# EDGAR Filing Document

**Accession Number:** 0000917469
**File Stem:** 0001410368-26-056155
**Filing Date:** 2026-5
**Character Count:** 284313
**Document Hash:** 146a3fac964b54d4fc9e1bca69364131
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-056155.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001410368-26-056155

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LOOMIS SAYLES FUNDS I
- **CENTRAL INDEX KEY:** 0000917469

**ORGANIZATION NAME:**
- **EIN:** 043219179
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08282
- **FILM NUMBER:** 261041147

**BUSINESS ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 617-449-2810

**MAIL ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES FUNDS II
- **DATE OF NAME CHANGE:** 20031119

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES INVESTMENT TRUST
- **DATE OF NAME CHANGE:** 20031015

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES FUNDS I
- **DATE OF NAME CHANGE:** 20030718

## Series and Classes Contracts Data

### Loomis Sayles Securitized Asset Fund (Series ID: S000006639)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000018125 | Institutional Class | LSSAX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LOOMIS SAYLES FUNDS I

- **b. Investment Company Act file number:** 811-08282

- **c. CIK number of Registrant:** 0000917469

- **d. LEI of Registrant:** 549300826G7KS737WZ11

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

  - **Street Address 1:** 888 BOYLSTON STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199-8197

  - **Telephone number:** 617-449-2139

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

- **a. Name of Series:** Loomis Sayles Securitized Asset Fund

- **b. EDGAR series identifier (if any):** S000006639

- **c. LEI of Series:** 549300LK4FBVP0RT7L56

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2283915206.99

**Total Liabilities:** $674744381.54

**Net Assets:** $1609170825.45

**Delayed Delivery Securities:** $674744381.11

**Cash Not Reported:** $23003823.35

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1991.40000000 | **1-Year:** -36800.72000000 | **5-Year:** -71584.85000000 | **10-Year:** -9289.44000000 | **30-Year:** -574.08000000

