | PA      | $1342891.00   | 0.21%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Peace Park CLO Ltd                                                               | PEACE PARK CLO LTD                                                               | CUSIP: 70470MAL9<br>LEI: 549300XHXTUZ93V6SK42 | Long             | ABS-CBDO         | CORP              | KY        |   1180000 | PA      | $1101182.18   | 0.18%             | 2034-10-20      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp                                                             | PARKER-HANNIFIN CORP                                                             | CUSIP: 701094AS3<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121033.25    | 0.02%             | 2029-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP / Clarios US Finance Co                                        | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                        | CUSIP: 69867DAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    590000 | PA      | $578200.00    | 0.09%             | 2027-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| Palmer Square CLO 2020-3 Ltd                                                     | PALMER SQUARE CLO 2020-3 LTD                                                     | CUSIP: 69701RAL1<br>LEI: 549300IUW4WDDDVSMS20 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1960625.24   | 0.31%             | 2031-11-15      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO 2021-3 Ltd                                                     | PALMER SQUARE CLO 2021-3 LTD                                                     | CUSIP: 69688JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $845392.80    | 0.13%             | 2035-01-15      | Variable      | 10.23%                | No            |                  2 | On Loan: No      |
| PG&E Corp                                                                        | PG&E CORP                                                                        | CUSIP: 69331CAH1<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    305000 | PA      | $278312.50    | 0.04%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Organon & Co / Organon Foreign Debt Co-Issuer BV                                 | ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV                                 | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    385000 | PA      | $337837.50    | 0.05%             | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | ORACLE CORP                                                                      | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    535000 | PA      | $588824.21    | 0.09%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust 2022-2                                                  | OCTANE RECEIVABLES TRUST 2022-2                                                  | CUSIP: 67578XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1142940 | PA      | $1127612.87   | 0.18%             | 2028-02-22      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                        | OCCIDENTAL PETROLEUM CORP                                                        | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    425000 | PA      | $485562.50    | 0.08%             | 2030-07-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                        | OCCIDENTAL PETROLEUM CORP                                                        | CUSIP: 674599DZ5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    240000 | PA      | $261600.00    | 0.04%             | 2027-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                        | OCCIDENTAL PETROLEUM CORP                                                        | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    195000 | PA      | $188175.00    | 0.03%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                        | OCCIDENTAL PETROLEUM CORP                                                        | CUSIP: 674599DH5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    150000 | PA      | $162750.00    | 0.03%             | 2039-06-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp                                                        | OCCIDENTAL PETROLEUM CORP                                                        | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    249000 | PA      | $270165.00    | 0.04%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP3 Trust                                                              | OBX 2020-EXP3 TRUST                                                              | CUSIP: 67448WAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215595 | PA      | $187498.23    | 0.03%             | 2060-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP2 Trust                                                              | OBX 2020-EXP2 TRUST                                                              | CUSIP: 67448VAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57133 | PA      | $48676.73     | 0.01%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2019-EXP1 Trust                                                              | OBX 2019-EXP1 TRUST                                                              | CUSIP: 67448QAC5<br>LEI: 549300ELWOCL265HSB73 | Long             | ABS-MBS          | CORP              | US        |     17175 | PA      | $16159.89     | 0.00%             | 2059-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Oryx Funding Ltd                                                                 | ORYX FUNDING LTD                                                                 | CUSIP: 67114NAA9<br>LEI: 549300S728CF0BBRC295 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $378923.60    | 0.06%             | 2031-02-03      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM1 Trust                                                              | OBX 2021-NQM1 TRUST                                                              | CUSIP: 67114BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    598000 | PA      | $467067.54    | 0.07%             | 2066-02-25      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| OBX 2019-EXP2 Trust                                                              | OBX 2019-EXP2 TRUST                                                              | CUSIP: 67113KAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40838 | PA      | $37001.55     | 0.01%             | 2059-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2019-INV2 Trust                                                              | OBX 2019-INV2 TRUST                                                              | CUSIP: 67112VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106763 | PA      | $100105.13    | 0.02%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2014-7 Ltd                                                               | OCP CLO 2014-7 LTD                                                               | CUSIP: 67107KBB1<br>LEI: 254900NUK1R46EK6YF62 | Long             | ABS-CBDO         | CORP              | KY        |   1095000 | PA      | $1046865.74   | 0.17%             | 2029-07-20      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| NuStar Logistics LP                                                              | NUSTAR LOGISTICS LP                                                              | CUSIP: 67059TAG0<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |    225000 | PA      | $219375.00    | 0.03%             | 2025-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NuStar Logistics LP                                                              | NUSTAR LOGISTICS LP                                                              | CUSIP: 67059TAF2<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |    315000 | PA      | $305550.00    | 0.05%             | 2026-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMSR 2022-SFR3 Trust                                                             | AMSR 2022-SFR3 TRUST                                                             | CUSIP: 66981YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    985000 | PA      | $916316.44    | 0.15%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gen Digital Inc                                                                  | GEN DIGITAL INC                                                                  | CUSIP: 668771AL2<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    167000 | PA      | $168252.50    | 0.03%             | 2030-09-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: —       |