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

- **3-Month:** -436.83000000 | **1-Year:** -7610.24000000 | **5-Year:** -12525.00000000 | **10-Year:** -20137.87000000 | **30-Year:** -3749.56000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000018125 | 0.51%                | 1.60%                | -1.53%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-163091.68              | $2561734.59                                |
| Month 2  | $-152469.24              | $21086743.57                               |
| Month 3  | $-2126023.28             | $-30514220.59                              |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                   | Title                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Apollo Aviation Securitization Equity Trust            | AASET 2024-2 Ltd                                                   | CUSIP: 00038QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2945071 | PA      | $2966764.47   | 0.18%             | 2049-09-16      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                                         | ACHV ABS TRUST 2024-1PL                                            | CUSIP: 00092BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147175 | PA      | $148386.41    | 0.01%             | 2031-04-25      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Altde Trust                                            | ALTDE 2025-1 Trust                                                 | CUSIP: 00166NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1198757 | PA      | $1205903.75   | 0.07%             | 2050-08-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets LLC                                 | Accelerated Assets 2018-1 LLC                                      | CUSIP: 00436MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    381050 | PA      | $377502.85    | 0.02%             | 2033-12-02      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                    | Affirm Master Trust Series 2025-3                                  | CUSIP: 00833BAP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $318015.49    | 0.02%             | 2034-10-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                    | Affirm Master Trust                                                | CUSIP: 00833KAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8545000 | PA      | $8450056.51   | 0.53%             | 2035-04-16      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                             | Affirm Asset Securitization Trust 2025-X2                          | CUSIP: 00835DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    317000 | PA      | $316999.68    | 0.02%             | 2030-10-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                               | Ajax Mortgage Loan Trust 2019-D                                    | CUSIP: 00968FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1043587 | PA      | $1006209.39   | 0.06%             | 2065-09-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Alinea CLO LTD                                         | Alinea CLO 2018-1 Ltd                                              | CUSIP: 016269AG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2544755 | PA      | $2544332.72   | 0.16%             | 2031-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F022642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    636000 | PA      | $534637.50    | 0.03%             | 2056-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  48870000 | PA      | $47159827.09  | 2.93%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  61130000 | PA      | $58935874.97  | 3.66%             | 2056-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  60000000 | PA      | $59167598.40  | 3.68%             | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 110000000 | PA      | $110356259.20 | 6.86%             | 2056-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust               | AmeriCredit Automobile Receivables Trust 2024-1                    | CUSIP: 023947AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    717632 | PA      | $721748.04    | 0.04%             | 2029-01-18      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust 2022-4                | CUSIP: 02529XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    939517 | PA      | $946517.07    | 0.06%             | 2029-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER TRUST I                                 | American Tower Trust #1                                            | CUSIP: 03027WAM4<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | DBT              |  | US        |   3725000 | PA      | $3766316.58   | 0.23%             | 2028-03-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust               | AmeriCredit Automobile Receivables Trust 2023-2                    | CUSIP: 03065UAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3100000 | PA      | $3139518.80   | 0.20%             | 2029-07-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust               | AmeriCredit Automobile Receivables Trust 2026-1                    | CUSIP: 03066CAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2410000 | PA      | $2399234.53   | 0.15%             | 2032-11-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Applebees/IHOP Funding LLC                             | Applebee's Funding LLC / IHOP Funding LLC                          | CUSIP: 03789XAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3996000 | PA      | $3996888.31   | 0.25%             | 2055-06-07      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust 2024-A                                          | CUSIP: 03837DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1289154 | PA      | $1291942.88   | 0.08%             | 2050-04-18      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust 2021-A                                          | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2840074 | PA      | $2606628.56   | 0.16%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Arixa Mortgage Trust                                   | Arixa Mortgage Trust 2025-RTL1                                     | CUSIP: 04046BAA1<br>LEI: 254900Q4SU6C9E56ZJ68 | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $701797.95    | 0.04%             | 2030-08-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025-1                        | AutoNation Finance Trust 2025-1                                    | CUSIP: 05330QAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040000 | PA      | $1048233.47   | 0.07%             | 2030-06-10      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                              | Auxilior Term Funding 2023-1 LLC                                   | CUSIP: 05335JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54485 | PA      | $54602.47     | 0.00%             | 2028-12-15      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust                         | Avant Credit Card Master Trust 2025-1                              | CUSIP: 05351KAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    905000 | PA      | $898127.52    | 0.06%             | 2031-04-15      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Avant Loans Funding Trust                              | Avant Loans Funding Trust 2026-REV1                                | CUSIP: 05359NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $991803.50    | 0.06%             | 2036-05-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3215000 | PA      | $3285627.44   | 0.20%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RKL7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    495000 | PA      | $498429.36    | 0.03%             | 2029-08-20      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust          | BHG Securitization Trust 2025-2CON                                 | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    914719 | PA      | $916281.22    | 0.06%             | 2036-09-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust          | BHG Securitization Trust 2022-A                                    | CUSIP: 054977AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495000 | PA      | $490162.96    | 0.03%             | 2035-02-20      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| BCC Middle Market CLO                                  | BCC Middle Market CLO 2019-1 LLC                                   | CUSIP: 05550GAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3245000 | PA      | $3228382.36   | 0.20%             | 2036-07-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                             | BFLD Commercial Mortgage Trust 2025-660F                           | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3210000 | PA      | $3205995.85   | 0.20%             | 2042-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust 2025-DELC                                                 | CUSIP: 05594MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1895000 | PA      | $1896594.07   | 0.12%             | 2042-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 Mortgage Trust                             | BMO 2022-C1 Mortgage Trust                                         | CUSIP: 05609MCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4970000 | PA      | $4588586.79   | 0.29%             | 2055-02-15      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Commercial Mortgage Trust 2022-AHP                              | CUSIP: 05610FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2725448 | PA      | $2724595.80   | 0.17%             | 2039-01-17      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust 2024-VLT4                                                 | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    720000 | PA      | $715500.00    | 0.04%             | 2041-06-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Commercial Mortgage Trust 2024-VLT5                             | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1485000 | PA      | $1483910.16   | 0.09%             | 2046-11-13      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust              | Bank of America Merrill Lynch Commercial Mortgage Trust 2016-UBS10 | CUSIP: 06054MAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412592 | PA      | $411762.50    | 0.03%             | 2049-07-15      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2022-BNK39                                                    | CUSIP: 06539VAJ7<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |   5300000 | PA      | $4788190.66   | 0.30%             | 2055-02-15      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2020-BNK25                                                    | CUSIP: 06539WBB1<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |   1770000 | PA      | $1637118.67   | 0.10%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2019-BNK20                                                    | CUSIP: 06540AAD3<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |   3720000 | PA      | $3514061.17   | 0.22%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2020-BNK26                                                    | CUSIP: 06540JBG6<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |   3649000 | PA      | $3336394.55   | 0.21%             | 2063-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2019-BNK22                                                    | CUSIP: 06540XBG5<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |   3525000 | PA      | $3330212.03   | 0.21%             | 2062-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2020-BNK28                                                    | CUSIP: 06540YAQ2<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |    785000 | PA      | $693329.11    | 0.04%             | 2063-03-15      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2021-BNK34                                                    | CUSIP: 06541JAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3615000 | PA      | $3181942.16   | 0.20%             | 2063-06-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2022-BNK42                                                    | CUSIP: 06541MBN3<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |   1830000 | PA      | $1780621.29   | 0.11%             | 2055-06-15      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Bank5                                                  | BANK5 Trust 2024-5YR6                                              | CUSIP: 066043AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2140000 | PA      | $2241292.19   | 0.14%             | 2057-05-15      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| BasePoint MCA Securitization LLC                       | Basepoint Mca Securitization II LLC                                | CUSIP: 06983XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1495000 | PA      | $1492607.55   | 0.09%             | 2031-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2019-B13 Mortgage Trust                                  | CUSIP: 08162DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5185000 | PA      | $4892394.38   | 0.30%             | 2057-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2019-B10 Mortgage Trust                                  | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3330000 | PA      | $3239585.51   | 0.20%             | 2062-03-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust          | BHG Securitization Trust 2025-1CON                                 | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    878864 | PA      | $879893.83    | 0.05%             | 2036-04-17      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust          | BHG Securitization Trust 2025-1CON                                 | CUSIP: 08860AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283248 | PA      | $284720.71    | 0.02%             | 2036-04-17      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust          | BHG Securitization Trust 2023-A                                    | CUSIP: 08860FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1631435 | PA      | $1642112.99   | 0.10%             | 2036-04-17      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust          | BHG Securitization Trust 2024-1CON                                 | CUSIP: 08862HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156141 | PA      | $158042.54    | 0.01%             | 2035-04-17      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Bluepeak ABS Issuer                                    | Bluepeak ABS Issuer LLC                                            | CUSIP: 09631QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2620000 | PA      | $2651383.15   | 0.16%             | 2055-12-20      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC                           | Business Jet Securities 2024-2 LLC                                 | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1895669 | PA      | $1890639.50   | 0.12%             | 2039-09-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust 2025-VLT6                                                 | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4470000 | PA      | $4439268.75   | 0.28%             | 2042-03-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL 2019-C18 Commercial Mortgage Trust                           | CUSIP: 12597DAD7<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |   2405000 | PA      | $2266060.75   | 0.14%             | 2052-12-15      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | Commercial Mortgage Pass Through Certificates                      | CUSIP: 12624NAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1298200 | PA      | $1289345.91   | 0.08%             | 2030-10-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2014-USA OA LLC                                               | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   6160000 | PA      | $5640353.49   | 0.35%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2014-USA OA LLC                                               | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2110000 | PA      | $1794730.34   | 0.11%             | 2037-09-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2014-USA OA LLC                                               | CUSIP: 12649AAL3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   3600000 | PA      | $3028530.96   | 0.19%             | 2037-09-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                  | Countrywide Asset-Backed Certificates                              | CUSIP: 126673TD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7194 | PA      | $6811.49      | 0.00%             | 2035-02-25      | Variable      | 5.12%                 | No            |                  3 | On Loan: No      |
| CALI Mortgage Trust 2019-101C                          | CALI Mortgage Trust 2019-101C                                      | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $490693.19    | 0.03%             | 2039-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                | Carmax Auto Owner Trust 2022-3                                     | CUSIP: 14318MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3030000 | PA      | $3045219.08   | 0.19%             | 2029-01-16      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                | Carmax Auto Owner Trust 2023-3                                     | CUSIP: 14319BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $811154.00    | 0.05%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                | CarMax Auto Owner Trust 2024-2                                     | CUSIP: 14319EAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2325000 | PA      | $2371169.85   | 0.15%             | 2029-11-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trust                        | CarMax Select Receivables Trust 2025-A                             | CUSIP: 14319UAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1680000 | PA      | $1691050.87   | 0.11%             | 2029-09-17      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trust                        | Carmax Select Receivables Trust 2025-B                             | CUSIP: 14320BAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1720000 | PA      | $1722583.44   | 0.11%             | 2031-06-16      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2022-P3                             | CUSIP: 14686MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1604657.60   | 0.10%             | 2028-06-12      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2021-N1                             | CUSIP: 14687DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240026 | PA      | $237901.07    | 0.01%             | 2028-01-10      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2023-P4                             | CUSIP: 14687NAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1605000 | PA      | $1647575.19   | 0.10%             | 2029-09-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2021-P2                             | CUSIP: 14687TAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5410000 | PA      | $5370225.68   | 0.33%             | 2027-06-10      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2024-P1                             | CUSIP: 14688NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    442000 | PA      | $447596.43    | 0.03%             | 2030-03-11      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2025-P2                             | CUSIP: 14688YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1125000 | PA      | $1137077.89   | 0.07%             | 2031-06-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2025-P1                             | CUSIP: 14689MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4965000 | PA      | $4973435.54   | 0.31%             | 2030-05-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust               | Castlelake Aircraft Structured Trust 2019-1                        | CUSIP: 14855MAA6<br>LEI: 549300MHTIBONNXM3R82 | Long             | ABS-O            | CORP              | US        |    591695 | PA      | $585799.34    | 0.04%             | 2039-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Cerberus                                               | Cerberus Loan Funding XLVII LLC                                    | CUSIP: 156945AA5<br>LEI: 635400CIDEC6DQX2EU90 | Long             | ABS-CBDO         | CORP              | US        |   3300000 | PA      | $3300792.00   | 0.21%             | 2036-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                                 | Chase Auto Owner Trust 2024-1                                      | CUSIP: 16144BAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1266373.88   | 0.08%             | 2029-11-26      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                                 | Chase Auto Owner Trust 2024-2                                      | CUSIP: 16144CAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2855420.68   | 0.18%             | 2029-11-26      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                                 | Chase Auto Owner Trust 2024-4                                      | CUSIP: 16144YAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2241051.34   | 0.14%             | 2030-07-25      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                                 | Chase Auto Owner Trust 2025-1                                      | CUSIP: 16145NAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    970000 | PA      | $973878.16    | 0.06%             | 2030-10-25      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CHI Commercial Mortgage Trust                          | CHI Commercial Mortgage Trust 2025-SFT                             | CUSIP: 16706GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3305000 | PA      | $3349425.15   | 0.21%             | 2042-04-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                      | Citigroup Mortgage Loan Trust 2019-RP1                             | CUSIP: 17327RAC4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1448850 | PA      | $1345002.08   | 0.08%             | 2066-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                        | Citizens Auto Receivables Trust 2023-1                             | CUSIP: 17331KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3025000 | PA      | $3058079.89   | 0.19%             | 2030-10-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                              | College Ave Student Loans 2021-A LLC                               | CUSIP: 19424KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1068936 | PA      | $985212.60    | 0.06%             | 2051-07-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                          | Commonbond Student Loan Trust 2020-A-GS                            | CUSIP: 20267WAA3<br>LEI: 5493005PJR3MYTKJFJ48 | Long             | ABS-O            | CORP              | US        |    412853 | PA      | $370824.72    | 0.02%             | 2050-08-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II, LLC                     | Compass Datacenters Issuer II LLC                                  | CUSIP: 20469AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1765000 | PA      | $1750291.73   | 0.11%             | 2049-08-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III, LLC                    | Compass Datacenters Issuer III LLC                                 | CUSIP: 20469BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1375000 | PA      | $1381774.63   | 0.09%             | 2050-02-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III, LLC                    | Compass Datacenters Issuer III LLC                                 | CUSIP: 20469BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1789000 | PA      | $1771421.46   | 0.11%             | 2050-07-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III, LLC                    | Compass Datacenters Issuer III LLC                                 | CUSIP: 20469BAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1405000 | PA      | $1389774.02   | 0.09%             | 2056-02-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                            | Corevest American Finance 2019-3 Trust                             | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118957 | PA      | $118736.50    | 0.01%             | 2052-10-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                         | CUSIP: 21H050649<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  71787000 | PA      | $71090834.08  | 4.42%             | 2056-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust 2023-3                           | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112177 | PA      | $112404.37    | 0.01%             | 2033-08-15      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust 2025-2                           | CUSIP: 224940AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    820000 | PA      | $821491.74    | 0.05%             | 2036-01-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Credibly Asset Securitization II LLC                   | Credibly Asset Securitization II LLC                               | CUSIP: 22530DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    965000 | PA      | $959257.29    | 0.06%             | 2029-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EquipmentShare                                         | Crockett Partners Equipment Co IIA LLC                             | CUSIP: 22689LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1247576 | PA      | $1262181.08   | 0.08%             | 2031-01-20      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                     | CyrusOne Data Centers Issuer I LLC                                 | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3020000 | PA      | $2935629.05   | 0.18%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                     | CyrusOne Data Centers Issuer I LLC                                 | CUSIP: 23284BAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1525000 | PA      | $1448384.76   | 0.09%             | 2049-05-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CyrusOne Data Centers Issuer I LLC                     | CyrusOne Data Centers Issuer I LLC                                 | CUSIP: 23284BAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    980000 | PA      | $983904.12    | 0.06%             | 2050-02-20      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                    | DT Auto Owner Trust 2023-3                                         | CUSIP: 23345WAC9<br>LEI: 549300XVMF0FUK76JG97 | Long             | ABS-O            | CORP              | US        |   3524343 | PA      | $3550502.39   | 0.22%             | 2029-05-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer II, LLC                                | DataBank Issuer II LLC                                             | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2905000 | PA      | $2817886.02   | 0.18%             | 2055-09-27      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                           | DC Commercial Mortgage Trust 2023-DC                               | CUSIP: 24023AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2520000 | PA      | $2568485.05   | 0.16%             | 2040-09-12      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                   | Diameter Capital CLO 12 Ltd                                        | CUSIP: 25255YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3125000 | PA      | $3123332.50   | 0.19%             | 2038-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust 2025-1                                | CUSIP: 262102AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635000 | PA      | $636833.25    | 0.04%             | 2032-09-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| DROP Mortgage Trust 2021-FILE                          | DROP Mortgage Trust 2021-FILE                                      | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5365000 | PA      | $5338175.00   | 0.33%             | 2043-10-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                | Dryden 53 CLO Ltd                                                  | CUSIP: 26243EAR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3835000 | PA      | $3831510.15   | 0.24%             | 2031-01-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| EDI ABS Issuer LLC                                     | EDI ABS Issuer 1 LLC                                               | CUSIP: 268332AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1565000 | PA      | $1498213.63   | 0.09%             | 2055-07-25      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| EWC Master Issuer LLC                                  | EWC Master Issuer LLC                                              | CUSIP: 26929HAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4740312 | PA      | $4703731.51   | 0.29%             | 2052-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Education Funding Trust                                | Education Funding Trust Trust                                      | CUSIP: 28141PAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    648351 | PA      | $621416.39    | 0.04%             | 2041-07-25      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER                             | Elara HGV Timeshare Issuer 2023-A LLC                              | CUSIP: 28415AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    817663 | PA      | $837650.22    | 0.05%             | 2038-02-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Eldridge CLO Ltd                                       | Eldridge CLO 2025-1 Ltd                                            | CUSIP: 284913AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3020000 | PA      | $3022029.44   | 0.19%             | 2038-10-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                                       | Empower CLO 2025-1 Ltd                                             | CUSIP: 29249DAA9<br>LEI: 213800DM8ZNUIQ1JCN40 | Long             | ABS-CBDO         | CORP              | KY        |   1530000 | PA      | $1530613.07   | 0.10%             | 2038-07-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing 2025-1 LLC                              | CUSIP: 29390HAD1<br>LEI: RKWYUSIDZTWNAX1D9U96 | Long             | ABS-O            | CORP              | US        |    595000 | PA      | $604022.58    | 0.04%             | 2031-09-22      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| EverBright Solar Trust                                 | EverBright Solar Trust 2024-A                                      | CUSIP: 29977FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    685484 | PA      | $578547.83    | 0.04%             | 2054-06-22      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                            | Extended Stay America Trust 2025-ESH                               | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $395000.00    | 0.02%             | 2042-10-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                            | Extended Stay America Trust 2025-ESH                               | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $210262.50    | 0.01%             | 2042-10-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                            | Extended Stay America Trust 2026-ESH2                              | CUSIP: 30227WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1169001 | PA      | $1169001.40   | 0.07%             | 2043-02-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica      | FRESB 2021-SB90 Mortgage Trust                                     | CUSIP: 30322KAJ2<br>LEI: 549300P6Y1UBYR0WQ049 | Long             | ABS-MBS          | USGSE             | US        |  13145509 | PA      | $314539.29    | 0.02%             | 2041-06-25      | Variable      | 0.56%                 | No            |                  3 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica      | FRESB 2021-SB91 Mortgage Trust                                     | CUSIP: 30322XAE5<br>LEI: 549300P6Y1UBYR0WQ049 | Long             | ABS-MBS          | USGSE             | US        |  21442244 | PA      | $547797.88    | 0.03%             | 2041-08-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                               | FHF Issuer Trust 2025-2                                            | CUSIP: 30343DAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2125000 | PA      | $2124691.88   | 0.13%             | 2030-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                                 | CUSIP: 31282YDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103005 | PA      | $11933.72     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3132DPJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6491218 | PA      | $5964595.52   | 0.37%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7020536 | PA      | $5931299.57   | 0.37%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15337661 | PA      | $14536676.37  | 0.90%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3132DWNE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23353965 | PA      | $22549224.73  | 1.40%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3132WVVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4311769 | PA      | $3887263.34   | 0.24%             | 2037-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3133B4CT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5969847 | PA      | $5027028.71   | 0.31%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3133JLMB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6737663 | PA      | $5620641.47   | 0.35%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 3133JLNT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1411437 | PA      | $1177419.12   | 0.07%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136A1VK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282244 | PA      | $255136.26    | 0.02%             | 2040-11-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136A36Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506714 | PA      | $46559.61     | 0.00%             | 2042-03-25      | Floating      | 2.17%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136A4WJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    877828 | PA      | $108158.33    | 0.01%             | 2042-03-25      | Floating      | 2.72%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136A72Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2169774 | PA      | $219840.57    | 0.01%             | 2042-09-25      | Floating      | 2.22%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136ADQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    914925 | PA      | $42796.81     | 0.00%             | 2042-08-25      | Floating      | 2.37%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AFUN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2257121 | PA      | $261754.92    | 0.02%             | 2043-07-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AGRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396352 | PA      | $330855.21    | 0.02%             | 2043-07-25      | Floating      | 2.97%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AGY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1019890 | PA      | $117224.10    | 0.01%             | 2043-11-25      | Floating      | 2.82%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AJN51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557000 | PA      | $33866.07     | 0.00%             | 2044-05-25      | Floating      | 2.27%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AJZC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7958158 | PA      | $751553.14    | 0.05%             | 2044-04-25      | Floating      | 2.27%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AMCR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5640778 | PA      | $599912.00    | 0.04%             | 2045-01-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136APE32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261719 | PA      | $218812.97    | 0.01%             | 2041-05-25      | Floating      | 3.08%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136ARK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4370072 | PA      | $333518.66    | 0.02%             | 2046-04-25      | Floating      | 2.32%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136ASUC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4567458 | PA      | $243208.01    | 0.02%             | 2034-10-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136ATNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5763310 | PA      | $356224.42    | 0.02%             | 2046-09-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136ATNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3616617 | PA      | $210179.64    | 0.01%             | 2046-09-25      | Floating      | 2.32%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AUAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2302111 | PA      | $203350.18    | 0.01%             | 2046-11-25      | Floating      | 2.32%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AUBA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2394359 | PA      | $157669.36    | 0.01%             | 2046-11-25      | Floating      | 2.32%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AUUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2462500 | PA      | $198269.17    | 0.01%             | 2046-12-25      | Floating      | 2.87%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AWBW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3754397 | PA      | $243955.63    | 0.02%             | 2047-04-25      | Floating      | 2.37%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136AXPC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29322182 | PA      | $730943.34    | 0.05%             | 2047-08-25      | Floating      | 0.17%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                    | CUSIP: 3136B56F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22282789 | PA      | $232893.70    | 0.01%             | 2034-08-25      | Variable      | 0.32%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136B9S65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7934877 | PA      | $1425647.44   | 0.09%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136BB2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2143526 | PA      | $407426.89    | 0.03%             | 2040-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                    | CUSIP: 3136BBAL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8448991 | PA      | $88098.31     | 0.01%             | 2028-06-25      | Variable      | 1.96%                 | No            |                  3 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                    | CUSIP: 3136BBGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14694257 | PA      | $469158.25    | 0.03%             | 2032-04-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                    | CUSIP: 3136BBS94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14546523 | PA      | $734906.35    | 0.05%             | 2034-08-25      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136BF2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12746266 | PA      | $682543.43    | 0.04%             | 2059-03-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136BR6T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4600000 | PA      | $4696253.16   | 0.29%             | 2054-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136BTZT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13650897 | PA      | $13620526.28  | 0.85%             | 2051-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 3136BYGK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32204729 | PA      | $31807077.97  | 1.98%             | 2056-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FA2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150506 | PA      | $17723.34     | 0.00%             | 2033-06-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FAA75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138643 | PA      | $14922.79     | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FAB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35406 | PA      | $4608.06      | 0.00%             | 2033-02-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93586 | PA      | $10944.18     | 0.00%             | 2033-11-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87905 | PA      | $14013.80     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198463 | PA      | $32491.97     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87095 | PA      | $15964.63     | 0.00%             | 2036-10-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94677 | PA      | $14378.08     | 0.00%             | 2036-10-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134369 | PA      | $23926.03     | 0.00%             | 2037-06-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FCQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376281 | PA      | $56981.31     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FCUJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154579 | PA      | $23731.13     | 0.00%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FEM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112691 | PA      | $15728.45     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FEN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58260 | PA      | $8325.94      | 0.00%             | 2035-11-25      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FEN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74892 | PA      | $11668.55     | 0.00%             | 2037-03-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FEN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45118 | PA      | $7470.57      | 0.00%             | 2037-03-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FER46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95928 | PA      | $5655.90      | 0.00%             | 2036-09-25      | Variable      | 4.50%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FET44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390319 | PA      | $57223.78     | 0.00%             | 2036-05-25      | Variable      | 5.50%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FEU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145238 | PA      | $24828.30     | 0.00%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FEV41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55383 | PA      | $5656.17      | 0.00%             | 2037-07-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FEY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69828 | PA      | $10989.31     | 0.00%             | 2037-07-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FFPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13968 | PA      | $2351.84      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                          | CUSIP: 3136FFTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10849 | PA      | $2199.08      | 0.00%             | 2038-03-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137A6WD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183907 | PA      | $127729.49    | 0.01%             | 2041-02-15      | Floating      | 