| Gen Digital Inc                                                                  | GEN DIGITAL INC                                                                  | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    225000 | PA      | $225843.75    | 0.04%             | 2027-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Inc                                                               | NEXTERA ENERGY INC                                                               | CUSIP: 65339F713<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      9350 | NS      | $459739.50    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2022-SFR1                                    | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-SFR1                                    | CUSIP: 64831KAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $542163.34    | 0.09%             | 2039-02-17      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| New Enterprise Stone & Lime Co Inc                                               | NEW ENTERPRISE STONE & LIME CO INC                                               | CUSIP: 644274AH5<br>LEI: 549300O5DQ5Y61B8VF38 | Long             | DBT              | CORP              | US        |    440000 | PA      | $396000.00    | 0.06%             | 2028-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers Clo 40 Ltd                                        | NEUBERGER BERMAN LOAN ADVISERS CLO 40 LTD                                        | CUSIP: 64134JAA1<br>LEI: 549300Y2YE54ON4DJE28 | Long             | ABS-CBDO         | CORP              | KY        |   1550000 | PA      | $1518448.90   | 0.24%             | 2033-04-16      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers Clo 43 Ltd                                        | NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD                                        | CUSIP: 64134AAA0<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | KY        |    585000 | PA      | $567837.02    | 0.09%             | 2035-06-18      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 29 Ltd                                        | NEUBERGER BERMAN LOAN ADVISERS CLO 29 LTD                                        | CUSIP: 64130XAA4<br>LEI: 549300BLCSV170UP8R47 | Long             | ABS-CBDO         | CORP              | KY        |   1105000 | PA      | $1082735.15   | 0.17%             | 2031-10-19      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XVII Ltd                                                    | NEUBERGER BERMAN CLO XVII LTD                                                    | CUSIP: 64129UBU8<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $482899.98    | 0.08%             | 2029-04-22      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                                                      | NETFLIX INC                                                                      | CUSIP: 64110LAX4<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    385000 | PA      | $397031.25    | 0.06%             | 2029-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Neptune Bidco US Inc                                                             | NEPTUNE BIDCO US INC                                                             | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |    205000 | PA      | $195006.25    | 0.03%             | 2029-04-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| GPD Cos Inc                                                                      | GPD COS INC                                                                      | CUSIP: 64051NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    497000 | PA      | $425556.25    | 0.07%             | 2026-04-01      | Fixed         | 10.12%                | No            |                  2 | On Loan: No      |
| Navigator Aircraft ABS Ltd                                                       | NAVIGATOR AIRCRAFT ABS LTD                                                       | CUSIP: 63943BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1266905 | PA      | $1048592.10   | 0.17%             | 2046-11-15      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-F                                 | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-F                                 | CUSIP: 63941XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $316534.92    | 0.05%             | 2069-07-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-C                                 | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-C                                 | CUSIP: 63941KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $468711.12    | 0.07%             | 2068-11-15      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2019-G                                 | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-G                                 | CUSIP: 63941JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    281518 | PA      | $257329.09    | 0.04%             | 2068-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-D                                 | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-D                                 | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39895 | PA      | $35717.98     | 0.01%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-B                                 | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-B                                 | CUSIP: 63941GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    975000 | PA      | $767315.25    | 0.12%             | 2069-01-15      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2019-F                                 | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-F                                 | CUSIP: 63935CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124085 | PA      | $114703.65    | 0.02%             | 2068-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-H                                 | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H                                 | CUSIP: 63935BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1340000 | PA      | $1050499.16   | 0.17%             | 2069-01-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                | NATWEST GROUP PLC                                                                | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    355000 | PA      | $369242.60    | 0.06%             | 2026-11-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| NGL Energy Operating LLC / NGL Energy Finance Corp                               | NGL ENERGY OPERATING LLC / NGL ENERGY FINANCE CORP                               | CUSIP: 62922LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    229000 | PA      | $206100.00    | 0.03%             | 2026-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Utah Acquisition Sub Inc                                                         | UTAH ACQUISITION SUB INC                                                         | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    995000 | PA      | $931394.63    | 0.15%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                              | MEDLINE BORROWER LP                                                              | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    390000 | PA      | $317850.00    | 0.05%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24                      | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C24                      | CUSIP: 61765LAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $75334.10     | 0.01%             | 2048-05-15      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2015-MS1                                          | MORGAN STANLEY CAPITAL I TRUST 2015-MS1                                          | CUSIP: 61765DAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35000 | PA      | $32660.22     | 0.01%             | 2048-05-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | MORGAN STANLEY                                                                   | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    260000 | PA      | $246979.20    | 0.04%             | 2033-07-20      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | MORGAN STANLEY                                                                   | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1532913.90   | 0.24%             | 2031-04-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2017-H1                                           | MORGAN STANLEY CAPITAL I TRUST 2017-H1                                           | CUSIP: 61691JAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $140965.40    | 0.02%             | 2050-06-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Montgomery County Industrial Development Authority/PA                            | MONTGOMERY COUNTY INDUSTRIAL DEVELOPMENT AUTHORITY/PA                            | CUSIP: 61360PCU2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    615000 | PA      | $527965.38    | 0.08%             | 2027-11-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Molina Healthcare Inc                                                            | MOLINA HEALTHCARE INC                                                            | CUSIP: 60855RAJ9<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    395000 | PA      | $358462.50    | 0.06%             | 2028-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AthenaHealth Group Inc                                                           | ATHENAHEALTH GROUP INC                                                           | CUSIP: 60337JAA4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | DBT              | CORP              | US        |    475000 | PA      | $355062.50    | 0.06%             | 2030-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd        | MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS INTELLECTUAL PROPERTY ASSETS LTD        | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    223250 | PA      | $222133.75    | 0.04%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Stagwell Global LLC                                                              | STAGWELL GLOBAL LLC                                                              | CUSIP: 59565JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | PA      | $433037.50    | 0.07%             | 2029-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Mexico City Airport Trust                                                        | MEXICO CITY AIRPORT TRUST                                                        | CUSIP: 59284MAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   1050000 | PA      | $787420.38    | 0.13%             | 2047-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| METLIFE SECURITIZATION TRUST 2018-1                                              | METLIFE SECURITIZATION TRUST 2018-1                                              | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168013 | PA      | $157220.82    | 0.03%             | 2057-03-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Methanex Corp                                                                    | METHANEX CORP                                                                    | CUSIP: 59151KAM0<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |    247000 | PA      | $228475.00    | 0.04%             | 2027-10-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Methanex Corp                                                                    | METHANEX CORP                                                                    | CUSIP: 59151KAL2<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |     15000 | PA      | $13200.00     | 0.00%             | 2029-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Mauser Packaging Solutions Holding Co                                            | MAUSER PACKAGING SOLUTIONS HOLDING CO                                            | CUSIP: 57763RAA5<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |    565000 | PA      | $553700.00    | 0.09%             | 2024-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Match Group Holdings II LLC                                                      | MATCH GROUP HOLDINGS II LLC                                                      | CUSIP: 57665RAN6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    270000 | PA      | $241650.00    | 0.04%             | 2028-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| Match Group Holdings II LLC                                                      | MATCH GROUP HOLDINGS II LLC                                                      | CUSIP: 57665RAL0<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    205000 | PA      | $170918.75    | 0.03%             | 2030-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Match Group Holdings II LLC                                                      | MATCH GROUP HOLDINGS II LLC                                                      | CUSIP: 57665RAG1<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |    290000 | PA      | $269700.00    | 0.04%             | 2027-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Maryland Stadium Authority                                                       | MARYLAND STADIUM AUTHORITY                                                       | CUSIP: 574296CF4<br>LEI: 549300VA283TTQRDNF71 | Long             | DBT              | MUN               | US        |    475000 | PA      | $403525.80    | 0.06%             | 2029-05-01      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Maryland Economic Development Corp                                               | MARYLAND ECONOMIC DEVELOPMENT CORP                                               | CUSIP: 57420NDF5<br>LEI: 549300JJ16DDBSZWSN94 | Long             | DBT              | MUN               | US        |    350000 | PA      | $315599.90    | 0.05%             | 2031-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD                                                    | MARRIOTT INTERNATIONAL INC/MD                                                    | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    510000 | PA      | $506560.56    | 0.08%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp               | MAGNOLIA OIL & GAS OPERATING LLC / MAGNOLIA OIL & GAS FINANCE CORP               | CUSIP: 559665AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    560000 | PA      | $543200.00    | 0.09%             | 2026-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Magnetite XXV Ltd                                                                | MAGNETITE XXV LTD                                                                | CUSIP: 55955GAD5<br>LEI: 549300WFCL37N4TDUR08 | Long             | ABS-CBDO         | CORP              | KY        |    305000 | PA      | $291428.08    | 0.05%             | 2032-01-25      | Variable      | 7.66%                 | No            |                  2 | On Loan: No      |