1.63%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137AFJS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    661190 | PA      | $56420.21     | 0.00%             | 2041-09-15      | Floating      | 2.11%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137AQB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    920966 | PA      | $961027.11    | 0.06%             | 2040-08-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137ATQQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    474277 | PA      | $18453.00     | 0.00%             | 2032-08-15      | Floating      | 2.36%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137AWM51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3568429 | PA      | $441439.47    | 0.03%             | 2042-11-15      | Floating      | 2.36%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137B8GL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1649253 | PA      | $156128.68    | 0.01%             | 2039-06-15      | Floating      | 2.16%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137BLDL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    870337 | PA      | $159035.16    | 0.01%             | 2044-03-15      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BLME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5246771 | PA      | $50.89        | 0.00%             | 2025-08-25      | Variable      | 0.44%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BPVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13402676 | PA      | $465194.81    | 0.03%             | 2031-01-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BRQL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20445963 | PA      | $25925.07     | 0.00%             | 2026-07-25      | Variable      | 1.16%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BSP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7638423 | PA      | $8175.40      | 0.00%             | 2026-08-25      | Variable      | 0.89%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BSRG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18683600 | PA      | $11158.41     | 0.00%             | 2026-09-25      | Variable      | 0.24%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BTAE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  83414853 | PA      | $17299.41     | 0.00%             | 2026-10-25      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BWFX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20592668 | PA      | $6797.43      | 0.00%             | 2026-12-25      | Variable      | 0.10%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137BXM25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2761939 | PA      | $270435.10    | 0.02%             | 2047-04-15      | Floating      | 2.31%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137F7E68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2182485 | PA      | $408239.67    | 0.03%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137F8R88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109202 | PA      | $19549.49     | 0.00%             | 2044-11-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137F8RE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5623781 | PA      | $842765.78    | 0.05%             | 2042-04-15      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137FCT38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1122607 | PA      | $194016.47    | 0.01%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137FF5G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1166239 | PA      | $253209.39    | 0.02%             | 2043-09-25      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FHQ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 120829454 | PA      | $411545.12    | 0.03%             | 2033-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FKWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21687 | PA      | $21660.02     | 0.00%             | 2028-12-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137FMT69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8548970 | PA      | $896020.09    | 0.06%             | 2047-02-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FNB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9064 | PA      | $9063.27      | 0.00%             | 2029-07-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FPJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3317330 | PA      | $158538.03    | 0.01%             | 2034-08-25      | Variable      | 0.85%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FQK28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20510471 | PA      | $743135.38    | 0.05%             | 2034-10-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FQKQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17737228 | PA      | $352101.71    | 0.02%             | 2029-11-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17045698 | PA      | $817170.76    | 0.05%             | 2030-01-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11240827 | PA      | $559028.82    | 0.03%             | 2030-01-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FTBP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13513632 | PA      | $732749.66    | 0.05%             | 2030-03-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  51382600 | PA      | $5306476.34   | 0.33%             | 2035-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  53572169 | PA      | $4673636.06   | 0.29%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FX3T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14098403 | PA      | $618030.27    | 0.04%             | 2030-08-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137FYQ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13705235 | PA      | $866033.81    | 0.05%             | 2048-12-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H2NZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  94943510 | PA      | $6925037.20   | 0.43%             | 2036-08-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H5XW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 253514032 | PA      | $2059040.97   | 0.13%             | 2055-01-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137H6RQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245879 | PA      | $9018.88      | 0.00%             | 2052-04-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H6ZT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32602117 | PA      | $534055.28    | 0.03%             | 2032-02-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  78956800 | PA      | $1242464.21   | 0.08%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35721374 | PA      | $673737.27    | 0.04%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H7MB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  45810524 | PA      | $867678.80    | 0.05%             | 2032-04-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H7Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19702628 | PA      | $360156.16    | 0.02%             | 2032-05-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H7ZD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  66224643 | PA      | $950389.86    | 0.06%             | 2032-06-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  50636955 | PA      | $1099632.12   | 0.07%             | 2032-06-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  81927688 | PA      | $1391787.57   | 0.09%             | 2032-08-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H9CB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 102841969 | PA      | $2029411.43   | 0.13%             | 2032-09-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H9JL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 100000000 | PA      | $1320140.00   | 0.08%             | 2032-11-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137HCLY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10844075 | PA      | $10950547.99  | 0.68%             | 2050-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137HCYZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9871719 | PA      | $10083867.18  | 0.63%             | 2054-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137HH4F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33968362 | PA      | $33837142.52  | 2.10%             | 2050-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137HH6W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26889232 | PA      | $26828203.82  | 1.67%             | 2051-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137HKSF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9672010 | PA      | $993955.76    | 0.06%             | 2048-10-15      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 3137HPN58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9888504 | PA      | $9732918.77   | 0.60%             | 2046-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31394DDX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435775 | PA      | $415960.05    | 0.03%             | 2035-04-25      | Floating      | 6.81%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31394DR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496220 | PA      | $583297.07    | 0.04%             | 2035-06-25      | Floating      | 10.57%                | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31394GGC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32537 | PA      | $3855.91      | 0.00%             | 2033-07-15      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| FHLMC Structured Pass Through Securities               | Freddie Mac Structured Pass-Through Certificates                   | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1890456 | PA      | $1845066.25   | 0.11%             | 2044-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31395D7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450409 | PA      | $540927.30    | 0.03%             | 2036-06-25      | Floating      | 10.35%                | No            |                  3 | On Loan: No      |
| FHLMC Structured Pass Through Securities               | Freddie Mac Structured Pass-Through Certificates                   | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17306 | PA      | $16394.68     | 0.00%             | 2045-02-25      | Floating      | 5.06%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31396KPJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23931 | PA      | $2192.38      | 0.00%             | 2036-08-25      | Floating      | 3.52%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31396RGA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1641797 | PA      | $179775.96    | 0.01%             | 2036-05-15      | Floating      | 3.41%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31396YE99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136817 | PA      | $180495.38    | 0.01%             | 2036-08-25      | Floating      | 14.12%                | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31397BRJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    497667 | PA      | $42382.71     | 0.00%             | 2036-10-15      | Floating      | 2.83%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31397MA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109762 | PA      | $106465.20    | 0.01%             | 2038-11-25      | Variable      | 3.80%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31397ME86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408023 | PA      | $397612.89    | 0.02%             | 2038-08-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31397NNR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401058 | PA      | $372426.42    | 0.02%             | 2039-03-25      | Variable      | 2.63%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31397RC38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    564835 | PA      | $49372.51     | 0.00%             | 2038-02-15      | Floating      | 2.46%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31397RKT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150758 | PA      | $164353.00    | 0.01%             | 2038-02-15      | Floating      | 7.04%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31397RL61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141433 | PA      | $144232.22    | 0.01%             | 2038-02-15      | Floating      | 7.32%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31397UJQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1797029 | PA      | $139093.76    | 0.01%             | 2041-06-25      | Floating      | 2.07%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31398JLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    618999 | PA      | $580606.46    | 0.04%             | 2048-06-15      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31398QSU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    734852 | PA      | $63607.27     | 0.00%             | 2040-10-15      | Floating      | 2.71%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                  | CUSIP: 31398TKX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43598 | PA      | $40074.90     | 0.00%             | 2039-12-25      | Variable      | 1.91%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                 | CUSIP: 31398WB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135623 | PA      | $138866.22    | 0.01%             | 2036-12-15      | Floating      | 4.77%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FX2Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11324065 | PA      | $9311439.02   | 0.58%             | 2063-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FX2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12962387 | PA      | $11167757.29  | 0.69%             | 2063-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FX3B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14318095 | PA      | $12940702.04  | 0.80%             | 2063-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FX3M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  57321015 | PA      | $47133625.41  | 2.93%             | 2062-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FX4Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16035567 | PA      | $13815408.39  | 0.86%             | 2064-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FX4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22996698 | PA      | $20791574.10  | 1.29%             | 2064-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FXUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8280592 | PA      | $6808990.71   | 0.42%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  93184365 | PA      | $76691477.51  | 4.77%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FXVL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18784937 | PA      | $15446504.19  | 0.96%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FXWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37530074 | PA      | $30860397.28  | 1.92%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FXXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  72438724 | PA      | $59617649.75  | 3.70%             | 2062-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FXXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31660287 | PA      | $28526201.62  | 1.77%             | 2062-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2840083 | PA      | $2446889.05   | 0.15%             | 2063-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140JVVH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1696694 | PA      | $1508267.63   | 0.09%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140KQ5D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3562465 | PA      | $3020998.61   | 0.19%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140KQTT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    933613 | PA      | $736213.03    | 0.05%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140KVD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286942 | PA      | $226272.21    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140MGSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4916831 | PA      | $4152608.14   | 0.26%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140QM5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11725807 | PA      | $9868757.48   | 0.61%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140QNBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  73311378 | PA      | $61733311.79  | 3.84%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140QNF80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29945592 | PA      | $26544470.48  | 1.65%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140QNGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28703667 | PA      | $25400979.52  | 1.58%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140QPKJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24987333 | PA      | $22000735.89  | 1.37%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140XGZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8191290 | PA      | $6916615.42   | 0.43%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140XLGY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5383479 | PA      | $4544005.36   | 0.28%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140XRFH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1816047 | PA      | $1532869.52   | 0.10%             | 2053-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 3140Y6YM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28196437 | PA      | $28413392.05  | 1.77%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 31417A6P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440363 | PA      | $417919.01    | 0.03%             | 2052-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 31418CP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1438997 | PA      | $1292627.62   | 0.08%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 31418FDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7968353 | PA      | $8009766.44   | 0.50%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                    | CUSIP: 31418FQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8602563 | PA      | $8893648.41   | 0.55%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 31427N4D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16472369 | PA      | $16825304.28  | 1.05%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 31427N7A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7733911 | PA      | $7885620.34   | 0.49%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                   | CUSIP: 31427NNM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15687924 | PA      | $16218756.09  | 1.01%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                       | First Investors Auto Owner Trust 2025-1                            | CUSIP: 32059WAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    935000 | PA      | $935885.73    | 0.06%             | 2031-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                         | FirstKey Homes 2021-SFR2 Trust                                     | CUSIP: 33767TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5430000 | PA      | $5357044.69   | 0.33%             | 2038-09-17      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                         | FirstKey Homes 2021-SFR1 Trust                                     | CUSIP: 33767WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3730000 | PA      | $3687992.37   | 0.23%             | 2038-08-17      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                         | FirstKey Homes 2021-SFR1 Trust                                     | CUSIP: 33767WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2495000 | PA      | $2465891.83   | 0.15%             | 2038-08-17      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust 2023-2                                  | CUSIP: 33843EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3594265 | PA      | $3596474.59   | 0.22%             | 2028-05-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust 2024-1                                  | CUSIP: 33843VAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1235000 | PA      | $1237996.85   | 0.08%             | 2028-10-16      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust 2024-3                                  | CUSIP: 33843YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    791293 | PA      | $791836.41    | 0.05%             | 2028-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust 2022-1                                  | CUSIP: 33845VAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    878748 | PA      | $876902.42    | 0.05%             | 2028-03-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust               | Ford Credit Floorplan Master Owner Trust A                         | CUSIP: 34528QHY3<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $330428.47    | 0.02%             | 2028-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit               | Ford Credit Auto Owner Trust 2023-REV2                             | CUSIP: 34535CAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    920000 | PA      | $949781.32    | 0.06%             | 2036-02-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust 2024-1                                    | CUSIP: 349941AB0<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |    479083 | PA      | $489745.73    | 0.03%             | 2049-12-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust 2023-2                                    | CUSIP: 35042RAB2<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |   2356022 | PA      | $2444813.87   | 0.15%             | 2049-06-15      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust         | Foursight Capital Automobile Receivables Trust 2023-2              | CUSIP: 35104AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1762507.95   | 0.11%             | 2028-11-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust         | Foursight Capital Automobile Receivables Trust 2024-1              | CUSIP: 35105AAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $131621.07    | 0.01%             | 2029-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust         | Foursight Capital Automobile Receivables Trust 2023-1              | CUSIP: 35105NAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1520000 | PA      | $1546879.68   | 0.10%             | 2030-02-15      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica      | FRESB 2022-SB95 Mortgage Trust                                     | CUSIP: 35802DAD9<br>LEI: 549300P6Y1UBYR0WQ049 | Long             | ABS-MBS          | USGSE             | US        |  79444068 | PA      | $1205889.46   | 0.07%             | 2041-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GECU Auto Receivables Trust                            | GECU Auto Receivables Trust 2023-1                                 | CUSIP: 36169EAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2440000 | PA      | $2472849.96   | 0.15%             | 2029-10-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| GGAM Master Trust US LLC                               | GGAM Master Trust International Ltd                                | CUSIP: 36173XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1832612 | PA      | $1826009.56   | 0.11%             | 2060-09-30      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Corp Trust 2012-BWTR                        | CUSIP: 36192RAA0<br>LEI: 5493001UQE7OCP3UT106 | Long             | ABS-MBS          | CORP              | US        |   3481794 | PA      | $3044139.35   | 0.19%             | 2034-11-05      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Corp Trust 2013-PEMB                        | CUSIP: 36197VAA6<br>LEI: 549300E4QCAQ0FY44H36 | Long             | ABS-MBS          | CORP              | US        |   5775000 | PA      | $4476202.50   | 0.28%             | 2033-03-05      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                 | CUSIP: 3620ACDL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         8 | PA      | $8.21         | 0.00%             | 2059-11-20      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2014-GC22                             | CUSIP: 36253BAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1895424.80   | 0.12%             | 2047-06-10      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2014-GC22                             | CUSIP: 36253BBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2373000 | PA      | $1344089.74   | 0.08%             | 2047-06-10      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2020-GC45                             | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2555000 | PA      | $2411219.67   | 0.15%             | 2053-02-13      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2019-GSA1                             | CUSIP: 36261PAT9<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4739880.50   | 0.29%             | 2052-11-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust 2025-1                           | CUSIP: 36271FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180000 | PA      | $181527.57    | 0.01%             | 2031-02-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                             | GLS Auto Receivables Issuer Trust 2025-1                           | CUSIP: 36271KAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4070000 | PA      | $4097495.29   | 0.25%             | 2029-07-16      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Issuer Trust 2025-4                    | CUSIP: 36273DAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1110000 | PA      | $1110002.66   | 0.07%             | 2031-12-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                             | GLS Auto Receivables Issuer Trust 2025-4                           | CUSIP: 36273HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425000 | PA      | $425323.43    | 0.03%             | 2029-07-16      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr      | GM Financial Consumer Automobile Receivables Trust 2025-1          | CUSIP: 362955AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490000 | PA      | $495565.67    | 0.03%             | 2030-08-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Garnet CLO Ltd                                         | Garnet CLO 2 Ltd                                                   | CUSIP: 36626CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3290000 | PA      | $3287256.14   | 0.20%             | 2038-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Global SC Finance SRL                                  | Global SC Finance X Ltd                                            | CUSIP: 37893FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2358826 | PA      | $2346836.18   | 0.15%             | 2045-09-20      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                             | GLS Auto Receivables Issuer Trust 2024-3                           | CUSIP: 37989AAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    651000 | PA      | $654894.28    | 0.04%             | 2031-02-18      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust 2024-3                           | CUSIP: 37989EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1780000 | PA      | $1811882.11   | 0.11%             | 2030-08-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr      | GM Financial Consumer Automobile Receivables Trust 2024-2          | CUSIP: 379931AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    782180 | PA      | $785471.67    | 0.05%             | 2029-03-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd                         | Golub Capital Partners Clo 85M                                     | CUSIP: 38190JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3185000 | PA      | $3174155.08   | 0.20%             | 2040-02-09      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38373M8V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3516622 | PA      | $405.92       | 0.00%             | 2049-10-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38373MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2435721 | PA      | $22996.86     | 0.00%             | 2046-04-16      | Variable      | 0.48%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38373MWF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1188108 | PA      | $20953.43     | 0.00%             | 2046-08-16      | Variable      | 0.94%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375B2R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    542391 | PA      | $19939.91     | 0.00%             | 2063-06-20      | Variable      | 1.32%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375B4X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1067657 | PA      | $24396.27     | 0.00%             | 2063-07-20      | Variable      | 1.48%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375B6D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22140 | PA      | $21504.43     | 0.00%             | 2063-08-20      | Floating      | 4.38%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375B7G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153791 | PA      | $14235.56     | 0.00%             | 2063-07-20      | Variable      | 1.96%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375B7Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114045 | PA      | $1896.54      | 0.00%             | 2063-08-20      | Variable      | 1.37%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22979 | PA      | $22805.92     | 0.00%             | 2060-02-20      | Floating      | 4.47%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BF31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70183 | PA      | $67893.13     | 0.00%             | 2063-01-20      | Floating      | 4.10%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BGP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20141 | PA      | $19879.04     | 0.00%             | 2060-10-20      | Floating      | 4.13%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BHR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13671 | PA      | $13088.85     | 0.00%             | 2059-05-20      | Floating      | 4.13%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BKE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25308 | PA      | $25050.63     | 0.00%             | 2060-12-20      | Floating      | 4.28%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BLN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7208 | PA      | $7134.60      | 0.00%             | 2061-03-20      | Floating      | 4.28%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8620 | PA      | $8373.71      | 0.00%             | 2061-10-20      | Floating      | 4.38%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19808 | PA      | $19276.00     | 0.00%             | 2061-10-20      | Floating      | 4.20%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BSF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4232 | PA      | $3806.65      | 0.00%             | 2062-05-20      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BVA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30010 | PA      | $29245.12     | 0.00%             | 2061-01-20      | Variable      | 5.31%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375BY89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16642 | PA      | $15518.41     | 0.00%             | 2063-04-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375URS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    261134 | PA      | $10480.05     | 0.00%             | 2064-09-20      | Variable      | 0.94%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38375UTH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    825383 | PA      | $813968.18    | 0.05%             | 2064-10-20      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376G3S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1351119 | PA      | $1055.02      | 0.00%             | 2051-08-16      | Variable      | 0.11%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376GHW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206700 | PA      | $7879.61      | 0.00%             | 2052-10-16      | Variable      | 1.45%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376GL32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    470598 | PA      | $3057.28      | 0.00%             | 2053-04-16      | Variable      | 0.53%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376GVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1504930 | PA      | $20302.21     | 0.00%             | 2052-12-16      | Variable      | 1.01%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RAC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146360 | PA      | $141314.42    | 0.01%             | 2065-04-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3656 | PA      | $3473.57      | 0.00%             | 2063-05-20      | Floating      | 4.06%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RFZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4473 | PA      | $4307.63      | 0.00%             | 2063-04-20      | Floating      | 3.98%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RKR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4430 | PA      | $4268.67      | 0.00%             | 2065-03-20      | Variable      | 4.70%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2433 | PA      | $2367.40      | 0.00%             | 2061-08-20      | Floating      | 4.46%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RLZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160389 | PA      | $156449.34    | 0.01%             | 2065-09-20      | Variable      | 4.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       234 | PA      | $228.29       | 0.00%             | 2065-10-20      | Floating      | 4.48%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RPA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3053853 | PA      | $103430.60    | 0.01%             | 2066-01-20      | Variable      | 2.02%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RTB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4012798 | PA      | $156304.72    | 0.01%             | 2066-04-20      | Variable      | 2.62%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RU38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    623746 | PA      | $27046.30     | 0.00%             | 2067-01-20      | Variable      | 2.42%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RVY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93497 | PA      | $89967.88     | 0.01%             | 2063-08-20      | Variable      | 4.40%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RXN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    693034 | PA      | $665611.58    | 0.04%             | 2066-03-20      | Fixed         | 2.25%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RZL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22633 | PA      | $21603.51     | 0.00%             | 2066-08-20      | Variable      | 4.46%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38376RZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13057 | PA      | $12609.05     | 0.00%             | 2061-06-20      | Variable      | 4.90%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378BDB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3293859 | PA      | $21832.68     | 0.00%             | 2053-06-16      | Variable      | 0.24%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378BR92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15551422 | PA      | $40348.01     | 0.00%             | 2054-04-16      | Variable      | 0.15%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378BRQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3312294 | PA      | $32.13        | 0.00%             | 2052-04-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378BWM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2543278 | PA      | $21620.36     | 0.00%             | 2053-03-16      | Variable      | 0.42%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378BYY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6823371 | PA      | $61037.37     | 0.00%             | 2052-09-16      | Variable      | 0.58%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378N4L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4191813 | PA      | $56497.51     | 0.00%             | 2049-03-16      | Variable      | 0.48%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378N8E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2956165 | PA      | $27994.44     | 0.00%             | 2056-04-16      | Variable      | 0.39%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378NHQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    708904 | PA      | $847.30       | 0.00%             | 2055-05-16      | Variable      | 0.13%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378NYK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1995470 | PA      | $19.36        | 0.00%             | 2054-01-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378TAC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653355 | PA      | $604622.26    | 0.04%             | 2043-05-20      | Floating      | 4.79%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378U8M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52920 | PA      | $51474.65     | 0.00%             | 2064-11-20      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378X4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6065126 | PA      | $79986.22     | 0.00%             | 2051-02-16      | Variable      | 0.46%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378XFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1939685 | PA      | $24129.00     | 0.00%             | 2056-04-16      | Variable      | 0.51%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38378XQX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8806049 | PA      | $27626.95     | 0.00%             | 2054-08-16      | Variable      | 0.17%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379K2B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8204340 | PA      | $25296.77     | 0.00%             | 2055-07-16      | Variable      | 0.12%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379K6Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4660260 | PA      | $142437.92    | 0.01%             | 2055-11-16      | Variable      | 0.80%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379KBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3088537 | PA      | $81389.50     | 0.01%             | 2056-07-16      | Variable      | 0.66%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379KF37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11362709 | PA      | $175571.13    | 0.01%             | 2057-03-16      | Variable      | 0.53%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379KGH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9094589 | PA      | $177071.00    | 0.01%             | 2049-09-16      | Variable      | 0.56%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379KMF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2811959 | PA      | $22572.52     | 0.00%             | 2055-11-16      | Variable      | 0.41%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379KPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7458213 | PA      | $85333.36     | 0.01%             | 2057-07-16      | Variable      | 0.32%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379KQF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9778389 | PA      | $177791.05    | 0.01%             | 2049-12-16      | Variable      | 0.55%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379RY72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3263436 | PA      | $152083.19    | 0.01%             | 2056-12-16      | Variable      | 0.84%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379RZU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18720434 | PA      | $696512.46    | 0.04%             | 2059-01-16      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379UAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4859492 | PA      | $126223.98    | 0.01%             | 2057-01-16      | Variable      | 0.59%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379US56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6090345 | PA      | $290477.40    | 0.02%             | 2056-10-16      | Fixed         | 0.95%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379VRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273505 | PA      | $272316.93    | 0.02%             | 2037-07-20      | Variable      | 5.