| Magnetite XXV Ltd                                                                | MAGNETITE XXV LTD                                                                | CUSIP: 55955GAB9<br>LEI: 549300WFCL37N4TDUR08 | Long             | ABS-CBDO         | CORP              | KY        |   2665000 | PA      | $2558449.62   | 0.41%             | 2032-01-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings Inc                                                         | WARNERMEDIA HOLDINGS INC                                                         | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1355000 | PA      | $1233203.12   | 0.20%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXIII Ltd                                                   | MADISON PARK FUNDING XXIII LTD                                                   | CUSIP: 55820TAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    890000 | PA      | $873545.64    | 0.14%             | 2031-07-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXV Ltd                                                    | MADISON PARK FUNDING XXXV LTD                                                    | CUSIP: 55819MAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2335788.08   | 0.37%             | 2032-04-20      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXIII Ltd                                                  | MADISON PARK FUNDING XXXIII LTD                                                  | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1145000 | PA      | $1110770.71   | 0.18%             | 2032-10-15      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Madison IAQ LLC                                                                  | MADISON IAQ LLC                                                                  | CUSIP: 55760LAB3<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |    685000 | PA      | $506900.00    | 0.08%             | 2029-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Eleven Madison Trust 2015-11MD Mortgage Trust                                    | ELEVEN MADISON TRUST 2015-11MD MORTGAGE TRUST                                    | CUSIP: 556227AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285000 | PA      | $263587.98    | 0.04%             | 2035-09-10      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| MVW 2020-1 LLC                                                                   | MVW 2020-1 LLC                                                                   | CUSIP: 55400EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146952 | PA      | $136175.69    | 0.02%             | 2037-10-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust 2019-1                                                           | MVW OWNER TRUST 2019-1                                                           | CUSIP: 55389PAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52510 | PA      | $48688.26     | 0.01%             | 2036-11-20      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust 2017-1                                                           | MVW OWNER TRUST 2017-1                                                           | CUSIP: 553896AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23713 | PA      | $22939.20     | 0.00%             | 2034-12-20      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust 2017-1                                                           | MVW OWNER TRUST 2017-1                                                           | CUSIP: 553896AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19760 | PA      | $19156.27     | 0.00%             | 2034-12-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MSCI Inc                                                                         | MSCI INC                                                                         | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    200000 | PA      | $173750.00    | 0.03%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc       | MGM GROWTH PROPERTIES OPERATING PARTNERSHIP LP / MGP FINANCE CO-ISSUER INC       | CUSIP: 55303XAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $174600.00    | 0.03%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MGM China Holdings Ltd                                                           | MGM CHINA HOLDINGS LTD                                                           | CUSIP: 55300RAA9<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |    215000 | PA      | $211083.78    | 0.03%             | 2024-05-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 Ltd                                                                 | MF1 2021-FL7 LTD                                                                 | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $669109.81    | 0.11%             | 2036-10-16      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | LOUISIANA LOCAL GOVERNMENT ENVIRONMENTAL FACILITIES & COMMUNITY DEVELOPMENT AUTH | CUSIP: 54627RAP5<br>LEI: 5493004WIZ1HV87IVF85 | Long             | ABS-O            | CORP              | US        |    955000 | PA      | $884579.54    | 0.14%             | 2039-08-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Live Nation Entertainment Inc                                                    | LIVE NATION ENTERTAINMENT INC                                                    | CUSIP: 538034AR0<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    280000 | PA      | $249200.00    | 0.04%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                                                            | BATH & BODY WORKS INC                                                            | CUSIP: 532716AK3<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    245000 | PA      | $210700.00    | 0.03%             | 2033-03-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Life Time Inc                                                                    | LIFE TIME INC                                                                    | CUSIP: 53190FAA3<br>LEI: 549300PALKE96VYH4X17 | Long             | DBT              | CORP              | US        |    277000 | PA      | $263150.00    | 0.04%             | 2026-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LSEGA Financing PLC                                                              | LSEGA FINANCING PLC                                                              | CUSIP: 50220PAD5<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |    425000 | PA      | $357706.78    | 0.06%             | 2031-04-06      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LSEGA Financing PLC                                                              | LSEGA FINANCING PLC                                                              | CUSIP: 50220PAC7<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |    585000 | PA      | $500533.61    | 0.08%             | 2028-04-06      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                                                            | BATH & BODY WORKS INC                                                            | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    305000 | PA      | $284031.25    | 0.05%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                                                            | BATH & BODY WORKS INC                                                            | CUSIP: 501797AU8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    193000 | PA      | $201685.00    | 0.03%             | 2025-07-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works Inc                                                            | BATH & BODY WORKS INC                                                            | CUSIP: 501797AM6<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    240000 | PA      | $210600.00    | 0.03%             | 2036-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Kobe US Midco 2 Inc                                                              | KOBE US MIDCO 2 INC                                                              | CUSIP: 499894AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    460000 | PA      | $331200.00    | 0.05%             | 2026-11-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Kinetik Holdings LP                                                              | KINETIK HOLDINGS LP                                                              | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    605000 | PA      | $568015.14    | 0.09%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| KKR CLO 36 Ltd                                                                   | KKR CLO 36 LTD                                                                   | CUSIP: 48255AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1630000 | PA      | $1571117.47   | 0.25%             | 2034-10-15      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| KKR CLO 13 Ltd                                                                   | KKR CLO 13 LTD                                                                   | CUSIP: 48250VAW7<br>LEI: 635400ZS4BDP68TETX94 | Long             | ABS-CBDO         | CORP              | KY        |    780000 | PA      | $765258.00    | 0.12%             | 2028-01-16      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2020-INV2                                               | JP MORGAN MORTGAGE TRUST 2020-INV2                                               | CUSIP: 46652KBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294638 | PA      | $248819.12    | 0.04%             | 2050-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2019-INV2                                               | JP MORGAN MORTGAGE TRUST 2019-INV2                                               | CUSIP: 46651DAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39894 | PA      | $36448.92     | 0.01%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMORGAN CHASE & CO                                                              | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1004679.60   | 0.16%             | 2033-09-14      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMORGAN CHASE & CO                                                              | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95333.30     | 0.02%             | 2033-07-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMORGAN CHASE & CO                                                              | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    380000 | PA      | $353240.78    | 0.06%             | 2033-04-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMORGAN CHASE & CO                                                              | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    815000 | PA      | $624999.05    | 0.10%             | 2031-11-19      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMORGAN CHASE & CO                                                              | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    550000 | PA      | $456079.80    | 0.07%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE                 | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-NINE                 | CUSIP: 46646GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015000 | PA      | $862894.33    | 0.14%             | 2038-09-06      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                    | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                    | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $169906.56    | 0.03%             | 2033-07-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding LLC                                                      | JACK IN THE BOX FUNDING LLC                                                      | CUSIP: 466365AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1418400 | PA      | $1234122.89   | 0.20%             | 2052-02-26      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding LLC                                                      | JACK IN THE BOX FUNDING LLC                                                      | CUSIP: 466365AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    974640 | PA      | $862310.79    | 0.14%             | 2049-08-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2019-INV3                                               | JP MORGAN MORTGAGE TRUST 2019-INV3                                               | CUSIP: 46591LBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90028 | PA      | $77119.63     | 0.01%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust 2019-INV3                                               | JP MORGAN MORTGAGE TRUST 2019-INV3                                               | CUSIP: 46591LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103480 | PA      | $93432.41     | 0.01%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD                   | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-BKWD                   | CUSIP: 46591JAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $263753.08    | 0.04%             | 2029-09-15      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc                                                    | INTERCONTINENTAL EXCHANGE INC                                                    | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    700000 | PA      | $687585.50    | 0.11%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Inland Valley Development Agency                                                 | INLAND VALLEY DEVELOPMENT AGENCY                                                 | CUSIP: 45750TAS2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    150000 | PA      | $152173.44    | 0.02%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust 2022-NQM4                                           | IMPERIAL FUND MORTGAGE TRUST 2022-NQM4                                           | CUSIP: 45276NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1454007 | PA      | $1360335.88   | 0.22%             | 2067-06-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust 2021-NQM2                                           | IMPERIAL FUND MORTGAGE TRUST 2021-NQM2                                           | CUSIP: 452761AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $1906631.10   | 0.30%             | 2056-09-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| iHeartCommunications Inc                                                         | IHEARTCOMMUNICATIONS INC                                                         | CUSIP: 45174HBD8<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    489281 | PA      | $433625.29    | 0.07%             | 2027-05-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| ILPT Commercial Mortgage Trust 2022-LPFX                                         | ILPT COMMERCIAL MORTGAGE TRUST 2022-LPFX                                         | CUSIP: 449653AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1595000 | PA      | $1269314.88   | 0.20%             | 2032-03-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                                                            | HUB INTERNATIONAL LTD                                                            | CUSIP: 44332PAG6<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |    510000 | PA      | $447525.00    | 0.07%             | 2029-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                                                            | HUB INTERNATIONAL LTD                                                            | CUSIP: 44332PAD3<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |    517000 | PA      | $511183.75    | 0.08%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Howard University                                                                | HOWARD UNIVERSITY                                                                | CUSIP: 442851BG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    415000 | PA      | $309041.37    | 0.05%             | 2051-10-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Howard Hughes Corp/The                                                           | HOWARD HUGHES CORP/THE                                                           | CUSIP: 44267DAE7<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |    430000 | PA      | $355825.00    | 0.06%             | 2029-02-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Howard Hughes Corp/The                                                           | HOWARD HUGHES CORP/THE                                                           | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |    665000 | PA      | $593512.50    | 0.09%             | 2028-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Home Partners of America 2022-1 Trust                                            | HOME PARTNERS OF AMERICA 2022-1 TRUST                                            | CUSIP: 43730NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2501477 | PA      | $2340328.26   | 0.37%             | 2039-04-17      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc/The                                                               | HOME DEPOT INC/THE                                                               | CUSIP: 437076CG5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    805000 | PA      | $501830.56    | 0.08%             | 2051-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust 2020-A                                              | HILTON GRAND VACATIONS TRUST 2020-A                                              | CUSIP: 