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38379Y6J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15200823 | PA      | $306913.13    | 0.02%             | 2056-07-16      | Variable      | 0.60%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380CG31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2305794 | PA      | $195237.88    | 0.01%             | 2047-02-20      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380JDW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20091592 | PA      | $689394.76    | 0.04%             | 2059-12-16      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380JLX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10195960 | PA      | $423397.45    | 0.03%             | 2059-12-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380LGT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141847 | PA      | $135931.37    | 0.01%             | 2068-08-20      | Variable      | 4.67%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380LQA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2118612 | PA      | $2033887.51   | 0.13%             | 2068-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380MBL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18126987 | PA      | $563622.42    | 0.04%             | 2060-08-16      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380MDL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7007479 | PA      | $254474.43    | 0.02%             | 2060-01-16      | Variable      | 0.60%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380MLR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4119796 | PA      | $265500.27    | 0.02%             | 2058-06-16      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380MMQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11309713 | PA      | $418739.87    | 0.03%             | 2060-07-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380MQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11153963 | PA      | $569164.44    | 0.04%             | 2060-10-16      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380N6M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31267174 | PA      | $1403180.11   | 0.09%             | 2061-10-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380NDZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9164698 | PA      | $529223.76    | 0.03%             | 2060-12-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380NJB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6790108 | PA      | $405725.51    | 0.03%             | 2061-08-16      | Variable      | 0.95%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380NMN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16529634 | PA      | $722427.67    | 0.04%             | 2061-12-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380P3W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28143412 | PA      | $1919985.81   | 0.12%             | 2060-08-16      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380P4H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18205679 | PA      | $1185877.90   | 0.07%             | 2062-10-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380P6Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38365564 | PA      | $2735364.97   | 0.17%             | 2062-08-16      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380PWY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  43353193 | PA      | $2432504.31   | 0.15%             | 2062-06-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380QCU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    583542 | PA      | $572891.78    | 0.04%             | 2067-07-20      | Fixed         | 1.25%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380QS86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3151336 | PA      | $21599.32     | 0.00%             | 2068-01-20      | Variable      | 0.56%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380QYD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19093238 | PA      | $100768.19    | 0.01%             | 2070-04-20      | Variable      | 0.47%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15241550 | PA      | $942811.78    | 0.06%             | 2063-01-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28421638 | PA      | $1684038.87   | 0.10%             | 2063-02-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34926991 | PA      | $2307975.54   | 0.14%             | 2062-09-16      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RGX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33208231 | PA      | $2518844.34   | 0.16%             | 2062-09-16      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RHZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38632897 | PA      | $2562709.37   | 0.16%             | 2062-10-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  43604268 | PA      | $2308366.33   | 0.14%             | 2063-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8719769 | PA      | $598751.66    | 0.04%             | 2063-05-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RTF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38581091 | PA      | $2416796.72   | 0.15%             | 2063-03-16      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RVE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32681208 | PA      | $2037722.34   | 0.13%             | 2062-10-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380RYD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33321969 | PA      | $2588450.57   | 0.16%             | 2062-08-16      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38380XAG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26778722 | PA      | $726860.20    | 0.05%             | 2058-05-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381D2H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  46956418 | PA      | $2631343.76   | 0.16%             | 2064-03-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381D6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19420965 | PA      | $1345134.85   | 0.08%             | 2063-11-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381DK58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10608875 | PA      | $593715.06    | 0.04%             | 2061-07-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381DM23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44386784 | PA      | $2805466.68   | 0.17%             | 2063-04-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381DMB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38550136 | PA      | $2470832.41   | 0.15%             | 2063-04-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50048193 | PA      | $2986675.94   | 0.19%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381DZE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50601977 | PA      | $3330409.57   | 0.21%             | 2063-04-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381DZM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40621191 | PA      | $2542423.47   | 0.16%             | 2061-06-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381EVR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26748985 | PA      | $1458638.17   | 0.09%             | 2064-06-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381TB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    540694 | PA      | $529833.75    | 0.03%             | 2069-04-20      | Variable      | 2.80%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381TRX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1741018 | PA      | $146126.58    | 0.01%             | 2049-04-20      | Floating      | 2.26%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381TYT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6735284 | PA      | $6516935.25   | 0.40%             | 2049-04-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381VZ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7031488 | PA      | $718519.68    | 0.04%             | 2043-08-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381Y4N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324000 | PA      | $242883.58    | 0.02%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38381YLF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280000 | PA      | $211085.97    | 0.01%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382BYR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8447001 | PA      | $868806.72    | 0.05%             | 2044-02-20      | Floating      | 1.76%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382EEL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10916006 | PA      | $2297354.33   | 0.14%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382JZ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1786451 | PA      | $336327.49    | 0.02%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382KYU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9563379 | PA      | $1888294.90   | 0.12%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382KYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4075853 | PA      | $837498.37    | 0.05%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382YBK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1124282 | PA      | $1118995.58   | 0.07%             | 2071-07-20      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382YHA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    535460 | PA      | $18449.49     | 0.00%             | 2070-03-20      | Variable      | 0.55%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38382YHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    554923 | PA      | $538984.65    | 0.03%             | 2071-10-20      | Variable      | 2.88%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38383K6M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44197441 | PA      | $3563860.63   | 0.22%             | 2075-01-20      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38383K6S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17096319 | PA      | $1316023.36   | 0.08%             | 2075-01-20      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LAU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11909170 | PA      | $996368.81    | 0.06%             | 2075-01-20      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LAW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14663385 | PA      | $1127291.74   | 0.07%             | 2075-02-20      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LEL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32400717 | PA      | $2606734.91   | 0.16%             | 2075-02-20      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LH85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33298474 | PA      | $2397942.96   | 0.15%             | 2075-10-20      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LNU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13697049 | PA      | $967508.84    | 0.06%             | 2075-05-20      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LNZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25650111 | PA      | $1740513.90   | 0.11%             | 2075-05-20      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LQP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  48131473 | PA      | $3447729.59   | 0.21%             | 2075-07-20      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                           | CUSIP: 38384LYB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21834571 | PA      | $1630911.42   | 0.10%             | 2075-10-20      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                 | GreenSky Home Improvement Issuer Trust 2025-1                      | CUSIP: 39571NAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298254 | PA      | $299981.99    | 0.02%             | 2060-03-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust                 | GreenSky Home Improvement Issuer Trust 2024-2                      | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147284 | PA      | $147954.32    | 0.01%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                         | HarborView Mortgage Loan Trust 2004-3                              | CUSIP: 41161PEC3<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |    510791 | PA      | $481054.36    | 0.03%             | 2034-05-19      | Variable      | 5.32%                 | No            |                  3 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust 2024-2                                | CUSIP: 43283JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1768921 | PA      | $1794259.92   | 0.11%             | 2038-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust 2024-1B                               | CUSIP: 43283YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173743 | PA      | $176500.51    | 0.01%             | 2039-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust 2020-A                                | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    926065 | PA      | $912942.91    | 0.06%             | 2039-02-25      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust 2023-1                                | CUSIP: 432917AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1297612 | PA      | $1315243.64   | 0.08%             | 2038-01-25      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America 2021-1 Trust                              | CUSIP: 437300AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1349575 | PA      | $1225336.63   | 0.08%             | 2041-09-17      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance I Limited                     | Horizon Aircraft Finance II Ltd                                    | CUSIP: 44040HAA0<br>LEI: 549300KSCDSEIWTVMM32 | Long             | ABS-O            | CORP              | KY        |    170284 | PA      | $167119.74    | 0.01%             | 2039-07-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                             | Hudsons Bay Simon JV Trust 2015-HBS                                | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5885000 | PA      | $5638558.56   | 0.35%             | 2034-08-05      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                           | Huntington Bank Auto Credit-Linked Notes Series 2024-1             | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184915 | PA      | $187536.13    | 0.01%             | 2032-05-20      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                         | Hyundai Auto Receivables Trust 2025-A                              | CUSIP: 44935CAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    835000 | PA      | $835558.62    | 0.05%             | 2032-06-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Imprint Payments Credit Card Master Trust              | Imprint Payments Credit Card Master Trust                          | CUSIP: 45333GAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1645000 | PA      | $1644886.17   | 0.10%             | 2029-09-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                            | Island Finance Trust 2025-1                                        | CUSIP: 463920AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405000 | PA      | $407711.07    | 0.03%             | 2035-03-19      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust          | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1      | CUSIP: 46590KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2969000 | PA      | $2935613.89   | 0.18%             | 2049-01-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust          | JP Morgan Chase Commercial Mortgage Securities Trust 2025-BMS      | CUSIP: 46596CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $3341625.00   | 0.21%             | 2042-01-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust          | JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9      | CUSIP: 46639EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492668 | PA      | $482804.39    | 0.03%             | 2047-12-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust 2014-C25                | CUSIP: 46643PBJ8<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $708100.00    | 0.04%             | 2047-11-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2017-4                                    | CUSIP: 46648UAQ7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   7685081 | PA      | $90305.93     | 0.01%             | 2048-11-25      | Variable      | 0.37%                 | No            |                  3 | On Loan: No      |
| KCG Securitization II LLC                              | KCG Securitization II LLC                                          | CUSIP: 486925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4055000 | PA      | $3995513.15   | 0.25%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                    | LCM 30 Ltd                                                         | CUSIP: 50200YAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3005000 | PA      | $2991961.00   | 0.19%             | 2031-04-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                             | LAD Auto Receivables Trust 2026-1                                  | CUSIP: 505708AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3030000 | PA      | $2978886.93   | 0.19%             | 2031-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                             | LAD Auto Receivables Trust 2024-3                                  | CUSIP: 505709AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340000 | PA      | $342212.92    | 0.02%             | 2030-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                             | LAD Auto Receivables Trust 2025-2                                  | CUSIP: 505912AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1910000 | PA      | $1898232.49   | 0.12%             | 2032-05-17      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                             | LAD Auto Receivables Trust 2024-2                                  | CUSIP: 505920AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1035000 | PA      | $1055672.16   | 0.07%             | 2029-10-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                            | Legacy Mortgage Asset Trust 2020-RPL1                              | CUSIP: 52474HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4515000 | PA      | $4068221.34   | 0.25%             | 2059-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust 2025-3                                      | CUSIP: 525951AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2330000 | PA      | $2313838.65   | 0.14%             | 2035-05-21      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                          | Lendbuzz Securitization Trust 2023-2                               | CUSIP: 52608MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2774206 | PA      | $2803810.15   | 0.17%             | 2028-10-16      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| Lex Commercial Loan Master Trust                       | LEX 2024-BBG Mortgage Trust                                        | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $597462.96    | 0.04%             | 2033-10-13      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| LIGHTPATH FIBER ISSUER LLC                             | Lightpath Fiber Issuer LLC                                         | CUSIP: 53229YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4060000 | PA      | $4048745.68   | 0.25%             | 2056-03-25      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| M&T Bank Auto Receivables Trust                        | M&T Bank Auto Receivables Trust 2025-1                             | CUSIP: 55287XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1560000 | PA      | $1578437.64   | 0.10%             | 2032-07-15      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| MAPS Trust                                             | MAPS 2021-1 Trust                                                  | CUSIP: 55292RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    507930 | PA      | $488316.97    | 0.03%             | 2046-06-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                              | MSBAM Commercial Mortgage Securities Trust 2012-CKSV               | CUSIP: 553514AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1042426 | PA      | $995516.60    | 0.06%             | 2030-10-15      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                        | MVW 2024-2 LLC                                                     | CUSIP: 55389QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    903606 | PA      | $898832.75    | 0.06%             | 2042-03-20      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                        | MVW 2021-1W LLC                                                    | CUSIP: 55389TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    367932 | PA      | $355685.66    | 0.02%             | 2041-01-22      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| Mach I                                                 | MACH 1 Cayman 2019-1 Ltd                                           | CUSIP: 55446MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    497384 | PA      | $493230.37    | 0.03%             | 2039-10-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust 2024-A                              | CUSIP: 567928AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1345000 | PA      | $1359163.12   | 0.08%             | 2036-09-22      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust 2025-B                              | CUSIP: 56847TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1410000 | PA      | $1403068.16   | 0.09%             | 2038-11-22      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                                 | Marlette Funding Trust 2024-1                                      | CUSIP: 57108VAB8<br>LEI: 549300JRCMNFIBT50883 | Long             | ABS-O            | CORP              | US        |     82118 | PA      | $82323.71     | 0.01%             | 2034-07-17      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority          | Massachusetts Educational Financing Authority                      | CUSIP: 57563NAB4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | ABS-O            | CORP              | US        |    803459 | PA      | $797216.54    | 0.05%             | 2033-05-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| MAST USA LLC                                           | MAST 2026-1 Ltd                                                    | CUSIP: 57631AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1381726 | PA      | $1358201.17   | 0.08%             | 2051-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                            | Merchants Fleet Funding LLC                                        | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |    581389 | PA      | $582804.77    | 0.04%             | 2036-05-20      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust                         | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1370000 | PA      | $1370993.25   | 0.09%             | 2029-07-20      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC                     | MetroNet Infrastructure Issuer LLC                                 | CUSIP: 59170JAZ1<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |   1630000 | PA      | $1633294.23   | 0.10%             | 2055-08-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC                     | MetroNet Infrastructure Issuer LLC                                 | CUSIP: 59170JBK3<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |   3255000 | PA      | $3265526.67   | 0.20%             | 2056-04-20      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                               | Mill City Mortgage Trust 2015-2                                    | CUSIP: 599808BJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4006000 | PA      | $3887907.93   | 0.24%             | 2057-09-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                               | Mill City Mortgage Loan Trust 2018-2                               | CUSIP: 59980MAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568767 | PA      | $560456.45    | 0.03%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                               | Mill City Mortgage Loan Trust 2018-3                               | CUSIP: 59980XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221717 | PA      | $219412.86    | 0.01%             | 2058-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                               | Mill City Mortgage Loan Trust 2019-1                               | CUSIP: 59981AAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1646966 | PA      | $1570581.82   | 0.10%             | 2069-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                               | Mill City Mortgage Loan Trust 2021-NMR1                            | CUSIP: 59982HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394077 | PA      | $380659.73    | 0.02%             | 2060-11-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust                  | Mission Lane Credit Card Master Trust                              | CUSIP: 60510MAY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3344000 | PA      | $3352489.75   | 0.21%             | 2029-08-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust                  | Mission Lane Credit Card Master Trust                              | CUSIP: 60510MBE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1920000 | PA      | $1923116.54   | 0.12%             | 2030-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                             | MMAF Equipment Finance LLC 2020-A                                  | CUSIP: 60700MAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305000 | PA      | $295651.87    | 0.02%             | 2042-10-09      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2013-ALTM                           | CUSIP: 61690LAC4<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   2686752 | PA      | $2579147.50   | 0.16%             | 2035-02-05      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2017-H1                             | CUSIP: 61691JAV6<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   3399917 | PA      | $3362023.57   | 0.21%             | 2050-06-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2019-L3                             | CUSIP: 61691UBE8<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   5780000 | PA      | $5478424.45   | 0.34%             | 2052-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2021-L5                             | CUSIP: 61691YAJ0<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   2085000 | PA      | $1888573.61   | 0.12%             | 2054-05-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2011-C2                             | CUSIP: 617459AJ1<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    257997 | PA      | $255466.10    | 0.02%             | 2044-06-15      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                 | Mosaic Solar Loan Trust 2024-1                                     | CUSIP: 618937AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350451 | PA      | $329280.05    | 0.02%             | 2049-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                 | Mosaic Solar Loan Trust 2024-2                                     | CUSIP: 61947BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2561993 | PA      | $2430021.21   | 0.15%             | 2052-04-22      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NFAS, Llc                                              | NFAS3 LLC                                                          | CUSIP: 62909DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510000 | PA      | $512174.64    | 0.03%             | 2031-05-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                             | NLT 2023-1 Trust                                                   | CUSIP: 62917MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1054200 | PA      | $971708.46    | 0.06%             | 2062-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                           | NY Commercial Mortgage Trust 2025-299P                             | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3180000 | PA      | $3295517.32   | 0.20%             | 2047-02-10      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2020-H                   | CUSIP: 63935BAB9<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    945000 | PA      | $820772.95    | 0.05%             | 2069-01-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2019-C                   | CUSIP: 63940YAB2<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    296731 | PA      | $293898.67    | 0.02%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2020-B                   | CUSIP: 63941GAB0<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    356626 | PA      | $341481.98    | 0.02%             | 2069-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2020-D                   | CUSIP: 63941HAA0<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    594988 | PA      | $565246.65    | 0.04%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2020-D                   | CUSIP: 63941HAB8<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   1565000 | PA      | $1387325.71   | 0.09%             | 2069-05-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2019-G                   | CUSIP: 63941JAA6<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    948499 | PA      | $925452.84    | 0.06%             | 2068-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2020-G                   | CUSIP: 63941UAA1<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    612206 | PA      | $574097.20    | 0.04%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2021-A                   | CUSIP: 63942BAA2<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    768621 | PA      | $703673.57    | 0.04%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2021-G                   | CUSIP: 63942KAA2<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   1039435 | PA      | $938511.46    | 0.06%             | 2070-04-15      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                             | Navient Private Education Refi Loan Trust 2021-B                   | CUSIP: 63942LAA0<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    658103 | PA      | $600339.33    | 0.04%             | 2069-07-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                              | Nelnet Student Loan Trust 2021-A                                   | CUSIP: 64035DAE6<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |   1630000 | PA      | $1474885.94   | 0.09%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust                  | NextGear Floorplan Master Owner Trust                              | CUSIP: 65341KCK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $792887.12    | 0.05%             | 2031-02-18      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                            | Continental Finance Credit Card ABS Master Trust                   | CUSIP: 66981PAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1230000 | PA      | $1222229.11   | 0.08%             | 2035-12-17      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2018-EXP1 Trust                                                | CUSIP: 67097VAC8<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |     76997 | PA      | $73440.14     | 0.00%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                               | OHA Credit Funding 3 LTD                                           | CUSIP: 67112RBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4205000 | PA      | $4206618.93   | 0.26%             | 2038-01-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                | NYMT Loan Trust 2024-CP1                                           | CUSIP: 67118PAA0<br>LEI: 2549009GL7U73W4FX613 | Long             | ABS-MBS          | CORP              | US        |    600519 | PA      | $555509.16    | 0.03%             | 2068-02-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                | NYMT Loan Trust Series 2024-BPL3                                   | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |   1333737 | PA      | $1333472.96   | 0.08%             | 2039-09-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Ltd                        | Octagon Investment Partners 18-R Ltd                               | CUSIP: 67576FAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2040000 | PA      | $2036479.78   | 0.13%             | 2031-04-16      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust 2024-2                                    | CUSIP: 67578YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    580000 | PA      | $585057.60    | 0.04%             | 2032-07-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust 2025-1                                    | CUSIP: 67580EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    740000 | PA      | $734859.96    | 0.05%             | 2031-06-20      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                  | OneMain Direct Auto Receivables Trust 2026-1                       | CUSIP: 682940AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3265000 | PA      | $3236862.23   | 0.20%             | 2033-12-14      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| EquipmentShare                                         | OWN Equipment Fund II LLC                                          | CUSIP: 690912AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    608422 | PA      | $607534.21    | 0.04%             | 2033-09-26      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| EquipmentShare                                         | OWN Equipment Fund I LLC                                           | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2030996 | PA      | $2043200.42   | 0.13%             | 2032-12-20      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| EquipmentShare                                         | OWN Equipment Fund III LLC                                         | CUSIP: 69122AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1302715 | PA      | $1297669.87   | 0.08%             | 2034-03-27      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2024-RCF1 LLC                                                 | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305756 | PA      | $301743.04    | 0.02%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2023-RCF2 LLC                                                 | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189045 | PA      | $186366.89    | 0.01%             | 2053-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2024-RCF2 LLC                                                 | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    864569 | PA      | $846878.83    | 0.05%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Palmer Square BDC CLO Ltd                              | Palmer Square BDC CLO 1 Ltd                                        | CUSIP: 696928AC4<br>LEI: 254900LU0WIJ7Y0O9X14 | Long             | ABS-CBDO         | CORP              | KY        |   2455000 | PA      | $2460882.18   | 0.15%             | 2037-07-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| PenFed Auto Receivables Owner Trust                    | PenFed Auto Receivables Owner Trust 2025-A                         | CUSIP: 706916AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    895000 | PA      | $891913.86    | 0.06%             | 2031-05-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING                                  | PK Alift Loan Funding 8 LP                                         | CUSIP: 72585CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    795000 | PA      | $784879.73    | 0.05%             | 2043-09-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Polen Capital CLO Ltd                                  | Polen Capital CLO 2025-2 Ltd                                       | CUSIP: 73110AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2940000 | PA      | $2939706.00   | 0.18%             | 2039-01-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Polen Capital CLO Ltd                                  | Polen Capital CLO 2025-1 Ltd                                       | CUSIP: 73110MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1905952.70   | 0.12%             | 2038-03-06      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                        | Prestige Auto Receivables Trust 2023-2                             | CUSIP: 74113VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340456 | PA      | $340674.64    | 0.02%             | 2027-12-15      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2021-SFR5 Trust                               | CUSIP: 74333FAC3<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    830000 | PA      | $823115.81    | 0.05%             | 2038-07-17      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust                                         | CUSIP: 74333HAE5<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   1715000 | PA      | $1700826.73   | 0.11%             | 2038-07-17      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2021-SFR9 Trust                               | CUSIP: 74333QAE5<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   5450000 | PA      | $5122265.34   | 0.32%             | 2040-11-17      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2021-SFR3                                     | CUSIP: 74333VAC8<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   1892000 | PA      | $1884498.79   | 0.12%             | 2026-05-17      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Purchasing Power Funding                               | Purchasing Power Funding 2026-A LLC                                | CUSIP: 74614AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1956000 | PA      | $1935982.30   | 0.12%             | 2030-08-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Purchasing Power Funding                               | Purchasing Power Funding 2026-A LLC                                | CUSIP: 74614AAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3510000 | PA      | $3470874.03   | 0.22%             | 2030-08-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                       | RALI Series 2006-QS6 Trust                                         | CUSIP: 74922EAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       112 | PA      | $0.01         | 0.00%             | 2062-04-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, Inc.                       | RALI Series 2006-QS18 Trust                                        | CUSIP: 74922RAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6805 | PA      | $2903.19      | 0.00%             | 2056-06-25      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| RFR Trust                                              | RFR Trust 2025-SGRM                                                | CUSIP: 74984NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3115000 | PA      | $3151741.74   | 0.20%             | 2041-03-11      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                       | RALI Series 2006-QS13 Trust                                        | CUSIP: 75115DAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       476 | PA      | $201.83       | 0.00%             | 2061-11-25      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| Reach Financial LLC                                    | Reach ABS Trust 2025-1                                             | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178539 | PA      | $178825.55    | 0.01%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Red Oak Funding Master Trust                           | Red Oak Funding Master Trust                                       | CUSIP: 75679JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250289.25    | 0.02%             | 2030-12-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust 2024-1                          | CUSIP: 758983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    690000 | PA      | $699555.74    | 0.04%             | 2036-07-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust 2024-2                          | CUSIP: 75907AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $402295.16    | 0.03%             | 2033-12-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust 2025-2                          | CUSIP: 75908BAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1515000 | PA      | $1496014.17   | 0.09%             | 2037-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                        | Republic Finance Issuance Trust 2024-A                             | CUSIP: 76041RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1055000 | PA      | $1058945.38   | 0.07%             | 2032-08-20      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Rockland Park CLO Ltd                                  | Rockland Park CLO Ltd                                              | CUSIP: 773663AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7650000 | PA      | $7651002.15   | 0.48%             | 2038-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust              | SFS Auto Receivables Securitization Trust 2023-1                   | CUSIP: 78398AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $127521.19    | 0.01%             | 2031-02-20      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust              | SFS Auto Receivables Securitization Trust 2025-3                   | CUSIP: 78398KAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1510000 | PA      | $1503166.80   | 0.09%             | 2031-11-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| SF ABS Issuer LLC                                      | SF Abs Issuer LLC                                                  | CUSIP: 784193AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3195000 | PA      | $3126543.93   | 0.19%             | 2055-11-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                        | SEB Funding LLC                                                    | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2385000 | PA      | $2427379.07   | 0.15%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                        | SEB Funding LLC                                                    | CUSIP: 78433DAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2870000 | PA      | $2847062.96   | 0.18%             | 2056-01-30      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                | SCF Equipment Leasing 2025-1 LLC                                   | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3820000 | PA      | $3883371.51   | 0.24%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                            | SBNA Auto Receivables Trust 2024-A                                 | CUSIP: 78437PAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $202707.10    | 0.01%             | 2030-01-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                | SCF Equipment Leasing 2025-2 LLC                                   | CUSIP: 78439XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1220000 | PA      | $1217286.72   | 0.08%             | 2036-06-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                 | SLM Private Credit Student Loan Trust 2003-A                       | CUSIP: 78443CAJ3<br>LEI: 54930054KUX5HFXZUQ43 | Long             | ABS-O            | CORP              | US        |    215000 | PA      | $214971.19    | 0.01%             | 2032-06-15      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                 | SLM Private Credit Student Loan Trust 2003-A                       | CUSIP: 78443CAK0<br>LEI: 54930054KUX5HFXZUQ43 | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $49993.30     | 0.00%             | 2032-06-15      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                 | SLM Private Credit Student Loan Trust 2003-B                       | CUSIP: 78443CAN4<br>LEI: 549300BLEHJGFV7XSO25 | Long             | ABS-O            | CORP              | US        |     85000 | PA      | $84993.20     | 0.01%             | 2033-03-15      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                 | SLM Private Credit Student Loan Trust 2003-B                       | CUSIP: 78443CAP9<br>LEI: 549300BLEHJGFV7XSO25 | Long             | ABS-O            | CORP              | US        |   1298000 | PA      | $1297896.16   | 0.08%             | 2033-03-15      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                 | SLM Private Credit Student Loan Trust 2003-C                       | CUSIP: 78443CBA1<br>LEI: 549300IQIXBXDNPLSE92 | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $110000.00    | 0.01%             | 2032-09-15      | Variable      | 8.07%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                 | SLM Private Credit Student Loan Trust 2003-C                       | CUSIP: 78443CBB9<br>LEI: 549300IQIXBXDNPLSE92 | Long             | ABS-O            | CORP              | US        |    129000 | PA      | $129000.00    | 0.01%             | 2032-09-15      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                       | SMB Private Education Loan Trust 2021-A                            | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1294522 | PA      | $1184990.80   | 0.07%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SLAM 2021-1 LLC                                        | Slam 2021-1 Ltd                                                    | CUSIP: 78449AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   3227000 | PA      | $3059149.53   | 0.19%             | 2046-06-15      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                       | SMB Private Education Loan Trust 2018-B                            | CUSIP: 78449LAB4<br>LEI: 549300INMCHM7L5O6M41 | Long             | ABS-O            | CORP              | US        |    251539 | PA      | $250199.50    | 0.02%             | 2037-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                       | SMB Private Education Loan Trust 2021-D                            | CUSIP: 78449MAA4<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |    490803 | PA      | $464737.49    | 0.03%             | 2053-03-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                       | SMB Private Education Loan Trust 2018-A                            | CUSIP: 78449PAC3<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |    465665 | PA      | $465504.46    | 0.03%             | 2036-02-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                       | SMB Private Education Loan Trust 2018-A                            | CUSIP: 78449PAD1<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $113136.17    | 0.01%             | 2042-07-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                       | SMB Private Education Loan Trust 2018-C                            | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |    792904 | PA      | $789704.59    | 0.05%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2024-2                      | CUSIP: 80286YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $508923.75    | 0.03%             | 2030-06-17      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2023-2                      | CUSIP: 80287JAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3075000 | PA      | $3108324.39   | 0.19%             | 2030-12-16      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2025-1                      | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    744163 | PA      | $745464.96    | 0.05%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| SCOTT Trust 2023-SFS                                   | SCOTT Trust 2023-SFS                                               | CUSIP: 810064AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2160000 | PA      | $2198812.39   | 0.14%             | 2040-03-10      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Securitized Term Auto Receivables Trust                | Securitized Term Auto Receivables Trust                            | CUSIP: 81378RAB0<br>LEI: 254900DVX7EZK9JMUP63 | Long             | ABS-O            | CORP              | CA        |    316821 | PA      | $318532.18    | 0.02%             | 2031-07-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust              | SFS Auto Receivables Securitization Trust 2025-1                   | CUSIP: 81885BAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $303616.35    | 0.02%             | 2031-02-20      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Shentel Issuer LLC                                     | Shentel Issuer LLC                                                 | CUSIP: 82321AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4675000 | PA      | $4710369.18   | 0.29%             | 2055-12-20      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                      | Sierra Timeshare 2024-3 Receivables Funding LLC                    | CUSIP: 82653BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    531692 | PA      | $532216.06    | 0.03%             | 2041-08-20      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                      | Sierra Timeshare 2023-1 Receivables Funding LLC                    | CUSIP: 826943AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255883 | PA      | $258046.28    | 0.02%             | 2040-01-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SLAM LLC                                               | Slam Ltd                                                           | CUSIP: 83100AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1661111 | PA      | $1654743.90   | 0.10%             | 2049-09-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                   | SoFi Professional Loan Program 2021-B Trust                        | CUSIP: 83405NAA4<br>LEI: 5493002WMPR84WZ75V46 | Long             | ABS-O            | CORP              | US        |   1090776 | PA      | $978310.87    | 0.06%             | 2047-02-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                   | SoFi Professional Loan Program 2020-ATrust                         | CUSIP: 83406TAB8<br>LEI: 5493002WMPR84WZ75V46 | Long             | ABS-O            | CORP              | US        |   2088612 | PA      | $2018200.18   | 0.13%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                                       | SpringCastle America Funding LLC                                   | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    954261 | PA      | $899063.83    | 0.06%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Sprite Limited                                         | Sprite 2026-1 Ltd                                                  | CUSIP: 85209QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1485000 | PA      | $1461259.01   | 0.09%             | 2041-03-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                         | Starwood Retail Property Trust 2014-STAR                           | CUSIP: 85571XAA5<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   1606458 | PA      | $963842.52    | 0.06%             | 2027-11-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                         | Starwood Retail Property Trust 2014-STAR                           | CUSIP: 85571XAL1<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $1300000.00   | 0.08%             | 2027-11-15      | Floating      | 6.75%                 | No            |                  3 | On Loan: No      |
| Start Ltd.                                             | Start Ltd/Bermuda                                                  | CUSIP: 85572RAA7<br>LEI: 549300VIQYFIDJQCKZ43 | Long             | ABS-O            | CORP              | BM        |     44367 | PA      | $45476.49     | 0.00%             | 2043-05-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp.                            | FIXED INC CLEARING CORP.REPO                                       | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  11183829 | PA      | $11183829.22  | 0.70%             |  |  |  | No            |                  2 | On Loan: No      |
| Stellar Jay Ireland Dac                                | Stellar Jay Ireland DAC                                            | CUSIP: 858558AA7<br>LEI: 254900N0ZJ7Y0Q6V4A92 | Long             | ABS-O            | CORP              | US        |    212322 | PA      | $210408.02    | 0.01%             | 2041-10-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Stellar Jay Ireland Dac                                | Stellar Jay Ireland DAC                                            | CUSIP: 858558AB5<br>LEI: 254900N0ZJ7Y0Q6V4A92 | Long             | ABS-O            | CORP              | US        |    490353 | PA      | $487034.16    | 0.03%             | 2041-10-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust | Stellantis Financial Underwritten Enhanced Lease Trust 2025-B      | CUSIP: 858933AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1475000 | PA      | $1470938.88   | 0.09%             | 2030-01-22      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS ISSUER TRUST                        | Stream Innovations 2026-1 Issuer Trust                             | CUSIP: 86325MAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3260000 | PA      | $3226519.80   | 0.20%             | 2046-08-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                                     | Sunnova Helios XIII Issuer LLC                                     | CUSIP: 86745CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    805872 | PA      | $691146.87    | 0.04%             | 2051-02-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                                     | SUNNOVA HELIOS II ISSUER LLC 2018-1                                | CUSIP: 86745JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99728 | PA      | $96243.57     | 0.01%             | 2048-07-20      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                                     | SUNNOVA HELIOS II ISSUER LLC 2019-A                                | CUSIP: 86745LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320981 | PA      | $294087.74    | 0.02%             | 2046-06-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Sunnova Sol III Issuer LLC                             | Sunnova Sol III Issuer LLC                                         | CUSIP: 86745QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283023 | PA      | $241488.28    | 0.02%             | 2056-04-28      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| SUNRUN CALLISTO ISSUER LLC                             | Sunrun Atlas Issuer 2019-2 LLC                                     | CUSIP: 86772FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1417210 | PA      | $1367185.41   | 0.08%             | 2055-02-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Sunrun Demeter Issuer LLC                              | Sunrun Demeter Issuer 2021-2 LLC                                   | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    299188 | PA      | $271557.28    | 0.02%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Symetra CLO Ltd                                        | Symetra CLO 2025-1 Ltd                                             | CUSIP: 87153AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5130000 | PA      | $5130518.13   | 0.32%             | 2038-04-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Issuance Trust                          | Synchrony Card Funding LLC                                         | CUSIP: 87166PAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1395000 | PA      | $1407204.72   | 0.09%             | 2030-03-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust              | TCO Commercial Mortgage Trust 2024-DPM                             | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $539156.25    | 0.03%             | 2039-12-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| TIC Home Improvement Trust                             | TIC Home Improvement Trust 2024-A                                  | CUSIP: 87252DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    316930 | PA      | $321808.14    | 0.02%             | 2046-10-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| TYSN 2023-CRNR Mortgage Trust                          | TYSN 2023-CRNR Mortgage Trust                                      | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2870000 | PA      | $2982564.27   | 0.19%             | 2033-12-10      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                 | Taco Bell Funding LLC                                              | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2275000 | PA      | $2240047.81   | 0.14%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Tesla Electric Vehicle Trust                           | Tesla Electric Vehicle Trust 2023-1                                | CUSIP: 881943AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1630000 | PA      | $1654929.06   | 0.10%             | 2031-05-20      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Thrust Engine Leasing                                  | Thrust Engine Leasing 2021 DAC                                     | CUSIP: 88603UAA7<br>LEI: 254900X0E0PUM0VQBP74 | Long             | ABS-O            | CORP              | US        |    764567 | PA      | $756180.13    | 0.05%             | 2040-07-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-3                                   | CUSIP: 89169DAB7<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   2592190 | PA      | $2565594.67   | 0.16%             | 2057-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-4                                   | CUSIP: 89173UAB3<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   4036054 | PA      | $3850948.86   | 0.24%             | 2057-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2018-3                                   | CUSIP: 89175MAA1<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |    365639 | PA      | $358642.89    | 0.02%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2018-4                                   | CUSIP: 89175TAB4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   2325000 | PA      | $1971379.82   | 0.12%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2020-2                                   | CUSIP: 89176UAR5<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   5555000 | PA      | $4611902.65   | 0.29%             | 2060-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2019-2                                   | CUSIP: 89177JAB4<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   5530000 | PA      | $5001351.91   | 0.31%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2020-4                                   | CUSIP: 89179JAB2<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4113400.00   | 0.26%             | 2060-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Trafigura Securitisation Finance Plc                   | Trafigura Securitisation Finance PLC                               | CUSIP: 892725AX0<br>LEI: 549300CH6S10UEZXWN56 | Long             | ABS-O            | CORP              | IE        |   1605000 | PA      | $1607351.33   | 0.10%             | 2027-11-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                  | Tricon American Homes 2020-SFR1                                    | CUSIP: 89613GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275000 | PA      | $1263542.34   | 0.08%             | 2038-07-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                  | Tricon American Homes 2020-SFR2 Trust                              | CUSIP: 89613JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1305000 | PA      | $1242593.20   | 0.08%             | 2039-11-17      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Triumph Rail LLC                                       | Triumph Rail Holdings LLC                                          | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3544983 | PA      | $3431699.32   | 0.21%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust 2019-C16                             | CUSIP: 90276YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1304834.81   | 0.08%             | 2052-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| USB Auto Owner Trust                                   | USB Auto Owner Trust 2025-1                                        | CUSIP: 90367VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625000 | PA      | $628902.31    | 0.04%             | 2031-01-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Bills                                                | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4993445.85   | 0.31%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Uniti Fiber ABS Issuer LLC                             | Uniti Fiber Abs Issuer LLC                                         | CUSIP: 91326EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $893478.26    | 0.06%             | 2055-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                   | Verizon Master Trust                                               | CUSIP: 92348KDG5<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |    585000 | PA      | $585108.58    | 0.04%             | 2030-08-20      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                           | Veros Auto Receivables Trust 2025-1                                | CUSIP: 92511BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275560 | PA      | $276451.87    | 0.02%             | 2028-09-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| VIVINT SOLAR FINANCING LLC                             | Vivint Solar Financing V LLC                                       | CUSIP: 92854VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1042398 | PA      | $1013078.83   | 0.06%             | 2048-04-30      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Volofin Finance Designated Activity Company            | Volofin Finance Designated Activity Co                             | CUSIP: 92873RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    815549 | PA      | $821478.62    | 0.05%             | 2037-06-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| VStrong Auto Receivables Trust                         | VStrong Auto Receivables Trust 2024-A                              | CUSIP: 92891PAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3155000 | PA      | $3191497.36   | 0.20%             | 2030-07-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                           | Voya CLO 2013-3 Ltd                                                | CUSIP: 92916XAL1<br>LEI: 5493003QPCHR7P2XIW55 | Long             | ABS-CBDO         | CORP              | KY        |   1315000 | PA      | $1314823.26   | 0.08%             | 2031-10-18      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| VStrong Auto Receivables Trust                         | VStrong Auto Receivables Trust 2023-A                              | CUSIP: 92920CAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3605000 | PA      | $3777759.17   | 0.23%             | 2030-02-15      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust      | CUSIP: 92926UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325097 | PA      | $305291.95    | 0.02%             | 2036-11-25      | Variable      | 4.26%                 | No            |                  3 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust 2018-C48                     | CUSIP: 95001RAX7<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4973065.00   | 0.31%             | 2052-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust 2019-C54                     | CUSIP: 95001YAE4<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |   5012000 | PA      | $4759186.20   | 0.30%             | 2052-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2024-2                       | CUSIP: 96042YAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1230000 | PA      | $1237772.37   | 0.08%             | 2030-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2024-3                       | CUSIP: 96043CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1520000 | PA      | $1522845.44   | 0.09%             | 2028-04-17      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2024-1                       | CUSIP: 96043RAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1131056 | PA      | $1133308.76   | 0.07%             | 2027-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2025-1                       | CUSIP: 96043VAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1006246.20   | 0.06%             | 2030-09-16      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Wheels Fleet Lease Funding LLC                         | Wheels Fleet Lease Funding 1 LLC                                   | CUSIP: 96328GAT4<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |   1335000 | PA      | $1343176.21   | 0.08%             | 2038-04-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Wheels Fleet Lease Funding LLC                         | Wheels Fleet Lease Funding 1 LLC                                   | CUSIP: 96328GCP0<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |    870000 | PA      | $865285.47    | 0.05%             | 2040-09-18      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Willis Engine Securitization Trust                     | Willis Engine Structured Trust VI                                  | CUSIP: 97064GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2638538 | PA      | $2485081.77   | 0.15%             | 2046-05-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Willis Engine Securitization Trust                     | Willis Engine Structured Trust VII                                 | CUSIP: 97064YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375244 | PA      | $382588.47    | 0.02%             | 2048-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Wise CLO 2024-2 Ltd                                    | Wise CLO 2024-2 Ltd                                                | CUSIP: 97718GAA1<br>LEI: 254900UJ1RZE30CBZ497 | Long             | ABS-CBDO         | CORP              | KY        |   3290000 | PA      | $3288414.22   | 0.20%             | 2037-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| World Financial Network Credit Card Master Trust       | World Financial Network Credit Card Master Trust                   | CUSIP: 981464HR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040000 | PA      | $1053086.32   | 0.07%             | 2031-02-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust       | World Omni Automobile Lease Securitization Trust 2025-A            | CUSIP: 98164PAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1045000 | PA      | $1049547.00   | 0.07%             | 2030-05-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Zayo Issuer LLC                                        | Zayo Issuer LLC                                                    | CUSIP: 98919WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4765000 | PA      | $4808603.09   | 0.30%             | 2055-03-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Zayo Issuer LLC                                        | Zayo Issuer LLC                                                    | CUSIP: 98919WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3645000 | PA      | $3708482.05   | 0.23%             | 2055-06-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Zayo Issuer LLC                                        | Zayo Issuer LLC                                                    | CUSIP: 98919WAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3195000 | PA      | $3198440.38   | 0.20%             | 2055-10-20      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-23

**Name of Applicant:** LOOMIS SAYLES FUNDS I

**Signature:** John Sgroi

**Name of Signer:** John Sgroi

**Title:** Assistant Treasurer