43285HAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64526 | PA      | $63349.36     | 0.01%             | 2039-02-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust 2017-A                                              | HILTON GRAND VACATIONS TRUST 2017-A                                              | CUSIP: 43283AAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40417 | PA      | $39319.49     | 0.01%             | 2028-12-26      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust 2017-A                                              | HILTON GRAND VACATIONS TRUST 2017-A                                              | CUSIP: 43283AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20840 | PA      | $20450.45     | 0.00%             | 2028-12-26      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Hilton Domestic Operating Co Inc                                                 | HILTON DOMESTIC OPERATING CO INC                                                 | CUSIP: 432833AL5<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    195000 | PA      | $163556.25    | 0.03%             | 2031-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP / Hilcorp Finance Co                                         | HILCORP ENERGY I LP / HILCORP FINANCE CO                                         | CUSIP: 431318AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    260000 | PA      | $239200.00    | 0.04%             | 2030-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP / Hilcorp Finance Co                                         | HILCORP ENERGY I LP / HILCORP FINANCE CO                                         | CUSIP: 431318AV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $149737.50    | 0.02%             | 2031-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP / Hilcorp Finance Co                                         | HILCORP ENERGY I LP / HILCORP FINANCE CO                                         | CUSIP: 431318AU8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    141000 | PA      | $129367.50    | 0.02%             | 2029-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                                                        | HESS CORP                                                                        | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4785.30      | 0.00%             | 2041-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Hadrian Merger Sub Inc                                                           | HADRIAN MERGER SUB INC                                                           | CUSIP: 42239PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    335000 | PA      | $303175.00    | 0.05%             | 2026-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Healthcare Realty Holdings LP                                                    | HEALTHCARE REALTY HOLDINGS LP                                                    | CUSIP: 42225UAL8<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    120000 | PA      | $93304.68     | 0.01%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| HAT Holdings I LLC / HAT Holdings II LLC                                         | HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                                         | CUSIP: 418751AB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    255000 | PA      | $246075.00    | 0.04%             | 2025-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 2021-16 Ltd                                                  | HPS LOAN MANAGEMENT 2021-16 LTD                                                  | CUSIP: 40440XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1575000 | PA      | $1521834.74   | 0.24%             | 2035-01-23      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 11-2017 Ltd                                                  | HPS LOAN MANAGEMENT 11-2017 LTD                                                  | CUSIP: 40436VAJ0<br>LEI: 549300Z5U2GIJ32SH058 | Long             | ABS-CBDO         | CORP              | KY        |   1830000 | PA      | $1715564.35   | 0.27%             | 2030-05-06      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 11-2017 Ltd                                                  | HPS LOAN MANAGEMENT 11-2017 LTD                                                  | CUSIP: 40436VAG6<br>LEI: 549300Z5U2GIJ32SH058 | Long             | ABS-CBDO         | CORP              | KY        |    415000 | PA      | $399092.36    | 0.06%             | 2030-05-06      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                          | HCA INC                                                                          | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    925000 | PA      | $915102.50    | 0.15%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                          | HCA INC                                                                          | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    280000 | PA      | $254373.28    | 0.04%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                          | HCA INC                                                                          | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    740000 | PA      | $632700.00    | 0.10%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                          | HCA INC                                                                          | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    710000 | PA      | $712556.00    | 0.11%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                                                  | CAD/USD FWD 20230120 SBOSGB2X                                                    | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | CA        |         1 | NC      | $-42715.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC Series 2021-2                       | GREATAMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2021-2                       | CUSIP: 39154TBQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1685000 | PA      | $1566111.79   | 0.25%             | 2025-07-15      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust 2019-WOLF                                                       | GREAT WOLF TRUST 2019-WOLF                                                       | CUSIP: 39152TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    895000 | PA      | $849970.76    | 0.14%             | 2036-12-15      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust 2019-WOLF                                                       | GREAT WOLF TRUST 2019-WOLF                                                       | CUSIP: 39152TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $289432.08    | 0.05%             | 2036-12-15      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Great Lakes Water Authority Sewage Disposal System Revenue                       | GREAT LAKES WATER AUTHORITY SEWAGE DISPOSAL SYSTEM REVENUE                       | CUSIP: 39081HCZ3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    450000 | PA      | $336509.91    | 0.05%             | 2036-07-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Aris Mining Corp                                                                 | ARIS MINING CORP                                                                 | CUSIP: 38501DAR6<br>LEI: 5493001GJ5TILX6L1F82 | Long             | DBT              | CORP              | CA        |    600000 | PA      | $448116.00    | 0.07%             | 2026-08-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                         | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    460000 | PA      | $394416.19    | 0.06%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                         | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18349 | PA      | $16985.76     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                         | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14414 | PA      | $13150.37     | 0.00%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                         | CUSIP: 38380AVG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159242 | PA      | $11419.13     | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                         | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98389 | PA      | $15780.48     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                         | CUSIP: 38378FK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22133 | PA      | $3358.67      | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                         | CUSIP: 38375GQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8227 | PA      | $57.40        | 0.00%             | 2037-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co/The                                                    | GOODYEAR TIRE & RUBBER CO/THE                                                    | CUSIP: 382550BR1<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |    240000 | PA      | $204000.00    | 0.03%             | 2031-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Goodyear Tire & Rubber Co/The                                                    | GOODYEAR TIRE & RUBBER CO/THE                                                    | CUSIP: 382550BN0<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |    370000 | PA      | $318200.00    | 0.05%             | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                      | GOLDMAN SACHS GROUP INC/THE                                                      | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1529736.50   | 0.24%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                      | GOLDMAN SACHS GROUP INC/THE                                                      | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1130000 | PA      | $938277.42    | 0.15%             | 2033-02-24      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Enact Holdings Inc                                                               | ENACT HOLDINGS INC                                                               | CUSIP: 37255LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $223387.50    | 0.04%             | 2025-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                                                | GENERAL MOTORS CO                                                                | CUSIP: 37045VAY6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    590000 | PA      | $570971.91    | 0.09%             | 2029-10-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2019-H1                                            | GALTON FUNDING MORTGAGE TRUST 2019-H1                                            | CUSIP: 36418XAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $340872.59    | 0.05%             | 2059-10-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2020-H1                                            | GALTON FUNDING MORTGAGE TRUST 2020-H1                                            | CUSIP: 36418HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735000 | PA      | $566169.91    | 0.09%             | 2060-01-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                                             | GALTON FUNDING MORTGAGE TRUST 2017-1                                             | CUSIP: 36417JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51660 | PA      | $45922.68     | 0.01%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                                             | GALTON FUNDING MORTGAGE TRUST 2017-1                                             | CUSIP: 36416UBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    927225 | PA      | $828154.67    | 0.13%             | 2056-07-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36297FYY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6992 | PA      | $7167.70      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2021-ROSS                                      | GS MORTGAGE SECURITIES CORP TRUST 2021-ROSS                                      | CUSIP: 36264YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710000 | PA      | $626859.99    | 0.10%             | 2026-05-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2017-GS8                                            | GS MORTGAGE SECURITIES TRUST 2017-GS8                                            | CUSIP: 36254KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1025000 | PA      | $759695.46    | 0.12%             | 2050-11-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2016-GS4                                            | GS MORTGAGE SECURITIES TRUST 2016-GS4                                            | CUSIP: 36251XAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1299963 | PA      | $1197272.81   | 0.19%             | 2049-11-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77357 | PA      | $73511.79     | 0.01%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36241LF68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22412 | PA      | $23147.18     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36241LF50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22412 | PA      | $23147.18     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3622AAE42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76028 | PA      | $71897.23     | 0.01%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3622A3BS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112373 | PA      | $108076.31    | 0.02%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3622A2TA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61133 | PA      | $57641.02     | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 3622A2QW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17712 | PA      | $18292.82     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 3622A2QJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20561 | PA      | $20651.03     | 0.00%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 3622A2MV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39744 | PA      | $41055.28     | 0.01%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57191 | PA      | $54080.92     | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3622A26L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100821 | PA      | $95166.17     | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3622A26K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    463823 | PA      | $436648.50    | 0.07%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10118 | PA      | $10415.73     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36209CK88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1086 | PA      | $1122.02      | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76830 | PA      | $79073.06     | 0.01%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23628 | PA      | $24312.99     | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3384 | PA      | $3416.14      | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41662 | PA      | $41606.68     | 0.01%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4107 | PA      | $4003.48      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19396 | PA      | $19964.24     | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4804 | PA      | $4850.42      | 0.00%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19968 | PA      | $20159.81     | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13104 | PA      | $13229.20     | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11406 | PA      | $11739.73     | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39305 | PA      | $39683.10     | 0.01%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15553 | PA      | $16007.79     | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16914 | PA      | $17076.09     | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2844 | PA      | $2927.13      | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FFT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13466 | PA      | $13595.11     | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3075 | PA      | $3104.55      | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8768 | PA      | $9022.89      | 0.00%             | 2035-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202EFP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47137 | PA      | $49354.24     | 0.01%             | 2035-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202EDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16292 | PA      | $16767.17     | 0.00%             | 2035-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4264 | PA      | $4386.68      | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202DUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       219 | PA      | $226.12       | 0.00%             | 2032-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36195KHC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11762 | PA      | $10712.86     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36195KHB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18216 | PA      | $16560.20     | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36194PGZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22780 | PA      | $20722.37     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36194MJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23005 | PA      | $20924.63     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36194MH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22660 | PA      | $20603.99     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36194CTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49413 | PA      | $44929.69     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36194CT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18690 | PA      | $16994.53     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36194BZF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38913 | PA      | $35318.18     | 0.01%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36194BZE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52241 | PA      | $47461.12     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36193VJD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21547 | PA      | $19562.51     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36193VJC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32411 | PA      | $29463.83     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36193VJB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16227 | PA      | $14778.87     | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36193VGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16571 | PA      | $15090.76     | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36193VG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10090 | PA      | $9185.58      | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36192STM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10390 | PA      | $9814.33      | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36189VHH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31548 | PA      | $29778.99     | 0.00%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28642 | PA      | $27088.88     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GMF Floorplan Owner Revolving Trust                                              | GMF FLOORPLAN OWNER REVOLVING TRUST                                              | CUSIP: 361886CK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    765000 | PA      | $736679.55    | 0.12%             | 2025-08-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36185BPB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13257 | PA      | $12535.23     | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36184Y5N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36606 | PA      | $34613.55     | 0.01%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36184SPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4977 | PA      | $4707.41      | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36184Q2S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12735 | PA      | $12042.09     | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36184BAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16274 | PA      | $15389.01     | 0.00%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36183W6J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145827 | PA      | $137897.06    | 0.02%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36183EZE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21428 | PA      | $20273.90     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36181KC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59104 | PA      | $55781.49     | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36181BV56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11450 | PA      | $10880.26     | 0.00%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36180CYU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5785 | PA      | $5468.46      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3617G9FT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16034 | PA      | $16148.01     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3617G85D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4740 | PA      | $4753.95      | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3617A9KW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19052 | PA      | $17971.97     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3617A1GL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29928 | PA      | $28299.55     | 0.00%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    574179 | PA      | $489282.63    | 0.08%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3340594 | PA      | $2941222.52   | 0.47%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1036046 | PA      | $912960.97    | 0.15%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1522330 | PA      | $1375716.14   | 0.22%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4466099 | PA      | $3933746.32   | 0.63%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    451027 | PA      | $397596.60    | 0.06%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4969621 | PA      | $4512881.51   | 0.72%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1007999 | PA      | $861214.02    | 0.14%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1736073 | PA      | $1668510.03   | 0.27%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    546707 | PA      | $483166.50    | 0.08%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487866 | PA      | $434810.97    | 0.07%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11864 | PA      | $10633.94     | 0.00%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15300 | PA      | $15378.89     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49432 | PA      | $50862.72     | 0.01%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31542 | PA      | $32285.89     | 0.01%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186656 | PA      | $191753.05    | 0.03%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46266 | PA      | $47555.06     | 0.01%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9562 | PA      | $9830.64      | 0.00%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       388 | PA      | $400.03       | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211506 | PA      | $188896.63    | 0.03%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183342 | PA      | $184503.88    | 0.03%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119300 | PA      | $123075.13    | 0.02%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56988 | PA      | $57525.25     | 0.01%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35094 | PA      | $36356.37     | 0.01%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45391 | PA      | $46946.05     | 0.01%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TNU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112224 | PA      | $113890.50    | 0.02%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112315 | PA      | $114042.95    | 0.02%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27786 | PA      | $28313.34     | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99560 | PA      | $101079.87    | 0.02%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6542 | PA      | $6642.95      | 0.00%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236743 | PA      | $235535.64    | 0.04%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56956 | PA      | $56689.98     | 0.01%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-11-30

**Name of Applicant:** T. ROWE PRICE TOTAL RETURN FUND, INC.

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President